如何构建期权的德尔塔中性对冲策略

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[color=rgba(0, 0, 0, 0.298)]原创： [color=rgba(0, 0, 0, 0.298)]译者 王为 [url=]市川新田三丁目[/url] [color=rgba(0, 0, 0, 0.298)]3月20日
Constructing a Delta-neutral strategy

by Rajandran

Trading in derivative products is largely viewed as speculative, and why not? When most position are built around just the ‘view’ of the trader. However, if the trader’s market outlook were faulty, the position would result in huge losses. A Delta-neutral strategy is a strategy by which you one make money without having to forecast the direction of the market.

衍生品交易总是被看成是投机行为，当大部分头寸仅仅基于交易员的“看法”而建仓，这样说又有啥不可以的？但是，如果交易员对市场的判断是错的，持仓就会产生巨大损失。而德尔塔中性是一种可以用来赚钱却不必预测市场方向的交易策略。

The delta of an option is the rate of change in an option’s price relative to a one-unit change in the price of the underlying asset. So, for example, if a call option has a delta of 0.35 and the price increases by one Re, the option’s price should increase by 35 paise.

期权的德尔塔是指相对于期权标的资产价格一个单位的变动，期权价格变动的比例是多少。例如，一个看涨期权的德尔塔值为0.35，如果标的资产价格上涨1元，期权价格则上涨0.35。

In the example above, the option has a delta of 0.35. Traders and brokers refer to that as “35 deltas.” Simply multiply the delta by 100 to make it a percentage. However, make sure you understand that “35 deltas” really means 0.35.

上例中，期权的德尔塔值等于0.35，交易员和经纪商称之为“35个德尔塔”，这只是把德尔塔值乘以100得出百分比的数值罢了。但是，你得清楚“35个德尔塔”实际上指的是0.35。

For the purpose of our discussion, whenever we mention the delta of an option, we are referring to the actual decimal value because that is what’s actually used in all mathematical models.

为避免混淆，我们在以下的讨论中提到期权的德尔塔值的时候，指的是在所有的计算模型中实际使用的用小数表示的数值。

What exactly is Delta Neutral?

德尔塔中性策略到底是个啥？

The term “Delta Neutral” refers to any strategy where the sum of your deltas is equal to zero. So, for instance, if you buy 10 call options, each having a delta of 0.60 and you also buy 20 put options, each having a delta of -0.30 you have the following:

“德尔塔中性”这个术语指的是任何一种能够将期权的德尔塔值变成零的交易策略。举个例子，买入10手看涨期权，每手看涨期权的德尔塔值等于0.60，同时买入20手看跌期权，每手看跌期权的德尔塔值等于-0.30，结果等于：

…(10 x 0.60) + (20 x -0.30) = 6.00 + -6.00 = 0

Your position delta (total delta) is zero, which means you are delta neutral.

期权总仓位的德尔塔值合计等于零，意味着达成了德尔塔中性。

The technique you are about to learn, is just one application of delta neutral. It is a general trading approach that is used by some of the largest and most successful trading firms. It allows you to make money without having to forecast the direction of the market. You can use it on any market (stocks, futures, whatever), just as long as options are available and … the market is moving. It doesn’t matter whether or not the market is trending, but it won’t work if the market is really flat. The principle behind delta neutral is based upon the way an option’s delta changes as the option moves further into or out of the money.

你要学的技巧就是如何实际运用德尔塔中性策略，这是一些最大最成功的交易机构常用的交易方法。该策略可以让你赚钱同时又不必去赌市场往哪边走，你可以在任何一种市场中使用该策略，股市、期货市场或其他市场都可以，只要该市场上有期权交易即可，而且该市场得波动活跃才行。市场没有明确的趋势没关系，但是如果行情处于波动很小的状态，该策略就会不好使了。当期权价格的波动造成该期权处于价内期权或价外期权状态时，该期权的德尔塔值会发生相应的变化，德尔塔中性对冲的方法也会随机应变。

Consider the following example:

看看下面的例子

Statistical Volatility	25%
Option Strike Price	100
Days remaining	30

标的资产的历史波动率为25%；

期权的行权价               为100；

剩余天数                        为30。

其他指标见下表，注意红线标出的100为行权价

Price of underlying 标的资产的价格	Call Option 看涨期权的德尔塔值	Put Option 看跌期权的德尔塔值	Delta of underlying 标的资产的德尔塔值
80	0.0013	-0.9987	1.0000
85	0.0148	-0.9852	1.0000
90	0.0843	-0.9157	1.0000
95	0.2668	-0.7332	1.0000
100	0.5371	-0.4629	1.0000
105	0.7805	-0.2195	1.0000
110	0.9226	-0.0774	1.0000
115	0.9795	-0.0205	1.0000
120	0.9958	-0.0042	1.0000

You will notice the following characteristics of an option’s delta:

从上表可见期权德尔塔值有以下几个特点：

• The absolute value of the delta increases as the option goes further in-the-money and decreases as the option goes out-of-the-money.

• 当期权价格波动导致价内期权的状态进一步加深的时候，德尔塔的绝对值在增加；反之，当期权价格波动导致价外期权的状态进一步加深的时候，德尔塔的绝对值在减少。

• At-the-money call and put options have a delta that is right around 0.50 and -0.50 respectively.

• 当看涨期权和看跌期权均处于价内期权状态时，即标的资产的市场价与行权价均为100时，看涨期权和看跌期权分别紧靠+0.50和-0.50。

• Put options have a negative delta, which means if the price of an asset goes up, the price of a put option on that asset goes down.

• 看跌期权的德尔塔值是负的，意味着如果标的资产价格上升，该标的资产的看跌期权价格会下降。

• Deep in-the-money call options have a delta that approaches +1.00. Conversely, deep in-the-money put options have a delta that approaches -1.00.

• 处于深幅价内期权状态的看涨期权，即标的资产的市场价远远高于行权价100，此时看涨期权的德尔塔值接近+1.00，反之，处于深幅价内期权状态的看跌期权，即标的资产的市场价远远低于行权价100，此时看涨期权的德尔塔值接近-1.00。

• Deep out-of-the-money calls and puts have deltas that approach zero.

• 处于深幅价外期权状态的看涨期权，即标的资产的市场价远远低于行权价100，和处于深幅价外期权状态的看跌期权，即标的资产的市场价远远高于行权价100，此时看涨期权和看跌期权的德尔塔值均接近0。

• The delta of the underlying asset itself always remains constant at 1.00.

• 标的资产本身的德尔塔值永远等于1.00。

  
  

All of the deltas mentioned above assume that you are buying the options or the underlying asset, that is, you have a long position. If instead, you sold the options or the asset, establishing a short position, all of the deltas would be reversed. So, in the example above, if you sold a call option with a strike price of 100, and the price of the underlying asset was 110, the delta would be 0.9226 x -1 = -0.9226.

在提到所有上面的德尔塔值的时候，是假设你在买入期权或买入标的资产，即做多德尔塔。如果反过来，你是在做空期权或做空标的资产，也就是建空仓，那么上面提到的与德尔塔值有关的结论都要反过来。所以在上例中，如果你是卖出看涨期权，行权价为100，而标的资产的价格是110，那么德尔塔值就等于0.9226*-1=-0.9226。

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