使用预期利润和预期损失指标交易期权组合

IF 2 Q2 BUSINESS, FINANCE
Risks Pub Date : 2024-08-16 DOI:10.3390/risks12080130
Johannes Hendrik Venter, Pieter Juriaan de Jongh
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引用次数: 0

摘要

在进行期权链的看涨和看跌合约交易时,必须选择行权价组合。交易者还必须决定是在所选行权价上建立多头头寸还是空头头寸。本文讨论了做出这些决定的动态策略。在任何一天,这些策略都会估计标的资产价格未来概率分布的漂移和波动参数。根据这一分布,交易者可以进一步估算出任何看涨和看跌合约行权价组合的未来预期利润和预期损失。预期利润和预期损失是此类投资组合的收益和风险指标。然后,在交易者设定的风险承受能力范围内,尽可能提高收益,从而选出最佳组合。对 SPY 期权链历史数据的广泛回溯测试应用说明了这些策略的有效性,尤其是在处理短期到期期权以及作为看跌期权和看涨期权卖方时。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Trading Option Portfolios Using Expected Profit and Expected Loss Metrics
When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the strategies estimate the drift and volatility parameters of the future probability distribution of the price of the underlying asset. From this distribution, the trader can further estimate the future expected profit and expected loss that may be experienced for any portfolio of strikes of the call and put contracts. Expected profit and expected loss are the reward and risk metrics of such portfolios. An optimal portfolio can then be selected by making the reward as high as possible under the risk tolerance set by the trader. Extensive back-testing applications to historical data of SPY option chains illustrate the effectiveness of these strategies, particularly when dealing with short-term expiry options and when acting as a seller of put and call options.
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来源期刊
Risks
Risks Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
3.80
自引率
22.70%
发文量
205
审稿时长
11 weeks
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