期权专题报告：期权实际应用案例分析

研究院量化组 摘要 研究员 本文介绍了期权市场常见的无风险套利组合及其具体案例，以及在应对不同市场行情时建议的期货和期权的交易策略及其具体案例。 高天越0755-23887993gaotianyue@htfc.com从业资格号：F3055799投资咨询号：Z0016156 核心观点 1.无风险套利（详细案例见正文） 联系人 期权中常见的无风险套利组合为平价套利、垂直套利、日历套利及蝶式套利。 李光庭0755-23887993liguangting@htfc.com从业资格号：F03108562 2.期货及期权实际应用（详细案例见正文） 单边上涨：期货端建议期货多头，期权端建议看涨多头或看涨反比率价差。震荡上涨：期货端建议期货多头，期权端建议牛市价差或看跌空头。单边下跌：期货端建议期货空头，期权端建议看跌多头或看跌反比率价差。震荡下跌：期货端建议期货空头，期权端建议熊市价差或看涨空头。震荡：期货端无推荐策略，期权端建议卖出跨式或卖出宽跨式。大幅波动：期货端无推荐策略，期权端建议买入跨式或买入宽跨式。 李逸资0755-23887993liyizi@htfc.com从业资格号：F03105861 投资咨询业务资格：证监许可【2011】1289号 目录 摘要...........................................................................................................................................................................................1核心观点....................................................................................................................................................................................1期权无风险套利策略及应用场景..............................................................................................................................................4期权基础策略及应用场景........................................................................................................................................................11总结..........................................................................................................................................................................................24 图表 图1:看涨多头到期盈亏图|单位：元..................................................................................................................................12图2:看涨反比率价差到期盈亏图|单位：元.......................................................................................................................12图3:I2401大涨行情|单位：元............................................................................................................................................13图4:持仓期间累计损益对比|单位：元...............................................................................................................................13图5:持仓期间资金占用对比|单位：元...............................................................................................................................13图6:牛市价差到期盈亏图|单位：元..................................................................................................................................14图7:看跌空头到期盈亏图|单位：元..................................................................................................................................14图8:I2309震荡上涨行情|单位：元.....................................................................................................................................15图9:持仓期间累计损益对比|单位：元...............................................................................................................................15图10:持仓期间资金占用对比|单位：元.............................................................................................................................15图12:看跌多头到期盈亏图|单位：元................................................................................................................................16图13:看跌比率价差到期盈亏图|单位：元.........................................................................................................................16图14:RB2401单边下跌行情|单位：元...............................................................................................................................17图15:持仓期间累计损益对比|单位：元.............................................................................................................................17图16:持仓期间资金占用对比|单位：元.............................................................................................................................18图18:熊市价差到期盈亏图|单位：元................................................................................................................................19图19:看涨空头到期盈亏图|单位：元................................................................................................................................19图20:RB2401震荡下跌行情|单位：元...............................................................................................................................20图21:持仓期间累计损益对比|单位：元.............................................................................................................................20图22:持仓期间资金占用对比|单位：元.............................................................................................................................20图24:卖出跨式到期盈亏图|单位：元................................................................................................................................21图25:卖出宽跨式到期盈亏图|单位：元.............................................................................................................................21图26:上证50ETF震荡行情|单位：元................................................................................................................................22图27:持仓期间累计损益对比|单位：元.............................................................................................................................22图28:持仓