期权计算

流程:

1. 每天上传交易记录,分配到交易组合里,系统转换成头寸 期货交易 101UNDEFINED

2. 在专属行情价格里维护并保存当日标的收盘价的价格 上传专属行情数据

3. 通过期权计算板块计算期权的价格,保存到专属行情价格期权计算

4. 剩下的,系统就会根据保存的价格,波动率,Greeks来计算 P/L,头寸等


期权计算板块能够使用特定的期权定价模型来计算期权合约在某一结算日期下的价格及其风险指标。

1. 请点击左侧导航栏中的 成交明细 下拉菜单中的 金融衍生品交易

 

再点击 期权计算 板块

 


2. 请参考步骤3来了解如何使用期权计算功能。此外,您也可以按如下步骤来手动录入:

请点击+ 新交易按钮手动输入数据。所有红色字段均为必填项。为了区分自动填写的未平仓合约(参考第3点)和手动输入的行,当您点击+ 新交易以输入数据时,新添加的行将显示绿色边框。

 

  • TTM: The number of days from the settlement date to the last trading day of all trading days (excluding weekends), you may edit as necessary

  • POC: The total number of trading days of the selected option contract in the expiry month, you may edit as necessary

  • DELTA : Delta value represents the fluctuation of the option price or option premium due to the change of the underlying futures price.

  • GAMMA : Gamma value is defined as how Delta itself changes with the change of the underlying futures price. Please regard Gamma as the Delta of Delta.

  • THETA : Theta measures the sensitivity of an option to time. Theta is usually expressed as a negative number.

  • VEGA : Vega is used to measure the sensitivity of an option to implied volatility.

Once all required fields are filled, please tick the row and click on Save Changes at the bottom left of the page to save your data into the Proprietary Market Data page. You may proceed to the Market Data>Proprietary Market Data table to view your saved options data (settlement price, DELTA , GAMMA , THETA , and VEGA obtained through the option calculation formula)

 

描述:

产品代码:您选择的期权合约代码

产品名称:选择产品代码后,将自动填写期权产品名称

月份:期权合约的到期月份

年份:期权合约的到期年份

看涨/看跌:Call/Put

执行价

交易日:将根据结算日期自动填写(默认为当天日期),您可以根据需要更改

结算价:您选择的期权合约在设定结算日的结算价

当日标的收盘价当日期权标的品种合约的收盘价,采取行情数据价格

现货价格:会根据当日标的收盘价自动填写。否则,您可以手动输入现货价格

隐含波动性(%):隐含波动率

到期天数:所有交易日(不包括周末)从结算日到最后交易日的天数,您可以根据需要进行编辑

合约当月交易天数:所选期权合约在到期月份的总交易天数,您可以根据需要进行编辑

 

结算价:您选定的期权合约在设置结算日期的结算价格

DELTA值:Delta值代表期权价格或期权费因为标的期货价格的变动而产生的波动。

GAMMA值:Gamma值定义为Delta本身是如何跟随标的期货价格变化而变动的,请将Gamma看作为Delta的Delta。

THETA值:Theta衡量的是期权对时间的敏感度。Theta通常以负数表示。

VEGA值:Vega用于衡量期权对隐含波动率的敏感度。

填写所有必填字段后,请勾选该行并单击页面左下方的保存保存信息,将您的数据保存到专属行情数据页面。您可以进入行情数据>专属市场数据表查看您保存的期权数据(通过期权计算公式得到的结算价、DELTA、GAMMA、THETA、VEGA)


3. 请参阅以下步骤以进行期权计算。

3. To proceed with the option calculator function, please refer to the following steps to input your parameters:

步骤一、选定期权品种以及结算日期

Step 1: Choose Product and Settlement Date

请现在品种的下拉菜单中选择您的期权合约(如SGX/FEFO)和在结算日期中选择您需要的结算日期(默认为当天),再点击 +未平仓合约按钮。与您选择的产品结算日期相关的所有未平仓合约将自动显示在表格中。

Please select the option contract (such as SGX/FEFO) from the Product drop-down list, and the settlement date in the Settlement Date field (the default is today), and click on + Open Contract. All open contracts related to your selected Product and Settlement Date will be automatically displayed in the table

If these details are already input when creating Paper Trades, clicking on + Open Contract will auto fill these fields:

  • Code

  • Name

  • Month

  • Year

  • C/P

  • Strike

  • Date

  • Underlying Price


录入参数

步骤二、设置您的最后交易日与年天数

请在最后交易日下拉菜单中选择您需要的最后交易日种类,例如CMLBTD

请在年天数中手动输入您的当年总交易天数(默认为365天),请随意修改

请点击计算按钮表格里的到期天数合约当月交易天数会自动填充。请注意,您必须填写月份年份数据才能使此计算功能起作用。

  • 到期天数:从结算日期到最后交易日的所有交易日天数(除去周末),您也可以自行修改

  • 合约当月交易天数:选定期权合约在到期当月的总交易天数,您也可以自行修改

 

Input Parameters

Step 2: Set Last Trading Day and Year Days (the number of days in the year).

Please select the type of last trading day in the Last Trading Day drop-down list, such as CMLBTD, and enter the total trading days of the year in the Year Days field (the default is 365 days), you may edit as necessary

Please click on the blue Calculate button next to Years Days to perform the calculations, and the TTM (expiry days) and the POC (contract trading days of the current month) will be automatically filled in the table. Please note that Month and Year data must be filled for this Calculate function to work.

  • TTM: The number of days from the settlement date to the last trading day of all trading days (excluding weekends), you may edit as necessary

  • POC: The total number of trading days of the selected option contract in the expiry month, you may edit as necessary

 

步骤 3: 设置无风险利率和商品持有成本:

  • 无风险利率(%):请您自行设置,第一次录入后会自动保存并默认显示

  • 商品持有成本(%):请您自行设置,若标的品种为期货合约,则此处为0,第一次录入后会自动保存并默认显示

 

Step 3: Input Risk Free Rate (%) and Cost of Carry Commodities %

  • RFR %: Risk-free Interest Rate, after the first entry, it will be automatically saved and displayed by default after the first input, you may edit it as necessary

  • COC%: Cost of Carry Commodities, after the first entry, it will be automatically saved and displayed by default after the first input, you may edit it as necessary. If the underlying product is a futures contract, this is 0.

 

Step 4: 设置现货价格以及录入隐含波动性(%)

Step 4: Set the Spot Price and Implied Volatility (Sigma %)

  • 自动设置现货价格来:您可以手动输入或在表格上方的右上角勾选 自动设置现货价格,以自动从行情数据中获取现货价格

  • 隐含波动性(%): 请在表格里录入您自己定义的SIGMA值

 

  • Spot Price: You may input manually or tick AUTO SP at the top right corner above the table to automatically fill the spot price based on the Underlying Price

  • Sigma %: Please enter the defined implied volatility (Sigma % value) in the table

 

 

Step 5: 选择计算公式

请在期权定价公式中选择您需要的定价公式:

Step 5: Set the Option Pricing Formula

Please select the pricing formula from the Option Pricing Formula drop-down list. Only TURNBULL-WAKEMAN ASIAN is available, if other formulas are required, please contact us at support@mafint.com.

 

TURNBULL-WAKEMAN ASIAN介绍:

亚洲期权价格计算的一种常用模型, Turnbull–Wakeman 公式是连续算术平均利率期权的著名公式。

在亚洲期权频繁交易的许多商品和能源市场中,平均值通常基于期货或远期价格,也就是说,标的资产的持有成本为零,同时当连续股息收益率等于无风险利率时,股票期权的持有成本也可以为零。

Turnbull-Wakeman 不仅为持有成本不为零的亚式期权开发,也可以扩展到持有期货期权(持有成本为零)。

2017 年,欧洲能源交易所宣布他们已从使用 Black-76 公式(Black 1976)结算货运期货期权,转而使用 Turnbull-Wakeman 公式,从 2018 年开始,欧洲能源交易所一直在根据 Turnbull-Wakeman 公式结算货运期货期权和铁矿石期权。

The Turnbull–Wakeman formula is a well-known formula for continuous arithmetic average rate options.

In many commodity and energy markets where Asian options frequently trade, the average is typically based on futures or forward prices, that is to say, the cost-of-carry for the underlying asset is zero. Options on stocks can also have a cost-of-carry of zero. If the continuous dividend yield is equal to the risk-free rate, then the extension given in this note can be used in that case as well.

Turnbull-Wakeman was developed not only for Asian options with non-zero holding costs, but can also be extended to hold options on futures (with zero holding costs).

In 2017, the European Energy Exchange announced that they had switched from using the Black-76 formula (Black 1976) for settling freight futures options to the Turnbull–Wakeman formula. From 2018 on, the European Energy Exchange has been settling both freight futures options and iron ore options based on our modified Turnbull–Wakeman formula.

 

以上信息录入完毕后,请点击 计算, 您会得到以下信息:

结算价:您选定的期权合约在设置结算日期的结算价格

DELTA值:Delta值代表期权价格或期权费因为标的期货价格的变动而产生的波动。

GAMMA值:Gamma值定义为Delta本身是如何跟随标的期货价格变化而变动的,请将Gamma看作为Delta的Delta。

THETA值:Theta衡量的是期权对时间的敏感度。Theta通常以负数表示。

VEGA值:Vega用于衡量期权对隐含波动率的敏感度。

 

After entering the above information, please click on the Calculate button next to Option Pricing Formula, and the following will be automatically calculated.

  • Settlement Price: the settlement price of the option contract you selected on the set settlement date

  • DELTA : Delta value represents the fluctuation of the option price or option premium due to the change of the underlying futures price.

  • GAMMA : Gamma value is defined as how Delta itself changes with the change of the underlying futures price. Please regard Gamma as the Delta of Delta.

  • THETA : Theta measures the sensitivity of an option to time. Theta is usually expressed as a negative number.

  • VEGA : Vega is used to measure the sensitivity of an option to implied volatility.

 

填写所有必填字段后,请勾选该行并单击页面左下方的保存保存信息,将您的数据保存到专属行情数据页面。您可以进入行情数据>专属市场数据表查看您保存的期权数据(通过期权计算公式得到的结算价、DELTA、GAMMA、THETA、VEGA)This data can be viewed in various models/reports in the Dashboard such as Portfolio Top View etc.

 

请点击保存来保存数据

通过期权计算公式得到的结算价、DELTA值、GAMMA值、THETA值、VEGA值会保存到专属行情数据中