相較於股票選擇權,賣出期貨選擇權的優點

相較於股票選擇權,賣出期貨選擇權的優點

作者  james cordier&michael gross

股票選擇權和期貨選擇權的所需保證金不同,這是賣出期權的主要優點之一.對於相同的權利金收益,賣出期權保證金,遠低於賣出股票選擇權.舉例來說,對於價值$200的股票選擇權,賣出該選擇權所需的保證金可能是$1200~$1400或更高,實際金額取決於前文討論的各種因素.這種情況下,如果選擇權到期沒有價值的話,投資報酬率相當於14~17%,績效不錯

可是,對於權利金同樣是$200的期貨選擇權,賣出選擇權所需要的保證金可能是200~400,權利金收益大約是投入資本的50~100%.價格越高的選擇權,這方面的差異越顯著

價外程度深的期貨選擇權,權利金通常較高,這是賣出期權的另一個優勢.由於期貨可供運用的信用擴張程度較大,即使是價外程度很大的選擇權,權利金水準都還很不錯.某些價格波動劇烈的股票,雖然也有價外程度很高的選擇權可供交易,但對於多數的股票選擇權來說,如果想取得有意義的權利金收入,所挑選的履約價格通常只能侷限在3單位以內.反之,期貨選擇權即使挑選價外程度更深的履約價格,也可能取得$400.$500或$600的權利金收入

對於某些價格波動劇烈的商品,選擇權賣出標的的履約價格甚至可以是當時市場價格的2倍到3倍.舉例來說,對於市價$70的股票,如果想要賣出買權,往往只能挑選$72.$74或$76,否則權利金就太低了.可是,對於咖啡商品來說,假定咖啡價格目前為70美分,即使挑選$1.40~$2.00的履約價格的買權,賣出這些選擇權的權利金仍然不錯,除非咖啡價和在選擇權契約期間內上漲1倍或2倍,這些選擇權才能進入價內狀態.所以,交易者如果願意承擔保證金可能調高的潛在風險,賣出期權是相當不錯的策略

相較於股票選擇權,期權的第三個優勢是市場流動性.交投活絡的股票選擇權,其根本股票不下數百種.至於期貨,只有大約50~60種契約存在活絡的選擇權市場.期貨選擇權的交易比較集中.所以,相較之下,期權的市場流動性高於股票選擇權,但類似如金融期貨.糖.農作物.原油等主契約,其成交量和未平倉量都足以因應每個履約價格數百.甚至數千口的選擇權.尤其是大型金融契約,譬如:歐洲美元和s&p500,未平倉量非常龐大,選擇權的進出非常方便


ADVANTAGES OF SELLING FUTURES OPTIONS VERSUS STOCK OPTIONS

author james cordier&michael gross

One advantage is that because of the differences in the ways that margin requirements are calculated for stock options and futures options, margins for selling options in futures generally are much lower than the premium collected in equity options. For instance, to sell an option worth $200 in stocks can require a margin deposit of up to $1,200 to $1,400 or more depending on the factors mentioned in our margin discussion. Assuming that this is the case, this would equate to a 14 to 17 percent return on capital invested. Not bad.

However, selling a $200 option in futures often can entail a margin requirement of only $200 to $400—a 50 to 100 percent return on capital invested. This difference can be more exaggerated in higher-valued options, which we recommend generally.

Another advantage is higher premiums for distant strikes. Because of the leverage available in futures, attractive premiums can be collected for options with far-out-of-the-money strikes. While some more distant premiums are available in certain volatile stocks, most options in equities must be sold within one to three strike prices of the actual underlying stock to receive any premium at all. In futures trading, attractive premiums of $400, $500, $600, or more can be collected at strike prices far, far out of the money.

In some markets with more volatile natures, options sometimes can be sold at strike prices that are double or even triple the price of the underlying contract. For instance, a stock trading at $70 may require a bearish trader to sell a call option with a strike price of $72,$74, or $76 to receive any type of premium. While a seller of calls in a market such as coffee, with coffee prices at 70 cents, may be able to sell calls with strikes of $1.40 to $2.00 or more and still receive very attractive premiums. Think about this for a moment. Coffee prices would have to increase by 100 to 200 percent within the life of that option for it to ever go in the money. This strategy can be very lucrative for traders willing to assume the risk of potential increases in margin in the meantime.

The third advantage is liquidity. While there are many hundreds of stocks where options may be available for active trading, there are only about 50 to 60 futures contracts with an active option market.

This provides a more concentrated market for options in futures.

Therefore, the typical futures contract is likely to have much more liquidity in its option market than most stocks. While some futures contracts have higher option open interest than others, most of the major contracts, such as financials, sugar, grains, crude oil, etc., have substantial volume and open interest offering several hundred or
even several thousand open contracts per strike price. Larger financial contracts such as the Eurodollar or S&P 500 have monstrous open interest, making it very quick and easy to trade in and out of these options and meaning that traders have to do very little in the way of “working” the order.



http://www.facebook.com/oolong1001