2013.11.

26

delta

3
calls puts

10

Delta
Gamma
Theta
Vega

11


e.g.
15%
vega

callsputs

12

-101250calls
-812puts

2.86

+301251calls
1.0*3

-451252calls

+701249 puts
-1401250 puts
+701251 puts 0.4*7
13

2
1

14

2
1

15

1312

2600
6.6
2550
19.4
2500
37.5
2450
44.5
2400
74.7
2350
86.9
2300
127.8
2250
168
2200
230
2150
290.4

25%

BS

6.3
19
30
44
68
87
122
160
213
275

16

27%
25%
30%
25%
30%
25%
28%
27%
42%
57%

PCA

17

SPX

LME

EUR/USD

18

19


y=f(k)
y-
K-(moneyness)
skewness

skewness

20

PCA

21

PCA

PC1,2,3)

1 + 2 + 3

= + + = , , ,

22

+ 1 + 2 + 3

Sticky strike

Sticky binomial tree

Sticky delta
Sticky binomial tree

Sticky delta
Sticky strike

23

(S, K, t)

ATM

() ()( 0 )

delta

() ()( )

() ()( + )

24

25

26

gamma
gamma

27

28

0708
ATM

29

2013.10.18
30

delta

BS

, = , + ,

21600400
3
2013872165550

1082750Delta
1082750Delta
Delta

BSDeltaDelta
31

32

delta
delta

P&L =
0, 0,
+ +
33

2013
515-2.59
5%

110%OTM
90%OTM
delta201387
1.87

delta

60
34



fanbei@htfutures.com
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