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?25? ???
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(No Transcript)
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25.1 ???????????
1. ??????
????????????????,???????????,?????????? (???)
????????,????????
? ???????????????????
???? (Buy a Put) ???? (Sell a Put)
???? (Buy a Call) ???? (Sell a Call)
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2. ????????
? ?????????????????????? (Exercise Price or
Strike Price)?(????????) ?
? ??????????????? (Premium)?,?????
? ???????????????,?????????
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3. ??????
(1) ?????
? ???????????????????
? ?????????? (CBOE)?? 1973 ?????????????
? ??????????? (Index Futures)?
? ????????? (CBOE)SP 100 ? 500 ??? ? ?????
(NYSE)??????? (NYSE Composite Index)? ? ?????
(AMEX)?????? (Major Market Index) ???????
(Japanese Stock Index)? ? ????? (PHLX)???????
(Value Line)?
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(2) ?????
???????? (PHLX)?? 1983 ??????????? (Foreign
Exchange Options)????????????????????
(3) ?????
?????? (Interest Options)????????????????,????????
?????? (T-Bond Futures Options)??
(4) ?????
?????????????,?????????????,??????
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4. ????????
?????? (American Options)??????????????????????
?????? (European Options)????????????
?????????,?????????????
5. ???????
????????????,?????????? (CBOE)??????
(ASE)??????(PHLX)? ???????????????????
(Over-the-Counter Options),????????
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25.2 ????????
1. ???????
? ????????
???????????? ?1 ??,????????? (Call
Options),??????
?? ?31,250,??? 1.50/?, ??? 0.06/??
? ????,?????
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??????????

• ????? ???? ? ?? (At-the-Money) ?
• ????? gt ???? ? ?? (In-the-Money)?
• ????? lt ???? ? ?? (Out-of-the-Money)?

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? ???????????
???? ???? 45, ??? 1.125?
? ???????????
???????????
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? ???????? (Vertical Spreads)
???? ???? 43, ??? 2.0? ???? ????
45, ??? 1.125?
???????????????
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2. ???????
? ?????????
???????? 1.10/,??? 0.012/?
??????????
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? ???????????
?????? ???? 57, ??? 2.0?
? ???????????
????????????
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3. ???? (Straddle)
? ????????? (Long Straddle)
??????????????,?????
?? ???? 80, ??? 4? ?? ???? 80,
??? 5?
? ???? (Call) ???
? ???? (Put) ???
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? ???????????
??????? (Long Straddle)
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? ?????? (Strangle)
???????????????
?? ???? 50, ??? 3.0? ?? ???? 45,
??? 2.5?
? ?????? (Call) ???
????? (Put) ???
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? ???????????
??????? (Short Strangle)
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25.3 ??????
1. ??????????
??????????
? ? Call Put
???? -
???? -
????????
?????
???? -
(1) ?????????
 
??????,???????,????????
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(2) ????????
? ?????????? (In-the-Money)??
??? (??) ????????
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(3) ??????
? ????? (Expiration Date)??????,?????????,????????
(In-the-money)????
? ?????????????
(4) ?????
??????????,??????,????????????
? ?????????? ? ??????????
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2. ????????
(1) ?? (Call Options)
???????????
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(2) ?? (Put Options)
??????????????????????
????????
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(3) ???? (Intrinsic Value)
????? (????,Intrinsic Value)????
? ???? (Buy Calls) Ct Max (0,St - X)? ? ????
(Buy Puts) Pt Max (0,X - St)?
???????????
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3. ???????? (Put-Call Parity)
????????
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? ??????????????
????????????????????????,??
????????,???????????
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25.4 ????????
?????????????????
? 2001 ? 12 ??????????? (TXO)?? ? 2003 ? 1
????????????????????? 5 ????????????
? ???????
????? (TXO)??????????????
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? ?????????????
?? 4,196 ???????????? (MTX)?(?? 50,????? NT 2.3
?)?
? ? 181 ? (?? 50) ????????? 4,300 ?????????
(TXO)??
? ????????????
? ????????