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????A ??Ȩ???ղ???

??????ŷʽ??Ȩ??Ͷ?????ձ???Ϊ????ʲ??۸???Ȩ?۸?ʣ?ൽ??ʱ?䡢?޷??????ʡ???IJ????ʼ??ֺ?????????????Ӱ????Ȩ?۸????Ҫ???ء???1??ӳ????Ȩ?۸????????????Ĺ?ϵ??

???????????Ԥ?ڱ???ʲ??۸??????5%????1???????ǿ?????Ȩ?۸?????ǣ???ô?????Ƕ????أ???Ȩ???ղ????????????֮??Ķ????仯???⡣

??????Ȩ???ղ?????Greeks???Ǽٶ???????Ӱ?????ز????????£???һ???ر仯һ????λʱ??Ȩ?۸?ı仯????????ͨ????ϣ????ĸ????ʾ??????Delta??Gamma?? Theta??Vega????Rho????Щָ?꾭??????Ϊ???????жȣ?risk sensitivities??????ղ?ȣ?risk measures????Գ??????hedge parameters????
??Ȩ???ղ??????ص㼰ʵս????
????B ?????ʲ??۸???صķ??ղ??????????ղ???Delta??????????????Black-Scholesģ????Ϊ????ģ?ͣ???
??Ȩ???ղ??????ص㼰ʵս????

????????N??????????̬?ۻ??ֲ?????????Ȩ?۸?Ϊ2.4Ԫ?Ŀ?????ȨDelta=0.4331???ʹ???ETFÿ????0.1Ԫ????Ȩ?۸?????0.04331Ԫ????Ҫ֪?????DZ???ʲ???Delta????1????һ?????Ҳ??ԣ????ETF?۸??????ˣ???Ȼƽ??ʱ??Ȩ???п??𣬵????????ҪС??ETF??ӯ??????Ϊ??ʱ??ϵ?DeltaΪ????Delta????????Ҫ?ص㣺????1. ??????Ȩ0c1????????Ȩ0p1????p=c-1??????2. ƽֵ??Ȩ??Delta????ֵ??0.5??????ʵֵ?Ĵ???0.5??ʵֵ?̶?Խ??Խ?ӽ?1????ֵ??С??0.5??????ֵ?̶?Խ??Խ?ӽ?0??????3.???ŵ????յ??ٽ???ʵֵ??Ȩ??Delta????1????ֵ??Ȩ??Delta????0??ƽֵ??Ȩ??Delta?ӽ?0.5??

??????Ȩ??Լ????ô??ִ?м?λ??Ͷ?????ڽ????и????ѡ???أ????Ͷ????????Ȩ??Ҫ??Ϊ?˼Ӵ?ܸˣ?ϣ?????Ի???????ʲ??ǵ??Ͻӽ??????棬??ʱ?Ϳ???ѡ??Delta????ֵ?ӽ???1????Ȩ??Ҳ???????ʵֵ????Ȩ??????Ȩ????Ҳ??ȽϹ???Ϊ?????˽ϸߵ??ں???ֵ????֮?????Ͷ????????Ȩ??Ϊ?˶?һ?ѣ?ϣ?????Ի?ýϸߵ?Ͷ?ʻر??ʣ???ô??Ҫѡ????ֵ?̶Ƚ??????Ȩ??????Ȩ?۸?Ϊ2.7Ԫ?Ŀ?????Ȩ?ɱ?Ϊ0.0054??DeltaΪ0.1547???????Ԥ?ں?Լ????ʱETF???д?????ǣ????絽2.9Ԫ?????Եõ??ϸߵĻ?????????37??????2014?꣬??ԭ????λ????80????Ԫ/Ͱʱ????Ͷ?????????˴?????Ȩ????45??Ԫ?Ŀ?????Ȩ????????ȼ??⣬Ȩ????Ҳ?൱???ˡ??????????ü?λ???ֿɼ?????ʹƽ??Ҳ?????ķᡣ??????ԭ?ͼ۸????û???????Ļ?????Ȩ????Ͷ???߽???ʧȫ??Ȩ??????Ҳ??Ͷ??????ֵ??Ȩ?ķ??????ڡ?

???????????Ծ????Ȩ????λ??ƽֵ??????????ETF??Ȩ?Ľ??׳ɱ????ܽϸߣ????Ͷ???߽??ж??߽??׵Ļ???????ѡ????΢ʵֵ????Ȩ????ȻȨ????ϸߣ???????ͬ??ETF?仯??õ?????Ҳ??Խϸߡ?

???????ղ???Gamma????Gamma () ????Ȩ??Delta?仯?????ʲ??۸?仯?ı??ʣ???ʾ??Delta?Ա???ʲ??۸?䶯?????г̶ȣ?????Ȩ??ֵ???ڱ???ʲ??۸?Ķ??׵?????
Gamma????Ҫ?????У?????1. ???ǿ?????Ȩ??Gammaֵ??Ϊ????????????ȣ?????2. ƽֵ??Ȩ??Gammaֵ???ʵֵ????ֵ??Ȩ??Gammaֵ?𽥱?С??????3. ???ŵ??????ٽ???ƽֵ??Ȩ??Gammaֵ???????ӡ?

????Gamma????Ҫ?????У?????1. ???ǿ?????Ȩ??Gammaֵ??Ϊ????????????ȣ?????2. ƽֵ??Ȩ??Gammaֵ???ʵֵ????ֵ??Ȩ??Gammaֵ?𽥱?С??????3. ???ŵ??????ٽ???ƽֵ??Ȩ??Gammaֵ???????ӡ?

????????Gammaʹ????Ȩ??ϵ?Delta???Բ???һ?ɲ???ģ?Ϊ?˱???ͷ???Delta???ԣ?Ͷ??????Ҫ???Ͻ??ж?̬?Գ塣??????Ȩ?۸?Ϊ2.4Ԫ?Ŀ?????ȨGamma=1.2228????Etf????0.1Ԫʱ????ȨDelta??????0.4331??????0.5554??

??????Ҫ?ر?ע????ǣ???ƽֵ??Ȩ?쵽??ʱ??Gammaֵ????????ӣ???ˣ?????Ȩ????ǰ?????????գ?????????????ƽֵ??????Ȩ?Ļ???Delta?仯??dz??󡣵?Ȼ???Ͷ????ֻ?Ǽ???????Ȩ??Gamma??û??ô??Ҫ????Ҫ????Delta??

????C ????????????صķ??ղ???

???????ղ???Vega????Vega??ʾ?ڼٶ????????ر??ֲ????????£?????һ??λ?????ʵı䶯?????????Ȩ??ֵ?䶯????ŷʽ??Ȩ??Vega????ͨ?????湫ʽ???㣺

????????Ȩƽ?۹?ʽ??֪??ŷʽ??????Ȩ?Ϳ?????Ȩ??Vegaֵ??ȡ?ͬʱ?????ۿ??ǻ??ǿ?????Ȩ?????Ų????ʵ?????????Ȩ??ֵ???????ӣ??????Ȩ??Vega??Ϊ????????Vega????Ҫ?ص??У?????1.VegaҲ????ƽֵ??Ȩ?????????????Ȩ??ʵ?̶ȱ?????𽥱?С??????2.??Ȩ??????Խ????VegaֵԽ??

??????????Խ??????Ȩ?ܲ????ʱ仯??Ӱ??ҲԽ????ˣ??????Ԥ?ڽ??ڲ????ʿ???????????仯????????Ҫ???????޽ϳ?????Ȩ?????Ӳ?????????????ڳ?????Ȩ????˲??ʺ?Ԥ?ڲ??????п??ܽ??͵????顣???????ʱ?䣬???ڹ?Ʊ?г????ǰ?????µĻ??????????????ȶ??ļ???Ԥ?ڲ????ʽ??ͽ????ʺϹ??????볤???޺?Լ??

???????ղ???Theta????Theta??????ʾ?ڼٶ????????ر??ֲ????????£?????һ??λ?????ڵĸı??????????Ȩ??ֵ?䶯????????????Ȩ??ֵ?Դ????ڵ????г̶ȡ?Theta?ش????????????⣬??????ʱ??????ţ?Ͷ???ߵ?ӯ?????????Ƕ??١?ŷʽ??Ȩ??Theta????ͨ?????¹?ʽ???㣺????Theta????Ҫ?ص??У?????1.??ȨȨ??????Thetaֵ??Ϊ??ֵ??Ҳ????˵??Ͷ????????Ȩ??Ҫ????ʱ???ֵ?ģ?Ȩ?????е?ʱ???ֵ???ֻ?????ʱ???ƽ????ݼ???????2.ƽֵ??Ȩ??Theta?????ֵ??Ȩ??ʵֵ??Ȩ??Theta??С??

??????Theta??Gamma???ڱ???ʲ??۸??ͼ?ο??????ߵ???״???ƣ????Ƿ????෴??Ҳ????˵??????Ȩ??GammaΪ????????ThetaΪ????Gamma???׾??????ó???Gamma????????Theta????ʧ??Ƚ?????ȡ????ġ?

???????ղ???Rho????Rho??????ʾ?ڼٶ????????ر??ֲ????????£?????һ??λ???ʵĸı??????????Ȩ??ֵ?䶯????????????Ȩ??ֵ?????ʵ????г̶ȡ?ŷʽ??Ȩ??Rho????ͨ??Black-Scholes??ʽ???㣺

??????ȨͶ????һ????ٹ?עRho????ΪRho?ľ?????ֵ??С?????????ڶ?ʱ???ں??ٷ???????1%?ľ??ұ䶯??????2014??11?½?Ϣ֮ǰ???ϴε?Ϣ???????????ǰ?????ҷ???Ҳֻ??0.25%?????Ͷ???߻??????Բ??ù???Rho???????????ڽ??ڽ??뽵Ϣ???ڣ????漸??????Rho?ı䶯???ɻ??????õģ?????1.??????Ȩ??RhoΪ??????????Ȩ??RhoΪ????Ҳ????˵????Ϣ?????ڿ?????Ȩ???????ڿ?????Ȩ??????2.Rho?????????Եķ?ʽ??ʱ?????ӣ?Ҳ????˵?????ʱ仯?Գ?????Ȩ??Ӱ??ȶԶ?????Ȩ??Ӱ?????

????D ??Ȩ???ղ?????????

???????ղ?????ETF??Ȩ???к?ı???

??????Ȩ???ղ???????Ȩ???׵?Ӱ?????ۺϵģ????ܵ?????ij??ֵ??
??2Ϊ????ETF??Ȩ???к?ı???

??????2Ϊ????ETF??Ȩ???к?ı???

????????50ETF?º?????4.32%??????Ȩû????ô???ˣ?56????Լֻ??4?????ǣ?????3??2200Call????14.84%??2300Callֻ????0.7%????6??2200Call?µ???7.76%????????Ȩ????ȫ???µ?????3??2200Put?µ???80.03%??Ϊʲô????????ֽ?????ȿ?????Ȩ??ֵ???ڸ????ղ????ķֽ⹫ʽ??

??????ȻETF?۸????ǻ???ɿ?????Ȩ?۸????ǣ???????5???????յ????ţ?ʱ???ֵ????ʧ?Dz??ɱ???ģ??ر???Ҫ?????????????յ??????????̣???????Ȩ?????????????Ѿ??Ӵ?Լ34%????20%????????Ȩ????????????Ҳ?Ӵ?Լ38%????24%???????????ʱ????????????????Ȩ??Delta????Ӱ?첻?ܵ???Theta??Vega?ĸ?Ӱ?졣??Ȼ????????˴????????????????࣬??Ͷ????һ??Ҫ?Դ????????ӡ?

???????????һ????????Ȩ????Ȼ????ʲ??۸??????ˣ?????Ȩ?????С?ˣ???????Ϊ??Ȼ׬????Delta??????Theta??Vega??????ʧ???ܸ???Ͷ???߿??????????ǧ??Ҫ??Ϊ??Ȩ???͹??ˣ??????????Ȩ???֣?һ??Ҫ?????ۺϵķ?????

??????Ȩ??ϲ??԰???????????һ???ɻ???300ָ????????Ȩ????ķ???۲???ԡ????赱??ָ??Ϊ3150?????뵽???ջ???25?? ????ǰ?г??????ʽϵͣ?????ʹ?ó?ʼ?۸???ս?Сͬʱ???Dz????ʵķ???۲???ԡ?
??3Ϊ???????ָ?????

??????3Ϊ???????ָ?????

??????ʼ??϶?Delta???????У?ͬʱVega??Gamma??Ϊ??ֵ??˵????????ǿ??ನ???ʵģ???Ӳ????ʵ??????л??????????г??۸?????ǣ?????ͷ??ʵֵ?̶ȱ?????????ʵֵ??Delta??????????1???????????????ݿ?????Ȩ????ô?ܵ?Delta?ֲ?Ҳ????????1?????۸񽵵?ʱ??????????ݸ???Ȩ?۸?Delta????????0?????г??۸???????Ȩ?۸?ʱ??Delta????ֵ??Ϊ0.5???????г??۸񽵵?ʱ???ֲ?Delta????һ???½????̡?

??????ô?Ϳ???ͨ??????۲?ijֲ?Delta?ó????ۣ????????????г??۸???????????????????????г??۸?Ĵ???µ?Ҳ????????????????µ?ʱ?ֲ?Delta??????0?????µ?ʱӯ?????ޡ?

????????ϵ?Gamma??Vega?????г??۸?ı仯???????Ƶı仯????????Ϊ???߾?????ƽֵ????ȡ?????ֵ????Ϊ????????ʱ??????????ƽֵ??Ȩ???????ڸ???Ȩ?۸?ʱ??Gamma??VegaҲ?ﵽ????????ż۸?ı仯?????߶???Ӧ?ؼ?С??

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