期權價格的火箭助推器:Vega
波動率是一個用來描寫一隻股票、期貨或者指數的價格變化有多快的術語。在期權中也是如此,標的資產的波動率變化和期權價格呈正相關性,也就是說標的資產的波動率越大,期權價格越高,反之亦然。標的資產波動的幅度越大,對買方來說,實現自己預期的可能性越大,所以付出的成本就越高。對賣方則相反,標的資產的波動率高,賣方的風險就越大,所以收取的期權金就越高。
跟期權有關的波動率有三個,分別是歷史波動率HV、預測波動率以及隱含波動率IV。歷史波動率HV是指標的資產的歷史實際波動率,即通過對標的資產在過去一段時期內價格變化的統計得出的波動率。預測波動率是在統計歷史波動率的基礎上,推斷出來用來給期權理論定價的波動率。隱含波動率IV就是期權當下市場給出的波動率,是根據期權的現價倒推出來的,代表了市場當下對標的資產未來的波動率的看法。
Vega是與期權波動率最相關的重要參數,同時也是最難以把握的風險,畢竟期權交易還有另外一個名字,叫做波動率交易。
Vega基本概念
Vega表示隱含波動率每變動1%,期權價格變動的大小(其他條件不變的情況下)。例如,Vega = 0.37,代表以目前的情況,隱含波動率波動1%,期權價格變動$0.37。
Vega刻畫的是隱含波動率-Implied Volatility-(IV)與期權價格的關係。當股票IV增大,帶動期權價格的升高。股票IV降低,期權價格回落。同Theta一樣,Vega影響的也是期權的外在價值,不影響內在價值。
仔細觀察期權鏈,你會發現相同執行價的看漲和看跌期權, Vega讀數一致。隱含波動率對於Call和Put的影響程度相同。
Vega與頭寸方向
買入期權頭寸是正Vega,它表示隱含波動牢的增高對期權頭寸有利。賣出期權頭寸是負Vega,它表示隱含波動率的降低對期權頭寸有利。
當我們把所有這些希臘字母結合起來看,就會發現各種期權策略的希臘字母都存在細微差別。例如,雖然Long Call和Short Put都是看漲頭寸,但它們的Gamma、Theta、Vega都截然相反,表現出不同的非線性特徵。把這些頭寸相互搭配,就可以創造出看上去類似,但細節上千差萬別的期權策略。
期權價格的火箭助推器:Vega
平值期權附近的Vega讀數最大,而分別往兩邊,進入ITM或OTM狀態,Vega都在逐漸縮小。
投資者可以利用期權賺Delta的錢,可以賺Theta的錢,可以賺Vega的錢。但若對比效力,Vega的力量不可忽視,就像一顆蘊含巨大能量的火箭推進器。在通常情況下,只需要20%的IV跳漲,虛值期權的價格就可以翻倍。並且越往虛值區域深入,百分比增長越迅猛。
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