【MeL】Volatility ―Practical Options Theory―
Iqbal, AS 著
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目次
1 Volatility and Options 1 1.1 What is an Option? 1 1.2 Options are bets on Volatility 3 1.3 Option Premiums and Breakevens 5 1.3.1 Understanding Option Premiums 6 1.3.2 Relation between Premium and Breakeven 7 1.4 Strike Conventions 8 1.5 What is Volatility? 9 1.5.1 Implied Volatility, simplied 9 1.5.2 Probabilities and Breakevens 13 1.5.3 Implied Volatility and Realised Volatility 13 1.5.4 Realised Volatility, srealised 14 1.6 Trader’s Summary 17 2 Understanding OptionsWithout a Model 19 2.1 Vanilla Options 19 2.1.1 Option Payoffs 20 2.2 Making Assumptions 21 2.3 Understanding Vt with Economic Assumptions 21 2.4 Delta and Delta Hedging 23 2.5 The Value Function 24 2.6 Defining Delta 25 2.7 Understanding Delta 26 2.8 Delta as the Probability of an In–The–Money Expiry 29 2.9 Applying Delta as the Probability of an ITM Expiry in Practical Trading 33 2.10 Constructing Vt 34 2.10.1 Jensen’s Inequality 35 2.10.2 Trading Intuition Behind Jensen’s Inequality 36 2.10.3 American Options 37 2.10.4 Gradient of Vt 37 2.10.5 Drawing Vt 37 2.11 Option Deltas 39 2.12 A Note on Forwards 39 2.13 Put–Call Parity 41 2.14 Trader’s Summary 43 3 The Basic Greeks: Theta 45 3.1 Theta, q 46 3.1.1 Overnight Theta for an ATM option 47 3.1.2 Dependence of q(St ; t;si) on St 48 3.1.3 Dependence of q(St ; t;si) on t 56 3.2 Trader’s Summary 60 4 The Basic Greeks: Gamma 61 4.1 Gamma, G 62 4.2 Gamma and Time Decay 63 4.3 Traders’ Gamma, Gtrader 64 4.4 Gamma–Time Decay Trade–offs In More Detail 64 4.5 PnL Explain 66 4.5.1 Example: Gamma, Time Decay and PnL Explain for a 1 week Option 66 4.6 Delta Hedging and PnL Variance 69 4.7 Transaction Costs 71 4.8 Daily PnL Explain 71 4.9 The Gamma Profile 73 4.9.1 Gamma and Spot 73 4.9.2 Gamma and Implied Volatility 74 4.9.3 Gamma and Time 75 4.9.4 Total Gamma. 76 4.10 Trader’s Summary 76 5 The Basic Greeks: Vega 79 5.1 Vega 80 5.2 Understanding Vega via the PDF 81 5.3 Understanding Vega via Gamma Trading 81 5.4 Vega of an ATMS Option across Tenors 82 5.5 Vega and Spot 82 5.6 Dependence of Vega on Implied Volatility 85 5.7 Vega Profiles Applied in Practical Options Trading 85 5.8 Vega and PnL Explain 87 5.9 Trader’s Summary 87 6 Implied Volatility and Term Structure 89 6.1 Implied Volatility, simplied 90 6.2 Term Structure 94 6.3 Flat Vega and Weighted Vega Greeks 94 6.3.1 Flat Vega 94 6.3.2 Weighted Vega 95 6.3.3 Beta Weighted Vega 97 6.4 Forward Volatility, Forward Variance and Term Volatility 97 6.4.1 Calculating Implied Forward Volatility 99 6.5 Building a Term Structure Model using Daily Forward Volatility 100 6.6 Setting Base Volatility Using a 3 Parameter GARCH Model 102 6.6.1 Applying the 3 Parameter Model 104 6.6.2 Limitations of GARCH 105 6.6.3 Risk Management Using the 3 Parameter Model 106 6.6.4 Empirical GARCH estimation 106 6.7 Volatility Carry and Forward Volatility Agreements 107 6.7.1 Volatility Carry in the GARCH model 108 6.7.2 Common Pitfalls in Volatility Carry Trading 108 6.8 Trader’s Summary 109 7 Vanna, Risk Reversal and Skewness 111 7.1 Risk Reversal 112 7.2 Skewness 114 7.3 Delta Space 116 7.4 Smile in Delta Space 117 7.5 Smile Vega 119 7.5.1 Smile Vega Notionals 121 7.6 Smile Delta 122 7.6.1 Considerations Relating to Smile Delta 123 7.7 Trader’s Summary 124 8 Volgamma, Butterfly and Kurtosis 125 8.1 The Butterfly Strategy 126 8.2 Volgamma and Butterfly 127 8.3 Kurtosis 128 8.4 Smile 129 8.5 Butterflies and Smile Vega 130 8.6 Trader’s Summary 131 9 Black–Scholes–Merton Model 133 9.1 The Log–normal Diffusion Model 133 9.2 The BSM Partial Differential Equation (PDE) 134 9.3 Feynman–Kac. 137 9.4 Risk Neutral Probabilities 138 9.5 Probability of Exceeding the Breakeven in the BSM model 139 9.6 Trader’s Summary 139 10 The Black–Scholes Greeks 141 10.1 Spot Delta, Dual Delta and Forward Delta 141 10.1.1 Spot Delta 141 10.1.2 The ATM Strike and the Delta Neutral Straddle 143 10.1.3 Dual Delta 144 10.1.4 Forward Delta 144 10.2 Theta 145 10.3 Gamma 147 10.4 Vega 147 10.5 Vanna 148 10.6 Volgamma 148 10.7 Trader’s Summary 148 11 Predictability and Mean Reversion 149 11.1 The Past and the Future 149 11.2 Empirical Analysis 150 A Probability 155 A.1 Probability Density Functions (PDFs) 155 A.1.1 Discrete Random Variables and PMFs 155 A.1.2 Continuous Random Variables and PDFs 156 A.1.3 Normal and Lognormal Distributions 157 B Calculus 161 Glossary 163 References 167
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