Discussion of Options Trading and Strategies期权交易策略讨论 Charlie Sernatinger

ED&F Man Capital Markets Inc.

What is the easiest way to visualize options? 如何最简单地看待期权Think of options as an “insurance policy” 想象期权为“保险”If you buy an option, you are buying insurance如果你买期权的话，就相当于买保险If you sell an option, you are acting like the

insurance company 如果卖期权，你就相当于保险公司Buying and selling options on spreads is a way

to offset the cost of insurance 买 / 卖期权套利，相当于抵消保险的支出

Remember that Options have two components: Price & Time 记住，期权有两个要素：价格和时间

To set up an options strategy, you must always have a “price/time scenario”, where you lay out your expectations of where prices will go and when they will go there 建立一个交易策略，必须明确你的价格目标以及什么时候达到这个目标

Never ask someone else “what would you do in options here?” This asks him for his “price/time scenario”, and not your “price/time scenario” 永远不要问别人如何交易期权，这是在问他的价格 / 时间计划，而不是你自己的

General Guidelines for Options Trading期权交易的几个要领1) Keep it simple! Complicated strategies can kill you and

take up your time 简单化，复杂的策略只会浪费你的时间2) try not to be short options net. This can turn you into an

options manager instead of a hedging manager. Being short is for options professionals with lots of experience 尽量不要“裸空”期权，这是资深专业交易者使用的策略

3) There is no such thing as a “free trade”. Brokers that try to get you to buy and option and sell other options to “pay” for it may have a net zero premium trade at that moment, but a trade is never “free”. 没有“免费”的交易，经纪人可能让你同时买卖期权，使得权利金为“零”，但是没有任何交易是免费的

Example of “free trade” that was not free ：看起来“免费”交易的例子In 2009 ethanol companies were told by brokers to

buy corn calls that were expensive. In order to pay for them, they sold twice as many puts under the market for net zero paid premium at the time. Brokers told them there was no chance that the puts would be exercised. 去年经纪人告诉酒精厂买高价的玉米看涨，为了支付权利金，同时卖出两倍的低于市场价格的看跌期权，经济人声称看跌期权不会被执行

When the market broke, the ethanol companies ended up double long when prices went through their short puts in a market that kept breaking, and eventually several companies went bankrupt. 当市场下跌的时候，酒精厂的看跌期权变成多头期货合约，市场进一步下跌，最终导致数个酒精厂的破产

Example of “free” trade 举例说明“免费”交易Buy 1 July $9 call at 67 ½ when July futures are at

8.70, sell 2 July $10 calls at 38 for a credit of 8 ½ cents 当七月合约的价格在 $8.70 的时候以 67.5 分的价格买入 1手七月 $9.00 的看涨，同时以 38 分的价格卖出 2 手七月 $10.00 的看涨，净收入 8.5 分

Look at the attached chart of profit and loss. The blue line is profit and loss on April 10 下页的图中蓝线是4 月 10 日的盈利与损失

On that date, if the market is at $8, the profit is 8 cents, at $9 the profit is 12 cents, at $10 the loss is 20 cents, above that the loss is unlimited. If the market rallies to $15, you are basically short 1 future at $10.

在 4 月 10 日，如果市场价格为 $8.00 ，盈利是 8 分，如果市场价格为 $9.00, 盈利为 8.5 分，到了 $10.00, 盈利为 91.5 分，在 $10.00 之上，损失无限大，如果价格到了 $15.00, 你实际上拥有的是 1 手 $10.00 的空头期货合约。

Lesson: there is no such thing as a “free trade” 教训：没有任何交易是免费的

A strategy may not cost anything when you put it on, but it could cost you a lot if the market moves against you 一个交易策略开始时可能你不需要支付一分钱，但是市场向对你不利的方向变动时，你就会损失很大

It is important to know the bad things that can happen to a strategy to discount the risk 重要的是要 知道事情可能会向不利的方向发展

The “time rule” for grains谷类市场的“时间规则”As a general rule, when options get within 88 days of

expiration, the time value starts to drop off sharply 通常说来，当期权到期日在 88 天以内时，期权的时间价值开始大大下降This means it is not a good idea to hold a long option

in this window 意味着这时候不宜持有多头期权You can offset some of this time loss by selling

another option against your long further out of the money 你可以通过卖一个期权来部分对冲多头虚值期权时间价值的下跌

Strategies for different price/time scenarios 不同的价格 / 时间策略Scenario: you believe the market is going up quickly

and you want limited risk to the downside 场景：你相信市场会很快上涨，但是希望控制住市场下跌的风险Strategy: buy call option. If the market goes up fast,

you lose little time value, and yet you have limited downside risk – only the premium that you paid 交易策略：买看涨期权，如果市场快速上涨的话，你损失时间价值，但是向下的风险有限，仅仅是支付的权利金

Downside: calls can be expensive, or the market does not go up as fast as you anticipate and the time value decays taking away much of the profit of the trade. 不利之处：看涨期权可能比较贵，或者市场上涨没有那么快，时间价值的递减使得交易盈利下降

Price/Time = you believe market is going up, but more slowly and you want to pay less 你认为市场会上涨，但是上涨缓慢，而且你不想支付太多权利金

Strategy: buy a call spread, buying a call option near to the money and selling a call with a higher strike price

策略：做看涨期权套利，买入接近市场价格的看涨，卖出更高执行价格的看涨This costs less than buying a call outright 花费比直接买看涨期权要小Disadvantage: if the market rallies fast, you will not get

the full value of the spread before expiration 不利之处：如果市场上涨较快，在到期日之前无法完全获得套利的价值

Let’s Illustrate time in a call spread 解释在看涨期权套利中的时间价值Your price/time scenario is that the market will rally to

$10 by the middle of April, present price is $8.70 for May beans 你的价格 / 时间目标是市场会在四月中上涨到$10.00, 当前五月豆的价格为 $8.70

Strategy: buy May $9 call @ 41 ½ and sell $10 calls @ 16 ½ for 25 cent cost 交易策略：在 41.5 分买入五月 $9.00的看涨，在 16.5 分卖出 $10.00 的五月看涨期权，净支付 25分

Look at the attached chart for the profit and loss on April 10, 15 days from expiration (blue line). The red line is profit on the day of the trade, the green line is profit/loss on expiration 看看 4 月 10 日的盈利 / 损失图，离到期日还有 15 天

红线为交易当日的盈 /亏，蓝线为 4 月 10 日的盈利 /损失，绿线为到期日的盈利 /损失

On April 10th.. 在 4 月 10 日If the market is at $8, you have a 20 cent loss in the

spread 如果市场价格为 $8.00, 套利损失为 20 分If the market is at $9, you have a 10 cent profit 如果市场价格为 $9.00, 盈利 10 分If the market is at $10 you have a 60 cent profit 如果市场价格为 $10.00 ，盈利 60 分The maximum profit at expiration is 75 cents ($1

difference between strikes minus the cost of trade of 25 cents) 到期日的最大盈利为 75 分（执行价格之差减去最初支付的 25 分）

Let’s look at the trade if we did it in the November contract instead of May如果我们交易的是 11 月合约而不是 5 月

When the trade is initiated, the Nov $9 call is 77 ½ and the $10 call is 50 ½ with 237 days to expiration, total cost is 27 cents 开始交易的时候， 11 月 $9.00 的看涨为 77.5 分， $10.00 的看涨为 50.5 分，距离到期日237 天，净支出 27 分

Look at the graph of the profit and loss on the date of April 10 看 4 月 10 日的盈亏图

Again, the red line is profit/loss on the day of the trade, the blue line is April 10 and the green line is expiration

You can offset some of this time loss by selling another option against your long further out of the money 可以通过卖期权来抵消虚值期权多头时间价值的损失 蓝线为 4 月 10 日的盈亏，绿线为到期日，红线为交易当日的盈亏

Profit and loss for November futures on April 10 4 月 10 日的盈亏

If the market is at $8 in Nov beans, the loss is 5 cents on the spread versus 20 cents loss for the May strategy如果 11 月豆价格为 $8.00, 期权套利损失为 5 分而不是 20 分

If the market is at $9, the profit is 10 cents, the same as for the May 如果市场价格到 $11.00, 盈亏和 5 月套利相同

If the market is at $10, the profit is 25 cents compared to 60 cents for the May 如果市场价格为 $10.00, 盈利为 25分，而不是 60 分

Longer time value flattens both the risk and the reward 时间价值拉平了盈亏

Main Lessons结论1) Remember the time rule if you are long options 如果是做多期权，记住时间规则2) You have to pay to play. If you are buying an

insurance policy, you have to pay the premium 必须支付你的交易，正如买保险要付权利金一样3) Being net short options is management intensive,

especially if you are wrong on your price/time scenario“ 裸空”期权的话，就要更加注意风险管理，特别是如果你算错了时间 / 价格目标

4) When being net short options ask yourself: “Do I want to do this from 20,000 km and 13 time zones away from Chicago?” 在空期权之前，明确这点：自己是在距离芝加哥 2万公里，时差 14小时的中国 。

5) If you are going to do a spread to cut the cost, keep the delivery month close if you want to benefit from a price move 如果想通过期权套利来降低费用，选择近月合约，如果想从价格波动中获利的话

Other Strategies 其它策略

The Butterfly 蝶式套利

What is it, and why do we do it? 什么是蝶式套利，为什么要做蝶式套利？A butterfly is buying one call, selling two of the

same month further out of the money, and then buying one more even further out, and you can do the same in puts. 蝶式套利是买入一个看涨，卖出两个同月价外看涨，然后再买入一个更“虚值”的看涨；看跌期权同理

The strategy is a low risk way of saying that you think the market is not going to move very far, but will go in the direction of the butterfly 这个策略是当你认为市场不会波动太大，但是会朝着蝶式套利方向变化的一个低风险策略

Example 举例We buy one May bean 950 call at 41 7/8 when the

futures are at 963 ½ with 51 days to expiration, then sell 2 May 980 calls at 27 ¾, then buy 1 May 1010 call at 17 7/8 for a total cost of 4 ¼ cents 在 41 7/8 分买入5 月豆 950 的看涨，当期货价格到了 963 ½, 还有 51 天到期的时候，在 27 ¾ 分卖出两份 5 月 980 的看涨，然后在17 7/8 分买入 1 张 5 月 1010 的看涨，总支出是 4 ¼ 分

The most you can lose on this trade is 4 ¼, if the market goes down, or if the market goes above 1010 最大损失是 4 ¼ 分，如果市场向下或者上涨到 1010 以上的话

The most you can make on the trade is 25 ¾, which happens if the May option expires right at 980　最大盈利是 25 ¾ ，如果５月期权到期时是 980 的话

When to do a butterfly什么时候做蝶式套利Since the strategy assumes relatively small

price movement to a specific level, it is generally best to do a butterfly close to expiration of the option in the nearby

　因为这个策略假设的前提是相对较小的波动，通常最佳时间是在近月合约接近到期日的时候

The Straddle　鞍式套利

A straddle is selling both a put and a call at the same strike price in the same month 同时卖出同一个月份的同一个执行价格的看涨和看跌

You do a straddle when you believe that the market is not going to move very far in either direction 当你认为市场在任何一个方向都不会波动太大的时候做鞍式套利

The risk is if the market trends hard in a direction and travels more in price than the combined premium you sold　风险是当市场向一个方向波动较大，幅度超过你获取的权利金的时候

The Straddle　鞍式套利

Example 举例You sell 1 May 960 call and 1 May 960 put with 51 days to

expiration for a combined price of 69 ¾ cents when futures are at 963 ½ 卖出一张 5 月 960 的看涨和看跌，期货价格在 963 ½ 时获取的权利金为 69 ¾

You are saying that in the next 51 days, you do not think that the market will move more than 69 ¾ cents from 960 in May futures 在接下来的 51 天你认为 5 月期货价格的波动幅度不会超过 69 ¾ 分

Your risk is not only a price move, but a volatilty move 风险不只是价格波动，同时还有波动率的变化You will be charged original margin similar to futures and

any variation margin calls 保证金和期货的保证金相当

At expiration　到期日If the market is lower than 890 ¼ or higher than

1029 ¾, you will lose money, the further above or below those prices, the more you lose 当市场低于 890 ¼ 或者高于 1029 ¾ ，损失

Profit is maximized at 960 at expiration 到期日时价格在 960 的话，盈利最大Profit declines the further you move from the

strike price 市场越偏离执行价格，盈利越下降

How can you hedge with options?如何利用期权套期保值

Example 1: long physical beans举例 1 ：持有现货多头If you have priced out your cargo of soybeans,

and you do not want to sell Dalian oil and meal futures because of a bad margin, you can buy a put to hedge the downside risk while you still own the soybeans 如果你已在 CBOT 上点价，但是不想卖大连豆油和豆粕，可以考虑买入看跌期权来对冲向下的风险

When the vessel lands, as you crush the soybeans, for every ton that you crush, you sell out one ton worth of put options. 当船到港，每压榨一吨大豆，平出相应量的看跌期权

What are the bad things that can happen to this strategy?这种策略不利的一面是？Time value decays while the put is on, so if

prices stay stable or go down, the put will not give you 100% protection 当建立看跌期权多头的时候，时间价值就开始递减，看跌期权不能给你 100%的保护

The cost may be very high. In this case you may consider a put spread, but this will give you even less coverage on a sharp down move 价格可能很高，这种情况下可以考虑看跌期权套利，但是如果大幅下跌，受保护的程度有限

Example 2: you have not priced your beans 例 2 ：还没有点价You know you need beans for January and will

have to price them, and you know you want to price 50 cents lower than present value 如果一月份需要大豆，想在当前价格以下 50 分点价

In this case, a strategy to consider might be to sell put options on soybeans 这种情况可以考虑卖出看跌期权

Selling puts to hedgePresent price = $10.50 当前价格“Wish Price” = $10 理想价格You do not believe prices will go sharply higher 不认为价格会大幅上涨January $10 puts = 35 cents 一月 $10 的看跌期权权利金为 35 分You sell January $10 puts at 35 cents 卖出这个看跌期权Expiration is in 90 days 90 天内到期

What will happen?If the price goes below $10 at expiration, you will

be long soybeans at $10 and you will collect the 35 cents premium, for an effective long price of $9.65 如果在到期日，价格跌破 $10, 那么相当于持有 $10 的大豆多头，算上权利金，相当于 $9.65

If the price is above $10 at expiration, you will have no futures position, and you will collect the 35 cents premium 如果到期日，市场在 $10 以上，那么期货上没有头寸，但是得到 35美分的权利金

What are the bad things that can happen?不利的一面是什么？If the market rallies sharply, you have only 35

cents protection on the upside 如果市场大幅上涨，那么你仅有 35美分的保护If the market breaks sharply, say, to $8.75, then

you will be long at $9.65 如果市场大幅下跌，比如到了 $8.75, 但是你持有 $9.65 的多头After the option expires, you must either price

your beans or engage in hedging to offset your long position 期权到期后，你要么点价，要么对冲掉多头期货

Example 3: the partial product hedge 部分对冲

Soybean meal tends to correlate much closer to US futures than soyoil does 豆粕现货和期货的关联性比豆油好

In cases where DCE gives a good hedge for oil but a poor hedge for meal, you can price your bean cargo, and then sell DCE oil while buying puts on meal on the CBOT如果 DCE 上可以做豆油的套期保值，可以点价，然后卖 DCE豆油，同时在 CBOT 上买入豆粕的看跌期权

Often the premiums on meal options are less expensive in volatility than for soybeans 通常豆粕期权的权利金低于大豆的波动率

This leaves you flexibility to sell out your puts at any time and replace with DCE sales when margins get better这样你就有更大的灵活性卖出看跌期权，取而代之以在 DCE上卖出豆粕，当利润转好的时候

What are the bad things that can happen? 不利的一面Puts can be expensive, which will cut down your

margin 看跌期权可能很贵，使得整体利润下降If the market goes down sharply, there is no cash

flow from the put until the position is liquidated 如果市场大幅下跌，看跌期权在平仓之前都没有现金收入；Chinese meal prices may fall much more sharply

than US prices, with the put not giving 100% coverage 大连豆粕比 CBOT 下跌得深，那么看跌期权不能提供 100% 的保护

Always remember the basics!记住几个要点Rember to think through a strategy仔细考虑一个策略What is my price/time scenario? Does the

strategy agree with what I think about the market and when I think it will happen?我的价格 / 时间目标是什么？跟我对市场的看法相符合么？

What are the bad things that can happen to me? Do I need the cash flow? What happens if the market moves big up or down? 对我不利的一面是什么，我需要现金么？如果市场大幅上涨 / 下跌该怎么办？

Discussion of Spreading and its relationship to basis trading 套利及其与基差交易的关系

Charlie Sernatinger

ED&F Man Capital Markets Inc.

Rules for Soybean Delivery on CBOTCBOT大豆交割规则

The CBOT contract is a “river deliverable” contract for points stretching from Chicago at the mouth of the Illinois River to St. Louis. The Illinois River feeds into the Mississippi River at St. Louis. CBOT 大豆合约是可以交割的合约，交割点从芝加哥（伊利诺依河的上游）到圣路易斯（伊利诺依河在此注入密西西比河）。

S

oybeans are deliverable at par to the board in Chicago with differentials at different delivery points up to 6 over the board at St. Louis 大豆在芝加哥以等同于期货的价格交割，在不同的交割点，价格不同。

Soybean Delivery大豆交割Think about soybean delivery as a cash market

with a “fixed basis”, Chicago soybeans are cash beans with a basis always even to the board price 想象大豆交割为现货市场“固定基差”的交易，芝加哥大豆的基差为零。

Sometimes this implied basis of “even” for Chicago beans is cheap compared to the cash market, and sometimes it is expensive 有时候这个“零基差”跟现货市场比较起来较为便宜，有时候较贵。

Why is this important for the gulf basis?这对湾区基差的重要性85% of the soybeans loaded at the gulf are brought in by

barges 85% 到达湾区的大豆是用驳船运输Barges feed into the lower Mississippi River through the

upper Mississippi River, the Missouri River, the Illinois River and the Ohio River 驳船进入密西西比河下游，经过上游密苏里河，伊利诺依河和俄亥俄河

Exporters search for a way to protect their basis when they sell for export at the gulf. If an exporter sells soybeans at the gulf, he is short the basis 出口商在湾区卖出大豆的话，他就持有空头基差，如何保护呢？

How an Exporter thinks出口商如何考虑If an exporter needs to buy physical beans to load a

boat, he buys barges 如果出口商需要买入大豆现货的话，他必须买入驳船，These barges are originated mostly in the northern

river systems 这些船主要来源于北部河流If the soybean basis (cash market at the gulf) is

expensive, he will consider taking delivery of CBOT beans and barging them down to New Orleans 如果湾区大豆基差较贵，他可能会考虑交割 CBOT 大豆，用船装运到新奥尔良

How much does it cost to barge soybeans to the gulf? 驳船费用

The barge market is traded on “tariff”. Base tariff is 17.3 cents a bushel to ship grain from Chicago to New Orleans 驳船运费是根据“关税”来计算，从芝加哥装运谷类到新奥尔良的基本关税为$17.3/ 蒲式耳；

Barges are traded on a percentage of tariff, for example bid 300% and offered at 325% 驳船运费以关税的百分数交易，比如买卖报价分别为 300% 和 325% ；

A barge that trades at 325% from Chicago means you pay 3.25 times 17 cents = 55.25 cents per bushel to ship grain to New Orleans 如果驳船运费报价为 325% ，就意味着要支付每蒲3.25x17.3=56.225 的价格把大豆运到新奥尔良

Barge freight is traded daily 驳船运费日内交易

The role of Spreading 套利的作用An exporter “short” basis for loading a boat does not

want to be long flat price soybeans, he wants to be long basis 持有空头基差的出口商不愿意买入大豆，而想买入基差

How does he turn the flat price CBOT contract into basis? 如何把平价的 CBOT 大豆合约转变为基差

He buys the nearby contract and then sells the next contract (bullspread), which makes him long basis of zero Chicago and hedged short. Example: long May beans short July: when he takes delivery, it is at even board price, and he is now short July futures to hedge his cash 买入近月合约 /卖出远期合约（牛市套利），比如5/7 月套利，交割之后，剩下 7 月空头对冲现货上的头寸；

When does an exporter need to bullspread? 出口商何时开始做套利1) When he does not own as much basis

(physical grain) at the gulf as he needs to load on a boat 出口商在湾区没有基差可供出口装船

2) when the basis is close to being at delivery equivalence with transportation costs included基差接近交割等值

Delivery equivalence is a function of both the basis at the gulf and the cost of transportation (barge freight) 交割等值与湾区的基差和运输费用均有关系

Old crop/new crop spreads 旧作 /新作套利Old crop/new crop spreads are most often

traded in the July/November soybean spread 旧作 /新作（ 7/11 月）套利交易最为活跃。

The spread reflects perceived fundamental situations in both the old crop and the new crop这个套利反映了旧 /新作的基本面情况。

Historically the spreads is very sensitive to flat price movements. Bull markets = bullspreads, bear markets = bearspreads 通常说来，这个套利的价格跟期货价格走势密切关联。

Old crop/New crop can be very dangerous旧 /新作套利交易的风险When the spread is trading hotly, the daily range

can be larger than the range of the nearby contract 旧 /新作套利大量交易的时候，交易价格范围可能会超过近月合约的范围

Old crop/New crop is traded mostly speculatively, with huge flows of capital 新 /旧作套利交易可能是纯粹投机性交易，有大量资金涌入

These spreads are margined very highly due to the volatility 由于波动性较大，这些套利要求的保证金更高

Factors to affect the old crop影响到旧作的因素1) cash tightness in old crop 旧作现货紧缺2) prospect for old crop carryout 旧作结转库存的预测3) export prospects for the summer 夏季的出口前景4) crush demand 压榨需求5) new crop prospects – a crop failure may force

commercials to grab stocks when they sense a supply problem 新作产量预测

Factors affecting the New Crop影响到新作价格的因素1) planted acreage for new crop 新作种植面积

2) prospective carry in 期初库存

3) weather for new crop 新作的天气情况

4) prospects for demand in the new crop 新作的需求

Old crop/new crop works on oil and meal, too豆油 /豆粕同样有旧 /新作套利Oil and meal are directly related to soybean old

crop and new crop fundamentals 豆油和豆粕跟大豆旧 /新作的基本面息息相关Meal usually does not trade at large carrying

charges as US crushers generally do not store meal 豆粕的价差不会达到完全仓储费用，美国压榨商不愿意存储豆粕

When old crop/new crop beans are at carrying charge, it is generally exaggerated in the oil 豆油套利可以达到完全仓储的水平