【正文】 ? 現(xiàn)貨市場 期貨市場 ? 12月 10日預(yù)計 3個月后支付 200 同日買進(jìn) 16份瑞士法郎期貨合約 ? 萬瑞士法郎 （ 200/） ? ＄ 1= ? （ SF1=＄ ） SF1=＄ 3月 10日用美元買進(jìn) 200萬瑞士法郎 同日賣出 16份瑞士法郎期貨合約 ? ＄ 1= ? （ SF1=＄ ） SF1=＄ 虧損 200（ ） =＄ 9200 盈利 200（ )=9200＄ 56 （三）外匯期權(quán)交易 （ Option Trading） ? 期權(quán)交易又稱選擇權(quán)交易，是指交易者通過付出一筆較小的費(fèi)用，便能得到一種權(quán)利，在預(yù)先商定的日期或該日期前，按照預(yù)先商定的價格和數(shù)量買賣某一特定商品或金融資產(chǎn)的權(quán)利。 ? 外匯期權(quán)交易是指合同買方付出保險費(fèi)或期權(quán)費(fèi)，獲得以協(xié)定價格買賣約定數(shù)量的貨幣或放棄這種買賣的權(quán)利，合同的賣方獲得期權(quán)費(fèi)并且承擔(dān)匯率波動風(fēng)險的交易。 ? 外匯期權(quán)合同的買方是有權(quán)無責(zé)，賣方是有責(zé)無權(quán)。 ? 外匯期權(quán)合同內(nèi)容與外匯期貨合同內(nèi)容大致相同。但有履約價格、期權(quán)費(fèi)的特殊規(guī)定。 Option Markets – Call and Put ? Call option the right (not obligation) to buy a fixed number of underlying securities (instruments) at a specified price, called the strike price or exercise price, for a specified period of time. Call Option – Payoff diagram P a y o ffL o n g c a l l0 . 6 50 . 0 10 . 6 6 (B re a k e v e n p o i n t )S p o t p ri c eF i g u re 1 : c a l l o p t i o n? A put option the right to sell a fixed number of underlying securities at a specified price (also called the strike price or exercise price) for a period of time。 Put Option Payoff l o n g p u ts p o t p r i c eI0 . 6 5$ 0 . 0 2p a y o f f$ 0 . 6 3 ( B r e a k e v e n p o i n t )F i g u r e 2 : p u t o p t i o nB. Exchangetraded vs OTC options ? Currency options are available in both the anized exchanges and the overthecounter (OTC) market. ? Options traded on the OTC markets are customized ? both the amount and the maturity. ? available for more currencies than the limited number of currency exchangetraded option ? OTC options are tailormade for the customers, there is not an active secondary market B. Exchangetraded vs OTC options ? The OTC currency options market consists of two sectors: ? The first is a retail market posed of nonbank customers who purchase from banks what amounts to customized insurance against adverse exchange rate movements. These customers prefer the OTC market because of their ability to obtain terms that fit their needs. ? The second is a wholesale market among mercial banks, investment banks, and specialized trading firms. This market has options that are larger in contract size than elsewhere, and typically Europeanstyle. OTC Option Markets ? They are customized unlike the standardized exchangetraded options. The exchanges can be viewed as the discount stores (“onesizefits all” stores). The international banks are boutiques offering tailormade products to customers. ? Premiums on OTC options are higher than the parable exchangetraded options. This difference primarily reflects the customized nature of the OTC options。 OTC Options ? Typically European style. No flexibility of the exchangetraded American options. No secondary market, the distinction between Americanstyle and the Europeanstyle is significant。 ? A desired maturity less than the standard maturity for an exchangetraded American option can be easily acmodated, although the transaction cost on such a contract may not be justifiable. Option Markets ? Exchanges require margins for writers. In most exchanges, options buyers have to pay the premium up front. ? LIFFE (London International Financial Futures Exchange) does not require up front premium on options。 ? Option buyers have to set up a margin account based on the delta factor。 and they receive profits on a daily basis without any need for liquidating the position. ? LIFFE also allows automatic offset of margins on a bination of options. This feature is also mon in the . option exchange for trading different option strategies. Option Markets ? The collateral requirements on OTC options cannot be generalized, but they primarily depend on the customer’s creditworthiness, perceived value of its business by the bank, and the exposure created by the option position of the bank. ? Exchangetraded contracts have the backing of the clearing house unavailable in the OTC options. Consequently credit risk analysis of the counterparty bees critical in an OTC option. 67 外匯期權(quán)的種類 ? 按期權(quán)買進(jìn)和賣出的性質(zhì)分：看漲期權(quán)、看跌期權(quán)和雙向期權(quán)。 ? 看漲期權(quán)（ Call Option）也叫買入期權(quán)，是指買方預(yù)測未來外匯價格將上漲，購買該種外匯期權(quán)可獲得在未來一定時期內(nèi)以合同價格和數(shù)量購買該種外匯的權(quán)利。 ? 看跌期權(quán)（ Put Option ）也叫賣出期權(quán)，是指買方預(yù)測未來外匯價格將下降，購買該種外匯期權(quán)可獲得在未來一定時期內(nèi)以合同價格和數(shù)量賣出該種外匯的權(quán)利。 ? 雙向期權(quán)是指期權(quán)買方獲得在未來一定時期內(nèi)以合同價格和數(shù)量買進(jìn)或賣出該種外匯的權(quán)利。 ? 按行使期權(quán)的有效期分：歐式期權(quán)和美式期權(quán)。 ? 歐式期權(quán)買方只能在到期日行使期權(quán)。美式期權(quán)買方可以在到期日前的任何一天隨時交易。 ? 場外期權(quán)和場內(nèi)期權(quán)。 68 外匯期權(quán)交易操作 ? 買入看漲期權(quán)：協(xié)定價格 ＜ 市場價格時，行使期權(quán)，按協(xié)定價進(jìn)行； 協(xié)定價格 ＞ 市場價格時，放棄行使期權(quán)，按市場價進(jìn)行。 ? 買入看跌期權(quán)：協(xié)定價格 ＞ 市場價格時，行使期權(quán)，按協(xié)定價進(jìn)行； 協(xié)定價格 ＜ 市場價格時，放棄行使期權(quán)，按市場價進(jìn)行。 69 買入看漲期權(quán) ? 我國某外貿(mào)公司 3月 1日預(yù)計 3個月后用美元支付 400萬瑞士法郎進(jìn)口貨款，預(yù)測瑞士法郎會升值，做外匯期權(quán)交易保值。 ? 已知： 3月 1日即期匯率＄ 1= ? （ IMM）協(xié)定價格 SF1= ＄ ? （ IMM）保險費(fèi) SF1= ＄ ? 期權(quán)交易傭金占合同總額的 %，采用歐式期權(quán)。 ? 求： 3個月后假設(shè)美元市場價格分別為 ? ＄ 1=＄ 1=，該公司各需支付多少美元？ 70 ?（ 1）在＄ 1=， ?實際支付 =400萬 +400萬 +400萬 %/2 =202萬美元 + +1萬美元 = ?（ 2）在＄ 1=， ?實際支付 =400萬 /+400萬 +400萬 %/2 = + +1萬美元 = 71 買入看跌期權(quán) ? 我國某外貿(mào)公司向英國出口商品， 1月 20日裝船發(fā)貨，收到價值 100萬英鎊的 3個月遠(yuǎn)期匯票，擔(dān)心到期結(jié)匯時英鎊匯率下降，減少美元創(chuàng)匯收入，做外匯期權(quán)交易保值。 ? 已知： 1月 20日即期匯率￡ 1=＄ ? （ IMM）協(xié)定價格￡ 1=＄ ? （ IMM）保險費(fèi)￡