期权垂直价差交易策略的盈亏界定

Profits and losses of option vertical spread transaction strategy

垂直价差是指投资者买进和卖出的是同一垂直系列的期权所形成的价。相比较基本交易策略而言,此种交易策略属于较为复杂的交易策略,可以把风险锁定在一个特定的区间。目前文献人多只是对其简单介绍,并没有完全考虑到因为协定价格与期权价格之间关系的不同而产生的不同盈亏支付结果。本文通过界定协定价格与期权价格之间关系,对垂直价差交易策略进行全面分析、归纳。

The vertical spread is refers to the investor to buy up and to sell the price which is the identical vertical series. Comparing the basic transaction strategy to say, this kind of transaction strategy belongs to the more complex transaction strategy, and could lock risk in a specific sector. At present the textbook is mostly only to its simple introduction, not completely considered to the different profit and loss due to the difference between agreement price and option price. Through the limits between prehensive analysis about the vertical spread agreement price and the option price, this article carries on the comtransaction strategy.