《外汇交易实战图表与交易心理》 作 者：(新加坡)许强 (美国)Gary Weiss

2. a Single barrier option as with the range options this particular type of vehicle deals with a single pricing event that may occur during a particular period of time. However, in this situation, the event is based upon only one specific price point, as opposed to a range.

For example, take Dollar/Yen trading currently at 105.25 for spot, with a one month single barrier option quoted to refleet a strike at 105.50. In this situation, the holder of the option can once again take either side of the equation, as being in the money if the option trades over or under the specific strike.Similar to the range option, the price of the single barrier option will reflect volatility, time, and also in this case, the distance of the current rate to the appropriate strike price. Specifically, while the current spot rate is in fact close to the strike, on an adjusted forward rate for one month (losing the implied spot carry for one month) the implied rate is quite a bit farther away maybe as much as 25 points or more. Further, as part of the measurement of the volatility component for the option, the idea of whether the market has traded higher or lower than the strike, and for what period of time, will also have to be considered.

3. a Single 搆nock in?option within the context of derivatives in general, this type of option may in fact be one of the more unique varieties. As its name implies, the option itself is contingent upon a certain event. Once that event transpires, then an option will exist that will have certain characteristics on its own.

Specifically, this type of option translates into multiple sets of criteria in structuring, and also carries with it a second layer of complexity that the other two varieties do not. For example, assume once again that Dollar/Yen is trading at 105.25, and that we are examining an option for a 105.50 call with a knock in at 106.00. What this translates into is a generic105.50 call that will be granted to the buyer of this option only if the market trades to 106.00 within the time period for the option. Or, to put it in another context, the call option that would be granted, would only exist conditionally for the period, unless the higher rate of 106.00 were to be traded first. Clearly, if this were to occur, it would then make the new 105.50 call option in the money by 50 points. Trying to put this in context, one can also look at this as a volatility pricing exercise, but one that values volatility in segments that are contingent upon one another. For example, if the market were to trade at 106.00 and thus cause the call option to be “knocked in”，then what would be the value of that 105.50 call, and how soon might it occur, considering that a hurdle of 106.00 would have to be breached first? This is effectively the thought process for anyone that might want to price the option, but more than likely, these options tend to be run through proprietary pricing models that will skew the likely outcomes in terms of time, volatility, and often times the overall position and outlook of the market maker in general. Often times, this translates into prices for complex options that are not particularly transparent. However, this also represents an opportunity. In fact, many traders prefer these type of multiple contingency options because they can often times be seen as miss priced or at least open to interpretation as to whether they are priced correctly.

4. a single “knock out” option similar to a “knock in” option, this type of option has a level of contingency attached to it that makes it react and be priced in a more complex fashion. Essentially, when dealing with a “knock out” option, one is almost dealing with a live option position that will effectively be stopped out or closed, should a certain pricing contingency be breached with regard to the underlying. For example, assume once again the same Dollar/Yen level of 105.25, while looking at a 105.50 Dollar call with a 106.00 “knock out” . Here, once again the issue is volatility and direction, but segmented to a very specific window. Meaning that if either through volatility or outright directional movement, the spot level for Dollar/Yen trades higher than 106.00 during the open option period, then the option will actually be taken away, or “stopped out” . Which, of course, translating into a very small window that the option can actually be profitable within. This would usually be indicative of a small amount of premium that the option would cost in the first place. Certainly, the cost of this option would be significantly less than an outright call for Dollar/Yen with a strike at 105.50, and no “knock out” provision. Here, as with the “knock in” type of option, the idea of pricing takes on a number of different variables that can be very difficult to follow, because they represent different valuations for the multiple levels of contingency.