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

名词解释

Option:期权。契约的持有人（购买者）在有效期间内 或到期时，有权要求契约的出售者，以履约价格（Strike Price)履行契约。契约的购买者必须支付契约出售者权利 金（Premium)才能取得权利。契约持有者有权要求履约， 但也可以放弃此权利。期权基本上有两种：一为看涨期权， 一为看跌期权。

Portfolio:资产组合，泛指个人或机构投资用于各类资 产之投资组合。

Call Option:买入期权，买权。期权的买方在支付权利 金(Premium)予期权的卖方后，有权利要求期权的卖方在一 特定期间或到期时，以特定价格（Strike Price)出售一定数 量的交易标的物给予期权的买方。也就是期权的买方有权 利要求买入交易标的物。

Put Option:看跌期权，卖权。期权的买方在支付权利 金(Premium)给期权卖方之后，取得权利，并可要求以一特 定价格（Strike Price),卖出一定数量的交易标的物给予期 权的卖方。亦即期权的买方有权利要求以特定价格卖出交 易标的物。

Digital options A subset of the basic option trading idea

When speaking in terms of options, it is often assumed that options are a generic grouping of puts and calls, with certain fairly common features that are differentiated, more, on the basis of strike, underlying and time than the actual component features of the security. This however, is not the case with a sub grouping within the option world known as digital options. Simply put, digital options make use of a wider array of underlying characteristics that might cause an option to be either in or out of the money, whether prior to or, at expiration. These features often include range structures or hurdle prices, and can also look at other related dependencies that have to do with prices of the underlying during any particular time period. The term 揹igital?is in fact a generic term. Wherein, the nature of the digits is the basis for defining the option in the first place. Since these are not usually just a singular strike price but more often contain conditional events based upon certain numbers, these conditions are often referred to generi cally as ranges, barriers or hurdles. To give substance to this concept, it is worth going through some of the characteristics of the more common varieties of digital options.

1. a Range option. This option is one that contains a feature associated with a range as opposed to a single price that defines the worth of the option. For example take a range option quoted for Dollar/Yen to trade within a band of 105.00 to 105.50 for a lmonth period to commence at the current spot date. Even on its surface this idea requires multiple levels of explanation. For example, the buyer or this option can take the side of being either inclusive or exclusive of the range. Which has nothing to do with being long or short (for in this sense we are always referring to a long option) but rather the reference is drawn to whether during the known period for the option, the underlying price of Dollar/Yen will be in or outside of the range. Assume for this example that the buyer takes the side being inside the range, and further assume that at the point of inception with the option that spot Dollar/Yen is trading at 105.25. Theoretically, for the one month period, the option holder will only make money if the spot rate moves less than 25 points up or down. Whereas someone taking the other side of this trade will only make money if the price of Dollar/ Yen trades outside of the range, or more than 25 points in either direction from the current spot rate. Taking a look at the implications for either side of this trade, it becomes obvious that this trade is in fact a surrogate for looking at volatility for Dollar/Yen over a defined period of time, and in fact will be priced to reflect this dynamic. Or more specifically, if Dollar/ Yen has been particularly range bound for a period of time, then the inside range of this option will be fairly expensive, with the idea that a continuation of low volatility would be the driving price component for the option, while the outside range for the option would be relatively inexpensive.

One other interesting feature about an option like this is that it is also effectively a single event option for that particular period of time. Which means that once the outside band is breached (in either direction) then the option time period also effectively ceases. While volatility clearly has the majority of pricing impact in this scenario, it is important to keep in mind that this measurement should be viewed as volatility related to the implied time element as well. For example, in a low volatility environment, the assumption would be that the option would run close to, if not fully to the outside term of the option expiration period. Whereas in a high volatility environment, the assumption as to the option time period would probably fall to a point prior to the expiration of the option. All of which has to do with the pricing for the option in the first place. Most market makers for these types of options will use a fairly sophisticated software modeling system to imply just these particular points and express the value on a relational basis to assumptions of both time and volatility.