{"id":2475,"date":"2017-07-22T11:27:33","date_gmt":"2017-07-22T03:27:33","guid":{"rendered":"https:\/\/boweihe.me\/?p=2475"},"modified":"2017-07-22T11:27:33","modified_gmt":"2017-07-22T03:27:33","slug":"basic-risks-on-options-%e6%9c%9f%e6%9d%83%e7%9a%84%e5%9f%ba%e6%9c%ac%e9%a3%8e%e9%99%a9%e7%b1%bb%e5%9e%8b","status":"publish","type":"post","link":"https:\/\/dayandcarrot.space\/?p=2475","title":{"rendered":"Basic Risks on Options \u671f\u6743\u7684\u57fa\u672c\u98ce\u9669\u7c7b\u578b"},"content":{"rendered":"<p>\u4e66\u91cc\u770b\u5230\u7684\uff0c\u6458\u8bb0\u4e00\u4e0b\u3002<\/p>\n<ul>\n<li><strong>Delta (Directional) Risk.<\/strong> Underlying\u7684\u4ef7\u683c\u5411\u67d0\u4e00\u4fa7\u79fb\u52a8\u7684\u98ce\u9669\uff0c\u4e3b\u8981\u505a\u6cd5\u662f\u6784\u9020delta\u4e2d\u6027\u7684position;<\/li>\n<li><strong>Gamma (Curvature) Risk<\/strong>. Underlying\u4ef7\u683c\u53d1\u751f\u5927\u5e45\u6ce2\u52a8\u7684\u98ce\u9669\uff0c\u8fd9\u79cd\u98ce\u9669\u5e76\u975e\u662fdelta\u90a3\u79cd\u65b9\u5411\u6027\u7684\u3002\u627f\u53d7\u8fd9\u79cd\u98ce\u9669\u7684position\u662fGamma\u4e3a\u8d1f\u6570\u7684\u90a3\u4e9b\u671f\u6743\uff0c\u56e0\u4e3a\u7531\u5b9a\u4e49\u53ef\u4ee5\u63a8\u51fa\u6765\uff0c+Gamma\u7684\u90a3\u4e9b\u671f\u6743\uff0c\u5728\u4ef7\u683c\u53d1\u751f\u6ce2\u52a8\u65f6\u5176\u4ef7\u503c\u53cd\u800c\u4f1a\u589e\u52a0\uff1b<\/li>\n<li><strong>Theta (Time Decay) Risk<\/strong>. \u4e0eGamma\u98ce\u9669\u662f\u53cd\u5411\u7684\u4e00\u5bf9\uff0c\u80fd\u901a\u8fc7Gamma\u83b7\u5f97\u4ef7\u503c\u7684\u671f\u6743\uff0c\u4ed6\u4eec\u7684\u4ef7\u503c\u968f\u7740\u65f6\u95f4\u800c\u901d\u53bb&#8230;<\/li>\n<li><strong>Vega (Volatility) Risk.<\/strong> \u6211\u4eec\u7ed9\u6a21\u578b\u8f93\u5165\u7684\u90a3\u4e2avolatility\u53ef\u80fd\u662f\u9519\u7684\uff0c\u9519\u8bef\u7684\u8f93\u5165\u5c06\u5f97\u5230\u9519\u8bef\u7684\u6a21\u578b\uff08\u6982\u7387\u5206\u5e03\uff09\uff0c\u4ea7\u751f\u9519\u8bef\u7684\u7ed3\u679c\uff1b\u6216\u8005\uff0c\u671f\u6743\u5e02\u573a\u81ea\u8eab\u7684\u53d8\u5316\u5bfc\u81f4\u7684\u9690\u542b\u6ce2\u52a8\u7387\u7684\u6539\u53d8\uff1b<\/li>\n<li><strong>Rho (Interest-Rate) Risk<\/strong>. \u671f\u6743\u6709\u6548\u671f\u5185\u5229\u7387\u7684\u53d8\u5316\u5bf9\u5176\u4ef7\u503c\u7684\u5f71\u54cd\u3002Rho&gt;0\u8bf4\u660e\u5229\u7387\u4e0a\u5347\u80fd\u589e\u52a0\u671f\u6743\u7684\u4ef7\u503c\uff0c\u53cd\u4e4b\u4ea6\u7136\u3002\u4f46\u901a\u5e38\u800c\u8a00\uff0c\u8fd9\u4e2a\u98ce\u9669\u5e94\u5f53\u662f\u5728\u524d\u9762\u51e0\u79cd\u98ce\u9669\u4e4b\u540e\u624d\u8003\u8651\u7684\uff1b<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4e66\u91cc\u770b\u5230\u7684\uff0c\u6458\u8bb0\u4e00\u4e0b\u3002 Delta (Directional) Risk. Underlying\u7684\u4ef7\u683c\u5411\u67d0\u4e00\u4fa7\u79fb\u52a8\u7684\u98ce\u9669\uff0c\u4e3b\u8981\u505a\u6cd5\u662f\u6784\u9020delta\u4e2d\u6027\u7684position; Gamma (Curvature) Risk. Underlying\u4ef7\u683c\u53d1\u751f\u5927\u5e45\u6ce2\u52a8\u7684\u98ce\u9669\uff0c\u8fd9\u79cd\u98ce\u9669\u5e76\u975e\u662fdelta\u90a3\u79cd\u65b9\u5411\u6027\u7684\u3002\u627f\u53d7\u8fd9\u79cd\u98ce\u9669\u7684position\u662fGamma\u4e3a\u8d1f\u6570\u7684\u90a3\u4e9b\u671f\u6743\uff0c\u56e0\u4e3a\u7531\u5b9a\u4e49\u53ef\u4ee5\u63a8\u51fa\u6765\uff0c+Gamma\u7684\u90a3\u4e9b\u671f\u6743\uff0c\u5728\u4ef7\u683c\u53d1\u751f\u6ce2\u52a8\u65f6\u5176\u4ef7\u503c\u53cd\u800c\u4f1a\u589e\u52a0\uff1b Theta (Time Decay) Risk. \u4e0eGamma\u98ce\u9669\u662f\u53cd\u5411\u7684\u4e00\u5bf9\uff0c\u80fd\u901a\u8fc7Gamma\u83b7\u5f97\u4ef7\u503c\u7684\u671f\u6743\uff0c\u4ed6\u4eec\u7684\u4ef7\u503c\u968f\u7740\u65f6\u95f4\u800c\u901d\u53bb&#8230; Vega (Volatility) Risk. \u6211\u4eec\u7ed9\u6a21\u578b\u8f93\u5165\u7684\u90a3\u4e2avolatility\u53ef\u80fd\u662f\u9519\u7684\uff0c\u9519\u8bef\u7684\u8f93\u5165\u5c06\u5f97\u5230\u9519\u8bef\u7684\u6a21\u578b\uff08\u6982\u7387\u5206\u5e03\uff09\uff0c\u4ea7\u751f\u9519\u8bef\u7684\u7ed3\u679c\uff1b\u6216\u8005\uff0c\u671f\u6743\u5e02\u573a\u81ea\u8eab\u7684\u53d8\u5316\u5bfc\u81f4\u7684\u9690\u542b\u6ce2\u52a8\u7387\u7684\u6539\u53d8\uff1b Rho (Interest-Rate) Risk. \u671f\u6743\u6709\u6548\u671f\u5185\u5229\u7387\u7684\u53d8\u5316\u5bf9\u5176\u4ef7\u503c\u7684\u5f71\u54cd\u3002Rho&gt;0\u8bf4\u660e\u5229\u7387\u4e0a\u5347\u80fd\u589e\u52a0\u671f\u6743\u7684\u4ef7\u503c\uff0c\u53cd\u4e4b\u4ea6\u7136\u3002\u4f46\u901a\u5e38\u800c\u8a00\uff0c\u8fd9\u4e2a\u98ce\u9669\u5e94\u5f53\u662f\u5728\u524d\u9762\u51e0\u79cd\u98ce\u9669\u4e4b\u540e\u624d\u8003\u8651\u7684\uff1b &nbsp;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4],"tags":[83],"class_list":["post-2475","post","type-post","status-publish","format-standard","hentry","category-study","tag-options"],"_links":{"self":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts\/2475","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2475"}],"version-history":[{"count":0,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts\/2475\/revisions"}],"wp:attachment":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2475"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2475"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2475"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}