原创： 译者 王为 [url=]市川新田三丁目[/url] 3月20日

If you short the underlying, the delta would be -1.0 instead of +1.0.

记住以上这些，就可以进行下面的德尔塔中性对冲交易了：

股票期货价格 =110

历史波动率     =8%

期权的行权价 =110

剩余天数         =30

• Buy 2 stock futures at 110

• @110买入2手股票期货

• Buy 5 put options (110 strike price) at 0.91 each

• @0.91买入5手看跌期权，行权价@110

  
  

股票期货的德尔塔值=2*1.00       =2.00

看跌期权的德尔塔值=5*-0.42     =-2.10

总的德尔塔值          =2.00+-2.10=-0.10

该对冲策略如何发挥作用：

If the futures increase from 110 up to 112:

如果股票期货价格从110涨到112：

Profit = 2 x 2.00 = 4.00

股票期货多头仓位的利润=2*2.00=4.00

The put options will decrease from 0.91 down to 0.28 (each)

看跌期权的单价将从0.91跌到0.28

Loss on put options = 5 x (0.91 – 0.28) = 5 x 0.63 = 3.15

看跌期权多头仓位的损失=5*（0.91-0.28）=5*0.63=3.15

Net profit = 4.00 – 3.15 = 0.85

对冲交易的净利润=4.00-3.15=0.85

If the futures price decreases from 110 down to 108:

如果股票期货价格从110跌至108：

Loss = 2 x 2.00 = 4.00

股票期货多头仓位的损失=2*2.00=4.00

The put options will increase from 0.91 up to 2.14 (each)

看跌期权的单价将从0.91涨到2014

Profit on put options = 5 x (2.14 – 0.91) = 5 x 1.23 = 6.15

看跌期权多头仓位的利润=5*（2.14-0.91）=5*1.23=6.15

对冲交易的净利润=6.15-4.00=2.15

德尔塔中性策略总结如下：

If you buy the underlying and buy put options so your position is delta neutral:

买入标的资产+买入看跌期权=总头寸为德尔塔中性

• When the market goes up, you have a profit on the underlying and you have a smaller loss on the options (because their delta decreased), so you wind up with a net profit.

• 行情上涨时，标的资产的多仓为盈利，看跌期权的多仓因看跌期权的德尔塔值下跌而略有损失，总头寸体现为净盈利

• When the market goes down, you have a loss on the underlying but you have a bigger profit on the options (because their delta increased), so again you have a net profit.

• 行情下跌时，标的资产的多仓为亏损，看跌期权的多仓因看跌期权的德尔塔值上涨而大有收益，总头寸体现为净盈利      
  

  
  

If you sell (short) the underlying and buy call options so your position is delta neutral:

做空标的资产+做空看涨期权=总头寸为德尔塔中性

• When the market goes up, you have a loss on the underlying but again you have a bigger profit on the options (their delta increased), so you have a net profit.

• 行情上涨时，标的资产的空仓为亏损，看涨期权的空仓因看涨期权的德尔塔值上涨而大有收益，总头寸体现为净盈利

• When the market goes down, you have a profit on the underlying but once again, you have a smaller loss on the options (their delta decreased), so you still have a net profit.

• 行情下跌时，标的资产的空仓为盈利，看涨期权的空仓因看涨期权的德尔塔值上涨而略有损失，总头寸体现为净盈利

  
  

When you do this kind of delta neutral trading, you need to follow a few rules:

做德尔塔中性对冲交易时，需要遵循以下规则：

• Always initiate the position with a total position delta of zero or as close to zero as possible. So, your starting position is “delta neutral.”

• 初始总头寸的德尔塔值总是保持在零或尽可能接近零，这样初始头寸就等于“德尔塔中性”。

• When the market moves enough so your total position delta has increased or decreased by at least +1.00 or -1.00 delta (or more), you make an “adjustment” by buying or selling more of the underlying asset to get your position back to delta neutral. You can also sell off some of your options to get back to delta neutral. But the point is, you make profits consistently by making these adjustments.

• 当行情变化达到足以令总持仓的德尔塔值涨跌幅度大于等于+1.00或-1.00时，可以买入或卖出更多的标的资产使总头寸的德尔塔值重回德尔塔中性；也可以卖掉一部分期权持仓头寸使总头寸的德尔塔值重回德尔塔中性。但关键点在于，通过这种头寸调整总是可确保获得盈利。

• If the price of the underlying asset doesn’t move around much, close out the entire position. You need some price action for this approach to work. If the market just sits there, time decay will eat away at this position.

• 如果标的资产的价格变化不大，平掉总头寸即可。德尔塔中性的前提是市场价格有波动，如果市场不动，期权的时间价值会随着到期日的临近而加速衰减，总头寸的估值会被吃掉。

  
  

  
  

Keep an eye on the implied volatility of the options you’re using. If it moves toward the high end of its 2-year range, stay away from this position for a while. Otherwise, you might have excessive time decay in your options when the implied volatility starts to drop.

还要留心所用期权的隐含波动率，如果波动率上行至过去两年波动区间的上轨，暂且停止减仓期权，否则当隐含波动率开始下降时手里的期权头寸会因时间价值的快速衰减而贬值。

The options you buy should have at least 30-60 days remaining before expiration. Remember that time decay accelerates as the option’s expiration date approaches, so if you allow more time, you minimize the time decay.

买入的期权至少要有30-60天的存续期，记住当期权到期日临近时期权的时间价值会加速衰减，所以通过延长期权的存续期间，减少了时间价值递减造成的损失。

As you have seen, these trade positions benefit by price movement in the underlying asset. It puts you in the enviable position of being able to take full advantage of big price moves, in any direction.

正如所见，德尔塔中性对冲交易头寸在标的资产价格波动时会产生收益，不管行情如何变化。