# P19 日历价差：近月到期，只是下一次决策的开始 在近月到期盘点远腿、现金与股票，区分平仓、续持和两期限波动率变化。 Entry: zh-p19 | Node: P19 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教授P19《P19 日历价差：近月到期，只是下一次决策的开始》。先确认读者选择的分支。实际打开required_readings的公开原文，完整读取指定单元和必要表图；记录标题、版本、位置及其支持的具体步骤。optional_readings只有在分支被选择时转为必读。若只有摘要、目录或访问失败，不能声称完成，也不凭印象补课；可复用本会话已完整读过的相同版本单元并注明。 然后一次给出一项完整诊断任务：停在近端到期，先看远腿60天剩余价值，再比较SPXW近7000、远4000的close/continue决策。 不逐个考四则运算。使用本包全文与PF-GRID-01唯一冻结链，先让读者解释关系，再计算，最后使用本篇迁移题。区分真实契约、模型生成mid、合成执行价和假设事件。反馈标准：两个IV、两个到期点、每点100与50倍缩放各自清楚；0.65费用不缩放；美式实物残余空股不能复制现金终值。 每次现金都带账户/时点，无法支付或未给报价时不制造已经完成的结果。数据没有现实概率，不推断胜率或推荐交易；不访问用户账户。不更新公司估值、不调用真实订单。结束时让读者指出改变哪一个条件会改变结论，输出尚未掌握的具体关系。runtime_reading_log按本次实读填写，导出初始为空。 Before substantive teaching, actually retrieve every required reading unit for the selected scope. Read its complete designated section, including necessary assumptions, tables and footnotes. A working URL or an editorial access date is not a runtime reading receipt. Record the actual version, location, scope and what it supports. If unavailable, use a previously verified equivalent source; if the required unit remains unavailable, identify that gap rather than teach it from memory. Start runtime_reading_log empty. Once reading is complete, use a substantive diagnostic or follow the reader's request for direct explanation. Advance one complete reasoning task at a time; skip mastered basics. Distinguish original facts, supplied teaching assumptions and inference. ## Required readings and runtime protocol ```json { "export_mode": "public", "entry_id": "zh-p19", "selected_branch": "core", "learning_task": "停在近端到期，先看远腿60天剩余价值，再比较SPXW近7000、远4000的close/continue决策。", "required_readings": [ { "source_id": "PFH-CALENDAR", "title": "Long Call Calendar Spread", "authors": [ "Options Industry Council" ], "version": "未署年月网页；2026-09-21核用", "access": { "kind": "html_full_text", "uri": "https://www.optionseducation.org/strategies/all-strategies/long-call-calendar-spread-call-horizontal", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Description至Comments/Related Position的完整策略主文", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "两期限、远腿剩余价值、独立IV、近腿义务；损失界必须带关闭/续持条件。" }, "supports": "两期限、远腿剩余价值、独立IV、近腿义务；损失界必须带关闭/续持条件。", "editorial_correction": "两期限IV分别控制；近端关闭与任意续持不同，初始debit不是任意残余路径损失界。", "fallback_source_ids": [] }, { "source_id": "PFH-MIT-BSM", "title": "15.450 Stochastic Calculus and Option Pricing", "authors": [ "Leonid Kogan / MIT OCW" ], "version": "Fall 2010", "access": { "kind": "pdf_full_text", "uri": "https://ocw.mit.edu/courses/15-450-analytics-of-finance-fall-2010/0d1260b891a96241316d883d4f5bfaec_MIT15_450F10_lec02.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Slides 16–21完整BSM建模与公式单元", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。" }, "supports": "无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。", "fallback_source_ids": [] }, { "source_id": "MA-OCC", "title": "Characteristics and Risks of Standardized Options", "authors": [ "The Options Clearing Corporation" ], "version": "June 2024", "access": { "kind": "pdf_full_text", "uri": "https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Chapter VIII printed pp55–57 / PDF pp57–59; Chapter IX printed pp58–59 / PDF pp60–61; Chapter X holder/writer units printed pp61–67; Other Risks item 1 printed pp67–68 / PDF pp69–70", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。" }, "supports": "契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。", "fallback_source_ids": [] }, { "source_id": "PFH-T1", "title": "The Impact of T+1 on Options", "authors": [ "Options Industry Council" ], "version": "July 2024", "access": { "kind": "html_full_text", "uri": "https://www.optionseducation.org/news/understanding-t-1-conversion", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "全文：Option Trade Settlement及exercise settlement", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "仓位形成与权利金现金结算不同；行权后股票交割T+1。不是通用客户通知截止表。" }, "supports": "仓位形成与权利金现金结算不同；行权后股票交割T+1。不是通用客户通知截止表。", "fallback_source_ids": [] }, { "source_id": "MA-SPX", "title": "S&P 500 Index Options Fact Sheet", "authors": [ "Cboe Global Markets" ], "version": "©2026；WF-451400-KC", "access": { "kind": "pdf_full_text", "uri": "https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "PDF pp1–2，尤其p2合约表", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "SPXW欧式、PM、每点100美元、现金于到期后营业日交付；传统SPX AM/SOQ与SPXW分开。无实际报价。" }, "supports": "SPXW欧式、PM、每点100美元、现金于到期后营业日交付；传统SPX AM/SOQ与SPXW分开。无实际报价。", "fallback_source_ids": [] } ], "optional_readings": [], "runtime_reading_log": [], "supplied_inputs": { "shared_experiment_id": "EXP-OPTIONS-01", "frozen_chain": { "schema": "p-fgh-teaching-inputs-frozen-v2", "selected_chain_id": "PF-GRID-01", "frozen_on": "2026-09-21", "decision": "adopt_support_grid_as_common_baseline_with_author_plan_structure_retained", "identity": "Synthetic unadjusted 100-unit equity/ETF option classroom chain. Contract/lifecycle rules are supported by OCC/OIC/Cboe originals; prices, IV, spreads and fees are teaching inputs, not observed quotes or executions.", "real_terms": { "physical": { "unit": 100, "currency": "USD", "exercise_style": "American", "settlement": "physical; exercised standard equity/ETF option stock delivery follows current T+1 rules", "sources": [ "MEFG-ODD", "MEFG-OCC-EQUITY", "MEFG-OCC-ETF", "MEFG-OIC-T1" ] }, "cash_index_branch": { "product": "SPXW", "unit": 100, "exercise_style": "European", "settlement": "PM cash settlement; cash delivered business day following expiration", "source": "MEFG-SPX", "use": "lifecycle contrast in P17/P19; no SPXW market quote is asserted" } }, "clock": { "kind": "relative teaching clock, not a listing calendar", "trade": "D0", "premium_cash": "D1", "near_days": 30, "near_fixing": "D30", "near_exercise_cash": "D31", "far_days": 90, "far_fixing": "D90", "far_exercise_cash": "D91" }, "model": { "spot": 100.0, "rate": 0.0, "dividend_yield": 0.0, "volatility": 0.3, "strikes": [ 90, 95, 100, 105, 110 ], "tenors_days": [ 30, 90 ], "pricing": "Black-Scholes-Merton teaching marks; zero rate/no distributions make European and non-dividend American vanilla values coincide in this baseline only", "round_to_cents": true, "option_half_spread": 0.02, "stock_half_spread": 0.02, "fee_per_contract_per_transaction": 0.65, "fee_identity": "teaching parameter, not broker tariff", "fill_assumption": "buy at ask / sell at bid; simultaneous one-contract fills and displayed size are teaching assumptions", "baseline_wealth": 12000.0, "baseline_shares": 100, "baseline_cash": 2000.0 }, "terminal_scenarios": [ 0, 70, 90, 95, 100, 105, 110, 130 ], "quote_chain": [ { "kind": "call", "strike": 100, "days": 30, "raw_model": 3.4301386438779957, "mid": 3.43, "bid": 3.41, "ask": 3.45 }, { "kind": "call", "strike": 100, "days": 90, "raw_model": 5.93751497363823, "mid": 5.94, "bid": 5.92, "ask": 5.96 } ], "strategy_results": {}, "calendar": { "strike": 100, "short_days": 30, "long_days": 90, "near_expiry_spots": [ 80, 100, 140 ], "remaining_vols": [ 0.15, 0.3, 0.45 ], "later_spot_for_path_comparison": 80, "day_zero_vol_shocks": [ [ 0.3, 0.3 ], [ 0.4, 0.4 ], [ 0.4, 0.3 ], [ 0.3, 0.2 ] ] }, "calendar_results": { "mid_debit": 251.00000000000003, "execution_debit": 256.29999999999995, "near_expiry": [ { "near_spot": 80, "far_iv": 0.15, "far_call_model": 0.00016017558401304477, "short_cash_payout": 0, "wealth_if_close_far_at_model": 11749.0160175584, "wealth_if_continue_far_to_day90_spot80": 11749.0 }, { "near_spot": 80, "far_iv": 0.3, "far_call_model": 0.14209471540199692, "short_cash_payout": 0, "wealth_if_close_far_at_model": 11763.2094715402, "wealth_if_continue_far_to_day90_spot80": 11749.0 }, { "near_spot": 80, "far_iv": 0.45, "far_call_model": 0.8706214727945341, "short_cash_payout": 0, "wealth_if_close_far_at_model": 11836.062147279454, "wealth_if_continue_far_to_day90_spot80": 11749.0 }, { "near_spot": 100, "far_iv": 0.15, "far_call_model": 2.4258480440155097, "short_cash_payout": 0, "wealth_if_close_far_at_model": 11991.584804401551, "wealth_if_continue_far_to_day90_spot80": 11749.0 }, { "near_spot": 100, "far_iv": 0.3, "far_call_model": 4.849454218755341, "short_cash_payout": 0, "wealth_if_close_far_at_model": 12233.945421875535, "wealth_if_continue_far_to_day90_spot80": 11749.0 }, { "near_spot": 100, "far_iv": 0.45, "far_call_model": 7.268582868559953, "short_cash_payout": 0, "wealth_if_close_far_at_model": 12475.858286855995, "wealth_if_continue_far_to_day90_spot80": 11749.0 }, { "near_spot": 140, "far_iv": 0.15, "far_call_model": 40.00000001934846, "short_cash_payout": 4000, "wealth_if_close_far_at_model": 11749.000001934846, "wealth_if_continue_far_to_day90_spot80": 7749.0 }, { "near_spot": 140, "far_iv": 0.3, "far_call_model": 40.01224024561664, "short_cash_payout": 4000, "wealth_if_close_far_at_model": 11750.224024561663, "wealth_if_continue_far_to_day90_spot80": 7749.0 }, { "near_spot": 140, "far_iv": 0.45, "far_call_model": 40.27463565439032, "short_cash_payout": 4000, "wealth_if_close_far_at_model": 11776.463565439033, "wealth_if_continue_far_to_day90_spot80": 7749.0 } ], "day_zero_vol_shocks": [ { "near_iv": 0.3, "far_iv": 0.3, "calendar_model_value": 250.7376329760234, "pnl_vs_mid_debit": -0.2623670239766227 }, { "near_iv": 0.4, "far_iv": 0.4, "calendar_model_value": 333.85787066940935, "pnl_vs_mid_debit": 82.85787066940932 }, { "near_iv": 0.4, "far_iv": 0.3, "calendar_model_value": 136.50926664026102, "pnl_vs_mid_debit": -114.49073335973901 }, { "near_iv": 0.3, "far_iv": 0.2, "calendar_model_value": 53.023750311047735, "pnl_vs_mid_debit": -197.9762496889523 } ] }, "source_corrections": { "OIC_calendar_theta_vega_and_max_loss": { "status": "qualify_by_state_and_decision_horizon", "reason": "near/far IV move separately; after the near leg settles, continuing the far leg is a new residual position and losses need not be capped by original debit" }, "OIC_legacy_assignment_notice_wording": { "status": "do_not_adopt_exact_Monday_notice_wording_as_current_lifecycle_rule", "use": "use current OCC ODD/T+1 contract mechanics; broker/customer exercise cutoffs remain broker-specific" }, "CBOE_margin_cash_spread": { "status": "apply_narrowly", "use": "same-expiry European cash-settled spread cash-account treatment only; do not port to American physical mismatched legs or calendars" } } }, "default_results": { "near_grid": [ { "spot": 80, "elapsed": 30, "nearIV": 0.3, "farIV": 0.15, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 0, "far_model": 0.00016017558402747767, "near_bid": null, "near_ask": null, "far_bid": 0, "far_ask": 0.02, "marked_wealth": 11749.016017558402, "marked_pnl": -250.98398244159762, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 0.016017558402747767, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 11749, "close_available": true, "closed_wealth": 11749.016017558402, "closed_pnl": -250.98398244159762, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 80, "elapsed": 30, "nearIV": 0.3, "farIV": 0.3, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 0, "far_model": 0.14209471540200802, "near_bid": null, "near_ask": null, "far_bid": 0.12000000000000001, "far_ask": 0.16, "marked_wealth": 11763.2094715402, "marked_pnl": -236.79052845980004, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 14.209471540200802, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 11749, "close_available": true, "closed_wealth": 11763.2094715402, "closed_pnl": -236.79052845980004, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 80, "elapsed": 30, "nearIV": 0.3, "farIV": 0.45, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 0, "far_model": 0.8706214727945305, "near_bid": null, "near_ask": null, "far_bid": 0.85, "far_ask": 0.89, "marked_wealth": 11836.062147279454, "marked_pnl": -163.9378527205463, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 87.06214727945306, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 11749, "close_available": true, "closed_wealth": 11836.062147279454, "closed_pnl": -163.9378527205463, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 100, "elapsed": 30, "nearIV": 0.3, "farIV": 0.15, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 0, "far_model": 2.4258480440155097, "near_bid": null, "near_ask": null, "far_bid": 2.41, "far_ask": 2.45, "marked_wealth": 11991.584804401551, "marked_pnl": -8.415195598448918, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 242.58480440155097, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 11749, "close_available": true, "closed_wealth": 11991.584804401551, "closed_pnl": -8.415195598448918, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 100, "elapsed": 30, "nearIV": 0.3, "farIV": 0.3, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 0, "far_model": 4.849454218755341, "near_bid": null, "near_ask": null, "far_bid": 4.83, "far_ask": 4.869999999999999, "marked_wealth": 12233.945421875535, "marked_pnl": 233.94542187553452, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 484.94542187553407, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 11749, "close_available": true, "closed_wealth": 12233.945421875535, "closed_pnl": 233.94542187553452, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 100, "elapsed": 30, "nearIV": 0.3, "farIV": 0.45, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 0, "far_model": 7.26858286855996, "near_bid": null, "near_ask": null, "far_bid": 7.25, "far_ask": 7.289999999999999, "marked_wealth": 12475.858286855997, "marked_pnl": 475.858286855997, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 726.8582868559961, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 11749, "close_available": true, "closed_wealth": 12475.858286855997, "closed_pnl": 475.858286855997, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 140, "elapsed": 30, "nearIV": 0.3, "farIV": 0.15, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 40, "far_model": 40.00000001934846, "near_bid": null, "near_ask": null, "far_bid": 39.98, "far_ask": 40.02, "marked_wealth": 11749.000001934846, "marked_pnl": -250.9999980651537, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 4000, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 4000.0000019348463, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 7749, "close_available": true, "closed_wealth": 11749.000001934846, "closed_pnl": -250.9999980651537, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 140, "elapsed": 30, "nearIV": 0.3, "farIV": 0.3, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 40, "far_model": 40.012240245616624, "near_bid": null, "near_ask": null, "far_bid": 39.989999999999995, "far_ask": 40.03, "marked_wealth": 11750.224024561663, "marked_pnl": -249.7759754383369, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 4000, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 4001.224024561662, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 7749, "close_available": true, "closed_wealth": 11750.224024561663, "closed_pnl": -249.7759754383369, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 140, "elapsed": 30, "nearIV": 0.3, "farIV": 0.45, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 40, "far_model": 40.27463565439032, "near_bid": null, "near_ask": null, "far_bid": 40.25, "far_ask": 40.290000000000006, "marked_wealth": 11776.463565439033, "marked_pnl": -223.53643456096688, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 4000, "payment_day": "D31", "available_cash": 11749, "far_sale_proceeds": 4027.463565439032, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 7749, "close_available": true, "closed_wealth": 11776.463565439033, "closed_pnl": -223.53643456096688, "continued_final_wealth": null, "continued_pnl": null, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" } ], "iv_shocks": [ { "spot": 100, "elapsed": 0, "nearIV": 0.3, "farIV": 0.3, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 3.4301386438779957, "far_model": 5.93751497363823, "near_bid": 3.41, "near_ask": 3.45, "far_bid": 5.920000000000001, "far_ask": 5.96, "marked_wealth": 11999.737632976023, "marked_pnl": -0.2623670239772764, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "before_near_expiry", "closing_legs": { "near": -343.0138643877996, "far": 593.751497363823 }, "close_available": true, "closed_wealth": 11999.737632976023, "closed_pnl": -0.2623670239772764, "continued_final_wealth": null, "note": "两期限仍存在，平仓分别卖远腿bid、买回近腿ask。" }, { "spot": 100, "elapsed": 0, "nearIV": 0.4, "farIV": 0.4, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 4.572422307235627, "far_model": 7.91100101392972, "near_bid": 4.550000000000001, "near_ask": 4.59, "far_bid": 7.890000000000001, "far_ask": 7.93, "marked_wealth": 12082.85787066941, "marked_pnl": 82.85787066940975, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "before_near_expiry", "closing_legs": { "near": -457.24223072356267, "far": 791.100101392972 }, "close_available": true, "closed_wealth": 12082.85787066941, "closed_pnl": 82.85787066940975, "continued_final_wealth": null, "note": "两期限仍存在，平仓分别卖远腿bid、买回近腿ask。" }, { "spot": 100, "elapsed": 0, "nearIV": 0.4, "farIV": 0.3, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 4.572422307235627, "far_model": 5.93751497363823, "near_bid": 4.550000000000001, "near_ask": 4.59, "far_bid": 5.920000000000001, "far_ask": 5.96, "marked_wealth": 11885.50926664026, "marked_pnl": -114.49073335974026, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "before_near_expiry", "closing_legs": { "near": -457.24223072356267, "far": 593.751497363823 }, "close_available": true, "closed_wealth": 11885.50926664026, "closed_pnl": -114.49073335974026, "continued_final_wealth": null, "note": "两期限仍存在，平仓分别卖远腿bid、买回近腿ask。" }, { "spot": 100, "elapsed": 0, "nearIV": 0.3, "farIV": 0.2, "scale": 1, "view": "mid", "decision": "close", "settlement": "cash", "initial_wealth": 12000, "debit": 251, "cash_after_D1": 11749, "near_model": 3.4301386438779957, "far_model": 3.96037614698848, "near_bid": 3.41, "near_ask": 3.45, "far_bid": 3.94, "far_ask": 3.98, "marked_wealth": 11802.02375031105, "marked_pnl": -197.9762496889507, "entry_legs": [ { "side": "sell near", "cash": 343 }, { "side": "buy far", "cash": -594 } ], "phase": "before_near_expiry", "closing_legs": { "near": -343.0138643877996, "far": 396.037614698848 }, "close_available": true, "closed_wealth": 11802.023750311047, "closed_pnl": -197.97624968895252, "continued_final_wealth": null, "note": "两期限仍存在，平仓分别卖远腿bid、买回近腿ask。" } ], "spxw_continuation": [ { "spot": 100, "elapsed": 30, "nearIV": 0.3, "farIV": 0.3, "scale": 50, "view": "mid", "decision": "continue", "settlement": "cash", "initial_wealth": 600000, "debit": 12550, "cash_after_D1": 587450, "near_model": 0, "far_model": 242.47271093776703, "near_bid": null, "near_ask": null, "far_bid": 241.5, "far_ask": 243.49999999999997, "marked_wealth": 611697.2710937767, "marked_pnl": 11697.271093776682, "entry_legs": [ { "side": "sell near", "cash": 17150 }, { "side": "buy far", "cash": -29700 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 0, "payment_day": "D31", "available_cash": 587450, "far_sale_proceeds": 24247.271093776704, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 587450, "close_available": false, "closed_wealth": null, "closed_pnl": null, "continued_final_wealth": 587450, "continued_pnl": -12550, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" }, { "spot": 140, "elapsed": 30, "nearIV": 0.3, "farIV": 0.3, "scale": 50, "view": "mid", "decision": "continue", "settlement": "cash", "initial_wealth": 600000, "debit": 12550, "cash_after_D1": 587450, "near_model": 2000, "far_model": 2000.612012280831, "near_bid": null, "near_ask": null, "far_bid": 1999.4999999999998, "far_ask": 2001.5, "marked_wealth": 587511.2012280831, "marked_pnl": -12488.798771916889, "entry_legs": [ { "side": "sell near", "cash": 17150 }, { "side": "buy far", "cash": -29700 } ], "phase": "near_cash_settled", "gross_near_cash_obligation": 200000, "payment_day": "D31", "available_cash": 587450, "far_sale_proceeds": 200061.2012280831, "confirmed_sale_offset": 0, "gap": 0, "completed": true, "cash_after_near_settlement": 387450, "close_available": false, "closed_wealth": null, "closed_pnl": null, "continued_final_wealth": 387450, "continued_pnl": -212550, "finalSpot": 80, "note": "近端先现金结算。远腿出售只有在明确可成交且款项可抵付时才帮助当期付款；保留远腿另为新决策。" } ] }, "input_units_and_bounds": { "normalized_spot": { "default": 100, "min": 0, "max": 200, "unit": "abstract USD/share; SPXW display ×50 points" }, "elapsed": { "default": 30, "min": 0, "max": 30, "unit": "ACT days" }, "near_iv": { "default": 0.3, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "far_iv": { "default": 0.3, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "scale": [ 1, 50 ], "settlement": [ "cash", "physical" ], "view": [ "mid", "execution" ], "decision": [ "close", "continue" ], "final_stock": { "default": 80, "min": 0, "max": 200, "unit": "normalized reference" }, "timely_cash": { "default": "all", "min": 0, "max": 600000, "unit": "USD" }, "confirmed_sale_offset": [ false, true ] }, "algorithm": "Before near expiry close two legs at respective quotes; at near cash settlement pay intrinsic then close/continue far; physical route stops at stock inventory.", "boundaries": "SPXW onlyscale50/cash；fee不缩放；无及时支付或无bid不完成；physical不复用cash continuation；不同IV非时间预测。", "static_equivalent_markdown": "# P19 默认结果与静态解释\n\nPF-GRID-01合成教学链；真实合约条款与模型/执行价分开。金额为美元，标准单位100；无真实行情。\n\n| 近端spot | 远IV | 远call mark | 近端关闭mid财富 |\n|---|---|---|---|\n| 80 | 15% | 0.000160 | 11,749.02 |\n| 80 | 30% | 0.142095 | 11,763.21 |\n| 80 | 45% | 0.870621 | 11,836.06 |\n| 100 | 15% | 2.425848 | 11,991.58 |\n| 100 | 30% | 4.849454 | 12,233.95 |\n| 100 | 45% | 7.268583 | 12,475.86 |\n| 140 | 15% | 40.000000 | 11,749.00 |\n| 140 | 30% | 40.012240 | 11,750.22 |\n| 140 | 45% | 40.274636 | 11,776.46 |\n\n| SPXW近端 | 远端 | mid初始debit | 近端支付 | 续持终财富 | 续持损益 |\n|---|---|---|---|---|---|\n| 5000 | 4000 | 12,550.00 | 0.00 | 587,450.00 | -12,550.00 |\n| 7000 | 4000 | 12,550.00 | 200,000.00 | 387,450.00 | -212,550.00 |\n\nSPXW的0.65/张费用不乘50，执行debit12751.30；近端付款不足停止。美式实物near指派会留下空股及far call，不沿用本现金终值。\n", "static_figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P19-near-value.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P19-lifecycle.svg" ], "source_id_mapping": { "PFH-ODD": "MA-OCC", "PFH-ETF": "PFH-ETF", "PFH-EQUITY": "PFH-EQUITY", "PFH-T1": "PFH-T1", "PFH-EXERCISE": "PFH-EXERCISE", "PFH-SPXW": "MA-SPX", "PFH-MARGIN": "PFH-MARGIN", "PFH-CC": "PFH-CC", "PFH-CSP": "PFH-CSP", "PFH-PP": "PFH-PP", "PFH-COLLAR": "PFH-COLLAR", "PFH-CALL-SPREAD": "PFH-CALL-SPREAD", "PFH-PUT-SPREAD": "PFH-PUT-SPREAD", "PFH-STRADDLE": "PFH-STRADDLE", "PFH-STRANGLE": "PFH-STRANGLE", "PFH-CALENDAR": "PFH-CALENDAR", "PFH-PARITY": "PFH-PARITY", "PFH-MIT-OPTIONS": "PFH-MIT-OPTIONS", "PFH-MIT-BSM": "PFH-MIT-BSM", "PFH-BXM": "PFH-BXM", "PFH-PUT-INDEX": "PFH-PUT-INDEX", "PFH-CLL": "PFH-CLL", "PFH-AQR2021": "PFH-AQR2021", "PFH-CHIFED2025": "PFH-CHIFED2025", "MEFG-ODD": "MA-OCC", "MP-OCC": "MA-OCC", "MEFG-OCC-ETF": "PFH-ETF", "MEFG-OCC-EQUITY": "PFH-EQUITY", "MEFG-OIC-T1": "PFH-T1", "MEFG-OIC-EXERCISE": "PFH-EXERCISE", "MEFG-SPX": "MA-SPX", "PFGH-CBOE-MARGIN": "PFH-MARGIN", "PFGH-OIC-CC": "PFH-CC", "PFGH-OIC-CSP": "PFH-CSP", "PFGH-OIC-PP": "PFH-PP", "PFGH-OIC-COLLAR": "PFH-COLLAR", "PFGH-OIC-BULL-CALL": "PFH-CALL-SPREAD", "PFGH-OIC-BULL-PUT": "PFH-PUT-SPREAD", "PFGH-OIC-STRADDLE": "PFH-STRADDLE", "PFGH-OIC-STRANGLE": "PFH-STRANGLE", "PFGH-OIC-CALENDAR": "PFH-CALENDAR", "MEFG-MIT-OPTIONS": "PFH-MIT-OPTIONS", "MEFG-MIT-KOGAN": "PFH-MIT-BSM", "PFGH-CBOE-BXM": "PFH-BXM", "PFGH-CBOE-PUT": "PFH-PUT-INDEX", "PFGH-CBOE-COLLAR": "PFH-CLL", "PFGH-AQR-PROTECTION-2021": "PFH-AQR2021", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025" }, "full_frozen_inputs_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/inputs.json", "default_results_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P19.json", "default_results_pointer": "/", "reproduction_instructions": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/reproduce.md", "input_identity": "本篇投影沿作者review-v2；完整PF-GRID-01原字节见公开inputs.json，模型/报价/默认结果未改。" }, "content_version": "2026-09-21-PFGH-staging-v3", "branch_selection_protocol": "核心读取required_readings；选择具名选读分支时追加其完整required_unit。实际读完再教，不继承编辑的读取状态。" } ``` ## Supplied entry 同一执行价的近月call较便宜，远月call较贵。买远卖近，可以减少最初支出，但近月卖出的不是一张优惠券，而是一项先到期的义务。本篇的重点，是在第一个到期日把仍有价值的远腿、已到期的近腿和结算现金一起摆上桌，而不是用一个最终股价给整段策略画结论。 ## 1. 两个到期日意味着两次盘点 PF-GRID-01现价100，卖30天到期的100C、买90天到期的100C。mid分别3.43和5.94，100单位净付251。从12,000现金出发，D1余11,749，同时持有一张远call和一张近call空头。合成执行层卖近按bid3.41、买远按ask5.96，再扣两笔0.65费用，净付256.30，余11,743.70。 这种结构适合表达“近端变动不必太大，但仍希望保留远端call”的条件判断；是否划算，还取决于两条报价。OIC指出远近腿通常会有不同的隐含波动率。不能把两个期限都叫同一张期权的时间价值，也不能因初始净支出较小就认为后续义务较小。[^calendar] 本篇使用相对教学日历：D0成交，D1权利金现金结算，D30近端到期，D31处理相应现金；D90远端到期，D91处理现金。模型时间以实际日数/365计算，所列事件日及下一日被设为营业日；这不是任何真实挂牌系列的假日表。美式股票期权和欧式指数期权的结果会分开列示。[^terms] ## 2. 近端还没到期：两条市值，而不是两条内在价值 在$t<30$时，净期权mark为$100[C_{90-t}(S,\sigma_f)-C_{30-t}(S,\sigma_n)]$。两个$\sigma$分别属于近、远期限。本篇采用P18写出的零利率、零分红BSM计算作条件演示；模型不提供实际买盘。[^bsm] 同样处在D0、现价100，仅改变两条IV时： | 近IV / 远IV | 净期权模型mark | 相对251入场mid的差 | |---|---:|---:| | 30% / 30% | 250.738 | −0.262 | | 40% / 40% | 333.858 | +82.858 | | 40% / 30% | 136.509 | −114.491 | | 30% / 20% | 53.024 | −197.976 | 第一行的微小差是初始每腿报价已四舍五入，而mark采用未取整模型值，不是交易损失或alpha。第二行显示指定的平行IV上移，第三行只让我们卖出的近腿变贵，净组合反而贬值。因此，“日历价差喜欢IV上升”必须问是哪一个期限、相对怎样变化。时间敏感性也需逐腿相减，不能靠策略名字固定正负。独立IV输入是价格敏感性切片，不保证任意两数都能组成可共同成交的无套利期限报价。 若在D10按合成执行报价关闭，必须**买回近腿ask，卖出远腿bid，并支付两笔退出费**。净mark是资产负债估值，不是承诺能按它完成两腿交易；当远腿没有正bid时，实验保留估值而不输出已经成交的退出。 ## 3. D30：远call还剩60天 先用一个抽象的欧式现金结算版本看清价值。近端到期的支付为$100(S_{30}-100)^+$，远腿仍应按剩余60天的价格估值。若在此刻关闭远腿，mid对照财富为 $$ W_{30}=11749-100(S_{30}-100)^+ +100C_{60}(S_{30},\sigma_f). $$ 这里“减近端支付”与“加远端市值”是财富口径；现金支付可达性稍后单独检查。当$S_{30}=100$，近腿没有内在支付，远腿却不等于零： | 远IV | 远call每股模型值 | 近到期关闭远腿的mid财富 | 相对12,000损益 | |---:|---:|---:|---:| | 15% | 2.425848 | 11,991.585 | −8.415 | | 30% | 4.849454 | 12,233.945 | +233.945 | | 45% | 7.268583 | 12,475.858 | +475.858 |
近到期日，远端剩余价值随标的和远IV变化

D30近端到期，但远call还剩60天

纵轴：近端关闭远腿的mid财富

11,69811,90512,11212,32012,527
40100160

横轴：抽象现金模型标的参考值

不含成交摩擦；不是美式实物交割账或实际SPXW报价。

近到期日，远端剩余价值随标的和远IV变化
在零利率、零分红、相同标的和执行价、可按模型价值关闭的理想条件中，远call至少不低于近端内在支付，因此近到期净剩余价值非负，损失可用初始debit约束。**这个条件结论约束的是此刻连同远腿处理的组合，并不是允许近腿付钱后任意续持的永久损失界。** 实际点差、费用及资金时点也需另外处理。 ## 4. 同一远端终点，近端路径不同会怎样 给定近端140、远端80。近腿到期需支付4,000。若远call的IV为30%，此刻远腿每股模型值约40.01224，卖掉它可大致抵回近端支出：mid关闭财富约11,750.224。若不卖远腿，而在支付4,000后继续持有，现金成为7,749；到D90价格80，远call也没有到期支付，最终只剩7,749，损失4,251。 若近端为100、远端同样80，近腿不支付，继续持有后的终财富是11,749，只损失251。两个路径的D90价格完全一样，结果却差4,000。原因是近端已经兑现的义务不会在远端下跌时退还。OIC所述初始debit损失界不能不带关闭与剩余持仓条件地用在这条延长路径。[^calendar] 这张100点表是抽象模型。若使用真实产品SPXW的名字，则须切换它的单位：将参考价格、执行价与期权报价点数乘50，初始指数5,000、执行价5,000，一张合约每点100美元，共同财富600,000。于是： | SPXW教学现金路径 | D1净付mid | D31近端现金支付 | D91远端支付 | 最终财富 | |---|---:|---:|---:|---:| | 近端5,000 → 远端4,000，保留远腿 | 12,550 | 0 | 0 | 587,450 | | 近端7,000 → 远端4,000，保留远腿 | 12,550 | 200,000 | 0 | 387,450 | 第二条损失212,550。期权点数和无摩擦金额乘50，**每张0.65费用不乘50**。因此SPXW合成执行层入场debit为 $$ 100\,[50(5.96-3.41)]+2(0.65)=12751.30, $$ 而不是$256.30\times50$。同一继续持有路径执行层最终387,248.70；默认没有另加现金行权费用或税。本例没有声称XYZ真实跟踪SPX，也没有使用真实SPXW历史报价。[^spxw]
SPXW的近端支付、远腿关闭或续持，是两条不同的现金路径

SPXW教学现金路径：先付近端，再决定远腿

  1. D1（5000点起点）

    共同财富600,000

    mid debit12,550

    现金587,450

    两腿单位均100美元/点

  2. D31（近端7000）

    short近腿付200,000

    现金剩387,450

    far call仍有价值

    关闭或续持是不同选择

  3. D91（远端4000）

    若继续持有far call

    其到期支付为0

    终财富387,450

    整个路径损失212,550

0.65/张费用不乘50；现金不足则停在付款点，不输出后续已完成路径。

SPXW的近端支付、远腿关闭或续持，是两条不同的现金路径
期限价值大不代表已经有现金。如果SPXW近端7,000的支付为200,000，而D31能到达账户的现金只有180,000，仍缺20,000。只有已确认能够成交并在截止前用于抵付的远腿卖出款，才可帮助补缺口；未经确认，不能从资产mark自动扣出现金。实验默认不做这种抵扣。可用现金不足时停止“已完成近端结算”的路径，也不再输出假定续持至D90的财富。 ## 5. 美式实物版本，近端留下的不是同一张账 如果XYZ近call在140被指派，卖方承担按100交付100股的义务。原账户没有股票，结果可能是**空100股、仍持有远call**；对应股票交割有10,000收款，但空股价值为−14,000，不能把10,000当利润或可自由花用的资本。远call仍约值4,001.224，两者与现金一同标记才得到净财富。 这不同于欧式现金版“付4,000现金后只留远call”。若要继续美式实物路径，必须补充借股、担保品、平股与分红义务等安排。本文没有这些输入，因此实验停在近端头寸盘点，不把现金指数版的7,749终值复制过去。ODD明确说明，一腿被行权或结束不会自动结束另一腿；使用远call行权覆盖空股，还可能放弃它的剩余时间价值。[^terms] 同样，到期后再卖一张新的近call并不叫“原策略自动续期”，它是一笔新的交易：新执行价、期限、报价、资金义务都须重新确认。远call即便还在，也不能代替这次决策。 ## 6. 操作与完整解析
先在D0分别移动两期限IV；再停在D30，查看远腿剩余60天的mark和合成bid。选择现金结算后先完成当期支付预算，再选关闭或继续。最后切换美式实物版本，指出为什么远端终财富不再自动出现。 **解释题。** D30现价100，为什么不能把远call标为零？ **解析。** 零内在价值不等于零期权价值。远call还有60天；在给定30%模型波动率下每股约4.849454，整张484.9454。mid净财富是11,749加这一项，约12,233.945，而不是11,749。若要变成现金，还需实际卖价与退出费用。 **迁移题。** SPXW合成执行入场debit为何不是12,815？ **解析。** 12,815是将归一化执行debit256.30全部乘50，错误地把1.30的每张费用也放大。应只将点数支出255乘50得到12,750，再加两笔0.65，合计12,751.30。金额单位与收费单位必须分别转换。 **路径题。** 两条路径远端都4,000，为什么近端5,000与7,000的最终财富不同？ **解析。** 前者近腿支付零；后者在D31已支付200,000。保留远腿至远端4,000，两者远call支付都为零，过去的200,000不会退还，所以最终财富恰差200,000。这不是终点公式算错，而是整个策略有两个现金决定日。 **资金题。** 近端付款需200,000、可达现金180,000，远call的mark大于200,000。可以直接说“没有缺口”吗？ **解析。** 不可以。先报告20,000截止缺口。若确实能卖远腿且结算所得按时可抵付，可在新的已确认路径中解除缺口；若选择继续持有，或卖款到账晚，就仍不能完成当期支付。财富充足与流动性可达分属两项约束。 [^calendar]: OIC，[Long Call Calendar Spread](https://www.optionseducation.org/strategies/all-strategies/long-call-calendar-spread-call-horizontal)，完整正文，尤其近远IV、近端到期与指派单元。页面的最大损失简式需限定为对应关闭规则，不扩展到任意剩余头寸续持。 [^bsm]: Leonid Kogan，MIT [Stochastic Calculus and Option Pricing](https://ocw.mit.edu/courses/15-450-analytics-of-finance-fall-2010/0d1260b891a96241316d883d4f5bfaec_MIT15_450F10_lec02.pdf)，Fall 2010，slides 16–21；这里只用给定零利率/零分红模型，不把条件mark当实际报价。 [^terms]: OCC，[ODD](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)，June 2024，Chapter VIII及Other Risks item 1印刷67–68页；OIC，[The Impact of T+1 on Options](https://www.optionseducation.org/news/understanding-t-1-conversion)，July 2024，正文。结算规则不等于对客户通知时间的保证。 [^spxw]: Cboe，[SPX Fact Sheet](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf)，©2026，第2页：SPXW欧式、PM、每点100美元、现金在到期后营业日交付；传统SPX的AM/SOQ另列，本文没有混用。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P19-CALENDAR", "node_id": "P19", "title": "两次到期与残余头寸", "anchor": "p19-lab", "description": "在近月到期盘点远腿、现金与股票，区分平仓、续持和两期限波动率变化。", "shared_experiment_id": "EXP-OPTIONS-01", "inputs": { "normalized_spot": { "default": 100, "min": 0, "max": 200, "unit": "abstract USD/share; SPXW display ×50 points" }, "elapsed": { "default": 30, "min": 0, "max": 30, "unit": "ACT days" }, "near_iv": { "default": 0.3, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "far_iv": { "default": 0.3, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "scale": [ 1, 50 ], "settlement": [ "cash", "physical" ], "view": [ "mid", "execution" ], "decision": [ "close", "continue" ], "final_stock": { "default": 80, "min": 0, "max": 200, "unit": "normalized reference" }, "timely_cash": { "default": "all", "min": 0, "max": 600000, "unit": "USD" }, "confirmed_sale_offset": [ false, true ] }, "outputs": [ "逐腿现金/条件mark", "终点或期间财富", "持仓及可达资金", "缺口或适用边界" ], "algorithm": "Before near expiry close two legs at respective quotes; at near cash settlement pay intrinsic then close/continue far; physical route stops at stock inventory.", "boundaries": "SPXW onlyscale50/cash；fee不缩放；无及时支付或无bid不完成；physical不复用cash continuation；不同IV非时间预测。", "views": [ "近端价值随远IV和spot的切片", "两到期现金、付款缺口或股票库存" ], "static_equivalent": { "reader_path": "https://ou-liu-red-sugar.github.io/zh/notebook/calendar-spread-two-expiries-and-inventory/", "figure_paths": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P19-near-value.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P19-lifecycle.svg" ], "defaults_location": "agent_packet.supplied_inputs.default_results", "defaults_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P19.json", "defaults_pointer": "/", "static_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/static/P19.md" }, "inputs_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/inputs.json", "results_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P19.json", "reproduce_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/reproduce.md" } ] ``` ## Sources - [Characteristics and Risks of Standardized Options](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf): 本会话实际读取的指定单元，不是96页全文；支持权利、单位、权利金、费用和保证金的区分。 契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。 M-E/F/G 本批采用：规则、权利金、行权/指派和同财富假设例；本课指定单元不替代实际交易者对整份ODD的阅读。无真实行情或个人券商操作保证。 - [SPX Options Fact Sheet](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf): 现金结算、欧式行权、100美元乘数及SPX/SPXW结算差别；不采用营销/税务部分。 SPXW欧式、PM、每点100美元、现金于到期后营业日交付；传统SPX AM/SOQ与SPXW分开。无实际报价。 M-E/F/G 本批采用：SPX/SPXW欧式现金、100美元乘数、最小报价增量及AM/PM结算差别；并非某条历史上市期权链。 - [Long Call Calendar Spread](https://www.optionseducation.org/strategies/all-strategies/long-call-calendar-spread-call-horizontal): 两期限、远腿剩余价值、独立IV、近腿义务；损失界必须带关闭/续持条件。 - [15.450 Stochastic Calculus and Option Pricing](https://ocw.mit.edu/courses/15-450-analytics-of-finance-fall-2010/0d1260b891a96241316d883d4f5bfaec_MIT15_450F10_lec02.pdf): 无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。 M-E/F/G 本批采用：常参数、无股息模型条件下价格/偏导与Q；本批数值只采用q=0版本，不把非零股息扩展归给该读取单元；不宣称完整连续时间定理证明。 - [The Impact of T+1 on Options](https://www.optionseducation.org/news/understanding-t-1-conversion): 仓位形成与权利金现金结算不同；行权后股票交割T+1。不是通用客户通知截止表。 M-E/F/G 本批采用：期权成交头寸记账、权利金现金和行权股票交收时间有别；2024-05-28转换。 ## Content relations ```json [ { "from": "zh-p19", "relation": "part_of", "to": "portfolio-options", "reason": "主要 topic 归属" }, { "from": "zh-p19", "relation": "illustrated_by", "to": "EXP-OPTIONS-01", "reason": "同一PF-GRID-01合成报价、财富与生命周期约定。" }, { "from": "zh-p19", "relation": "uses_method", "to": "zh-p17", "reason": "按本篇所需调用风险目标、现金、成交或多腿方法；正文保留自足局部定义。" }, { "from": "zh-p19", "relation": "uses_method", "to": "zh-p18", "reason": "按本篇所需调用风险目标、现金、成交或多腿方法；正文保留自足局部定义。" }, { "from": "zh-p19", "relation": "uses_method", "to": "zh-p08", "reason": "按本篇所需调用风险目标、现金、成交或多腿方法；正文保留自足局部定义。" }, { "from": "p19-two-clocks", "relation": "supported_by", "to": "PFH-CALENDAR", "reason": "原件支持本段契约/方法或有日期研究；不证明合成报价为行情。", "locator": "Description至Comments/Related Position的完整策略主文", "scope": "两期限、远腿剩余价值、独立IV、近腿义务；损失界必须带关闭/续持条件。" }, { "from": "p19-mark", "relation": "supported_by", "to": "PFH-MIT-BSM", "reason": "原件支持本段契约/方法或有日期研究；不证明合成报价为行情。", "locator": "Slides 16–21完整BSM建模与公式单元", "scope": "无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。" }, { "from": "p19-physical", "relation": "supported_by", "to": "MA-OCC", "reason": "原件支持本段契约/方法或有日期研究；不证明合成报价为行情。", "locator": "Chapter VIII printed pp55–57 / PDF pp57–59; Chapter IX printed pp58–59 / PDF pp60–61; Chapter X holder/writer units printed pp61–67; Other Risks item 1 printed pp67–68 / PDF pp69–70", "scope": "契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。" }, { "from": "p19-two-clocks", "relation": "supported_by", "to": "PFH-T1", "reason": "原件支持本段契约/方法或有日期研究；不证明合成报价为行情。", "locator": "全文：Option Trade Settlement及exercise settlement", "scope": "仓位形成与权利金现金结算不同；行权后股票交割T+1。不是通用客户通知截止表。" }, { "from": "p19-cash-life", "relation": "supported_by", "to": "MA-SPX", "reason": "原件支持本段契约/方法或有日期研究；不证明合成报价为行情。", "locator": "PDF pp1–2，尤其p2合约表", "scope": "SPXW欧式、PM、每点100美元、现金于到期后营业日交付；传统SPX AM/SOQ与SPXW分开。无实际报价。" }, { "from": "p19-lab", "relation": "illustrated_by", "to": "EXP-P19-CALENDAR", "reason": "在近月到期盘点远腿、现金与股票，区分平仓、续持和两期限波动率变化。" } ] ``` ## Related entries