# P16 领口：保护下跌，要用什么来支付 由股票、put与call推导下限和上限，解释净credit的机会成本以及异期限领口。 Entry: zh-p16 | Node: P16 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教授P16《P16 领口：保护下跌，要用什么来支付》。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：从P95和C105推出clip关系，再解释净收15为何仍让出上涨；盘点早期指派后long put。 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：净credit减少成本、net debit增加成本，不能照抄OIC错误横幅；剩余put价值未知时不能用零补空。 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-p16", "selected_branch": "core", "learning_task": "从P95和C105推出clip关系，再解释净收15为何仍让出上涨；盘点早期指派后long put。", "required_readings": [ { "source_id": "PFH-COLLAR", "title": "Collar (Protective Collar)", "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/collar-protective-collar", "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": "三腿结构、floor/cap与指派。紧凑最大损失横幅的debit/credit符号不采用，逐腿重建。" }, "supports": "三腿结构、floor/cap与指派。紧凑最大损失横幅的debit/credit符号不采用，逐腿重建。", "editorial_correction": "紧凑最大损失横幅debit/credit符号不采用；以逐腿现金及详细Max Loss条件重建。", "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": "PFH-CLL", "title": "Cboe Collar Indices Methodology", "authors": [ "Cboe Global Indices" ], "version": "v1.1，2026-08-17", "access": { "kind": "pdf_full_text", "uri": "https://cdn.cboe.com/api/global/us_indices/governance/Cboe_Collar_Indices_Methodology.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§§1–2.3完整结构/滚动; PDF pp3–6", "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": "CLL季度put/月度call、CLL1M与CLL3M期限/执行价和cross-roll；不用作真实报价或绩效证明。" }, "supports": "CLL季度put/月度call、CLL1M与CLL3M期限/执行价和cross-roll；不用作真实报价或绩效证明。", "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": "put", "strike": 95, "days": 30, "raw_model": 1.4216039100326583, "mid": 1.42, "bid": 1.4, "ask": 1.44 }, { "kind": "call", "strike": 105, "days": 30, "raw_model": 1.5664370191311896, "mid": 1.57, "bid": 1.55, "ask": 1.59 } ], "strategy_results": { "hold": { "shares": 100, "legs": [], "option_cash_mid": 0, "option_cash_execution": 0, "cash_after_premium_settlement_mid": 2000, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 2000 }, { "spot": 70, "terminal_wealth_mid": 9000 }, { "spot": 90, "terminal_wealth_mid": 11000 }, { "spot": 95, "terminal_wealth_mid": 11500 }, { "spot": 100, "terminal_wealth_mid": 12000 }, { "spot": 105, "terminal_wealth_mid": 12500 }, { "spot": 110, "terminal_wealth_mid": 13000 }, { "spot": 130, "terminal_wealth_mid": 15000 } ] }, "protective_put_95": { "shares": 100, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "initial_mid_cash": -142.0, "initial_execution_cash_after_fee": -144.65 } ], "option_cash_mid": -142.0, "option_cash_execution": -144.65, "cash_after_premium_settlement_mid": 1858.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 11358.0 }, { "spot": 70, "terminal_wealth_mid": 11358.0 }, { "spot": 90, "terminal_wealth_mid": 11358.0 }, { "spot": 95, "terminal_wealth_mid": 11358.0 }, { "spot": 100, "terminal_wealth_mid": 11858.0 }, { "spot": 105, "terminal_wealth_mid": 12358.0 }, { "spot": 110, "terminal_wealth_mid": 12858.0 }, { "spot": 130, "terminal_wealth_mid": 14858.0 } ] }, "collar_95_105": { "shares": 100, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "initial_mid_cash": -142.0, "initial_execution_cash_after_fee": -144.65 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "initial_mid_cash": 157.0, "initial_execution_cash_after_fee": 154.35 } ], "option_cash_mid": 15.0, "option_cash_execution": 9.699999999999989, "cash_after_premium_settlement_mid": 2015.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 11515.0 }, { "spot": 70, "terminal_wealth_mid": 11515.0 }, { "spot": 90, "terminal_wealth_mid": 11515.0 }, { "spot": 95, "terminal_wealth_mid": 11515.0 }, { "spot": 100, "terminal_wealth_mid": 12015.0 }, { "spot": 105, "terminal_wealth_mid": 12515.0 }, { "spot": 110, "terminal_wealth_mid": 12515.0 }, { "spot": 130, "terminal_wealth_mid": 12515.0 } ] } }, "lifecycle_cases": { "covered_call_early_assignment": { "strike": 105, "spot_before_ex_dividend": 109, "stylized_cash_dividend_per_share": 1, "event": "early assignment imposed on D10, not predicted" } }, "source_corrections": { "OIC_collar_max_loss_banner": { "status": "do_not_copy_compact_banner_formula", "reason": "compact MAXIMUM LOSS line reverses debit/credit signs relative to the page's own detailed cash explanation; future text re-derives three legs" }, "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" } } }, "default_results": { "terminal": [ { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 0, "payoffs": [ 9500, 0 ], "stock_mark": 0, "option_payoff": 9500, "wealth": 11515, "pnl": -485, "return_on_initial": -0.040416666666666656, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 70, "payoffs": [ 2500, 0 ], "stock_mark": 7000, "option_payoff": 2500, "wealth": 11515, "pnl": -485, "return_on_initial": -0.040416666666666656, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 90, "payoffs": [ 500, 0 ], "stock_mark": 9000, "option_payoff": 500, "wealth": 11515, "pnl": -485, "return_on_initial": -0.040416666666666656, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 95, "payoffs": [ 0, 0 ], "stock_mark": 9500, "option_payoff": 0, "wealth": 11515, "pnl": -485, "return_on_initial": -0.040416666666666656, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 100, "payoffs": [ 0, 0 ], "stock_mark": 10000, "option_payoff": 0, "wealth": 12015, "pnl": 15, "return_on_initial": 0.0012499999999999734, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 105, "payoffs": [ 0, 0 ], "stock_mark": 10500, "option_payoff": 0, "wealth": 12515, "pnl": 515, "return_on_initial": 0.042916666666666714, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 110, "payoffs": [ 0, -500 ], "stock_mark": 11000, "option_payoff": -500, "wealth": 12515, "pnl": 515, "return_on_initial": 0.042916666666666714, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" }, { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 130, "payoffs": [ 0, -2500 ], "stock_mark": 13000, "option_payoff": -2500, "wealth": 12515, "pnl": 515, "return_on_initial": 0.042916666666666714, "identity": "到期闭合支付的财富标记；不自动宣称所有实物交割已完成。默认不计最终平股/行权费或税。" } ], "assignment": { "entry": { "id": "collar_95_105", "view": "mid", "origin": "existing", "initial_wealth": 12000, "initial_shares": 100, "initial_cash": 2000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 100, "option_cash": 15, "opening_fee": 0, "cash_after_D1": 2015, "option_mark": -15, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "put", "strike": 95, "days": 30, "quantity": 1, "mid": 1.42, "bid": 1.4, "ask": 1.44, "fill": 1.42, "fee": 0, "cash": -142 }, { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。" }, "assigned": true, "shares_after": 0, "delivery_shares": 100, "cash_receivable": 10500, "cash_after_settlement": 12515, "dividend_received": 0, "remaining_put": 1, "remaining_put_value": null, "hold_comparator": { "ex_price": 108, "shares": 100, "cash": 2100, "wealth": 12900 }, "pre_ex_spot": 109, "dividend_per_share": 1, "wealth": null, "note": "单独施加D10指派及随后1美元除息分支；108除息股价与100现金股息一起计。剩余put的报价未给，不用零代替。" } }, "input_units_and_bounds": { "terminal_stock": { "default": 130, "min": 0, "max": 200, "unit": "USD/share" }, "view": [ "mid", "execution" ], "branch": [ "expiry", "early-assignment" ] }, "algorithm": "cash+100 clip(S,95,105); assignment removes stock/shortcall but retains longput with unknown mark.", "boundaries": "保留put价值unknown/null；net credit不是zero economic cost；不调未冻结strike制造新链。", "static_equivalent_markdown": "# P16 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| 终点股价 | mid财富 | 执行层财富 | mid损益 |\n|---|---|---|---|\n| 0.00 | 11,515.00 | 11,509.70 | -485.00 |\n| 70.00 | 11,515.00 | 11,509.70 | -485.00 |\n| 90.00 | 11,515.00 | 11,509.70 | -485.00 |\n| 95.00 | 11,515.00 | 11,509.70 | -485.00 |\n| 100.00 | 12,015.00 | 12,009.70 | 15.00 |\n| 105.00 | 12,515.00 | 12,509.70 | 515.00 |\n| 110.00 | 12,515.00 | 12,509.70 | 515.00 |\n| 130.00 | 12,515.00 | 12,509.70 | 515.00 |\n\n净mid credit15；买ask1.44、卖bid1.55并扣两费后为9.70。下限11515/执行11509.70，上限12515/执行12509.70。提前指派后现金12515及一张put；该put新报价未给，所以总财富不能填12515。\n", "static_figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P16-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P16-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/P16.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 保护性put可以保留上涨，但要付出权利金。现在我们愿意让出一部分上涨，用卖call所得支付保护。领口的核心不是“零成本”这个标签，而是同时决定下限、上限和这段安排的期限。 ## 1. 三条腿对应三个不同承诺 设我们已有100股XYZ、每股100，另有现金2,000，总财富12,000。为了保护未来30天的大幅下跌，买一张95 put；为了降低这笔支出，再卖一张105 call。股票保留中间区间的涨跌，put赋予按95卖出的权利，call让对方取得按105买走股票的权利。三条腿的数量都对应100股，并使用同一30天到期日，才得到本篇的同期限领口。[^collar] PF-GRID-01的价格是合成教学链：95 put mid1.42，105 call mid1.57，利率与分红先设零；每张每次费0.65。真实契约的美式实物身份与交付单位来自OCC，不代表XYZ实际上市。我们先看不含摩擦的mid结构，再把bid/ask和费用放进去，不把模型价格说成成交记录。 用mid建立时，put支出142，call收入157，净收15。D1现金由2,000变为2,015；期权净市值则是$142-157=-15$。现金多了15，负债也相应增加15，净财富仍为12,000。收款并不在建仓瞬间产生15盈利。 ## 2. 一步一步把三条腿合起来 令到期股价为$s$，则组合财富为 $$ W_T=2015+100s+100(95-s)^+-100(s-105)^+. $$ 分三段看：低于95时，股票每再跌1美元，put支付多1美元，股票加put合计保持95；95到105之间，两张期权都没有正支付，保留股票；超过105时，股票继续上涨被短call支付抵消。因此 $$ W_T=2015+100\min\{\max(s,95),105\}. $$ mid财富下限11,515，上限12,515，对12,000起点的损失上限485、盈利上限515。下限更高于单独买put的11,358，不是保护变得免费，而是另外卖出了一项有价值的权利。 把净权利金记为$b=C-P$，正号表示净收款，则每股最大损失在本例条件下为$S_0-K_p-b$。若净付$d=P-C>0$，相同式子写成$S_0-K_p+d$。符号必须跟随现金方向。OIC页面的简式横幅曾将净付和净收的符号反写；本篇用上面的三腿现金式核算，不照抄那个横幅。[^correction] | D30价格 | 只持股财富 | 保护性put财富 | 领口mid财富 | 领口执行层财富 | |---:|---:|---:|---:|---:| | 70 | 9,000 | 11,358 | 11,515 | 11,509.70 | | 95 | 11,500 | 11,358 | 11,515 | 11,509.70 | | 100 | 12,000 | 11,858 | 12,015 | 12,009.70 | | 105 | 12,500 | 12,358 | 12,515 | 12,509.70 | | 130 | 15,000 | 14,858 | 12,515 | 12,509.70 |
95与105之间保留股票，两端分别被put和call改变

领口：95以下保护，105以上让渡

纵轴：共同财富（美元）

1,0205,0109,00012,99016,980
070140

横轴：D30标的价格（美元/股）

PF-GRID-01合成链 · mid结构；非真实行情

95与105之间保留股票，两端分别被put和call改变
执行层买put按ask1.44，卖call按bid1.55，再扣两张各0.65费用，净收$155-144-1.30=9.70$。这5.30差额包含两腿各2美元的报价让价和1.30费用。我们的股票已在账户中，不再收费式地扣掉10,000；表中也没有混入最终平股、行权费和税。 ## 3. “净收款”为什么仍有经济成本 如果股价到130，领口mid财富12,515，单纯持股15,000，差额2,485。这个机会差额远大于建仓净收的15。它不是一张另外扣款的账单，而是原本可能获得的上行被合同让出。把经济成本只定义成今天现金减少，会漏掉这项最重要的交换。 反过来，若股价到70，领口比持股多2,515，对最初的30天保护目标可能非常有价值。两种结果并不矛盾：领口就是把部分高价状态的所得交换为低价状态的保护。评价时应比较同一初始财富下的整个分布或任务，不应只挑“收了钱”或“少赚了钱”的一边。 离开到期日，净期权价值还会随状态变化。long put与short call的Greek可以部分抵消，但它们的执行价不同，不能因此认定theta、vega总为零。我们以当前两腿报价评估提前退出成本，而不把到期平台线当作每一天的可平仓价格。 ## 4. 指派以后，三条腿可能只剩一条 考虑独立的提前指派分支：D10，短105 call被指派，除息前XYZ109，接着每股除息1美元，教学除息后价108。中间价账中，交股并收取10,500后现金为$2015+10500=12515$；100股已交出，但95 put仍在。我们没有取得该put的新市场报价，所以不能把它标成零，也不能报告“整个领口已全部清算”。 只持股对照为100股按108加2,000原现金与100股息，合计12,900。这样才能同时反映除息股价和现金股息。领口账户此时是现金12,515加一个仍有期限的put，而不是还持100股的旧三腿结构。
指派前后的持仓数量：股票消失不代表put也消失

短call被指派，并不会顺便关闭long put

  1. D1三腿

    股票100股

    long P95 / short C105

    现金2,015

    净期权负债15

  2. D10：short call指派

    股票交出100股

    收到10,500

    现金12,515

    long put仍存续

  3. 下一项决策

    持有/卖出剩余put？

    新put报价未给

    总财富＝现金＋put mark

    不用零填未知价值

只持股对照：108×100＋2,000现金＋100股息＝12,900。

指派前后的持仓数量：股票消失不代表put也消失
剩下的put不再保护已经交出的股票。继续持有它、卖掉它，或重新建立股票仓位，各有不同目的和资金要求。OCC把这种“一腿结束、其余腿仍在”的变化列为多腿策略的重要风险。行权与指派也不能统一套成“周一才处理”：应按当前合约交割规则及具体客户指令时点安排。[^odd] ## 5. 同叫领口，真实规则可能有不同期限 Cboe Collar方法文件1.1版（2026-08-17修订）提供一个很好的制度对照。这里读的是策略规则，而不是历史收益或真实客户成交。[^cll] | 规则名称 | long put | short call | 教学关注点 | |---|---|---|---| | CLL | 约95%执行价，季度到期 | 约110%执行价，月度到期 | put还在时call会多次滚动 | | CLL1M | 约95%，月度到期 | 约平值，月度到期 | 两腿月度匹配，但上行让渡不同 | | CLL3M | 约95%，季度到期 | 约110%，季度到期 | 两腿季度匹配 | 所以“买put卖call”只告诉我们方向，没有告诉我们保护会持续多久。CLL还处理跨滚动时call执行价低于已有put执行价的情形，不能把所有时点都当成同一条永久走廊。本篇数值仍是同期限95/105主例；真实规则表只帮助读者检查日期，不把CLL当PF-GRID-01的实盘版本。 ## 6. 操作与完整题解
先让价格由70经过100到130，观察各腿支付怎样变成平台。切换执行层后，检查净收15如何变9.70。再选提前指派：读出剩余put，而不是继续沿用股票仍在的收益线。最后用上面的规则表写出CLL与CLL3M首次call到期时的不同持仓。 **解释题。** 为什么净收9.70的执行领口仍不能称为“没有成本”？ **解析。** 首先有买卖价差与费用，它们使净收低于mid的15。更重要的是short call让出了105以上上涨；股票130时执行层财富12,509.70，而只持股为15,000。这是结果分布的改变，不是一笔免费保险。零净支出只描述一个时点的现金净额。 **迁移题。** 换成净付20美元、其他条件相同的领口，最低终点财富应比净收15时更高还是更低？ **解析。** 净现金相差35，因此财富下限和上限都低35。现金变为1,980，下限11,480，最大损失520；不能写成净付权利金反而降低损失。这个不依赖复杂模型的符号检查，可以揭示简式公式错误。 **生命周期题。** CLL的月度call到期后，能否假定季度put也结束，并把账户当成只持股票？ **解析。** 不能。两腿期限不同，原put可能仍有剩余价值和保护，后续call滚动又是新交易。应先列股票数量、原put期限、新call条款和现金，再评估新的保护走廊，而不是复制原图。 [^collar]: OIC，[Collar](https://www.optionseducation.org/strategies/all-strategies/collar-protective-collar)，完整Description、Max Gain/Loss、Assignment Risk正文，2026-09-21核用。 [^correction]: 同一OIC页面“Net Position”横幅与详细Max Loss段对照。本篇的净付增加成本、净收减少成本来自逐腿现金恒等式；不采用横幅中相反的紧凑符号。 [^odd]: OCC，[ODD](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)，June 2024，Chapter VIII、Other Risks item 1印刷67–68页；OIC [T+1说明](https://www.optionseducation.org/news/understanding-t-1-conversion)，July 2024。 [^cll]: Cboe，[Collar Indices Methodology](https://cdn.cboe.com/api/global/us_indices/governance/Cboe_Collar_Indices_Methodology.pdf)，1.1版，§§1–2.3、CLL/CLL1M/CLL3M构成表及cross-roll说明；不采用历史绩效。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P16-COLLAR", "node_id": "P16", "title": "三腿领口与剩余持仓", "anchor": "p16-lab", "description": "由股票、put与call推导下限和上限，解释净credit的机会成本以及异期限领口。", "shared_experiment_id": "EXP-OPTIONS-01", "inputs": { "terminal_stock": { "default": 130, "min": 0, "max": 200, "unit": "USD/share" }, "view": [ "mid", "execution" ], "branch": [ "expiry", "early-assignment" ] }, "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": "cash+100 clip(S,95,105); assignment removes stock/shortcall but retains longput with unknown mark.", "boundaries": "保留put价值unknown/null；net credit不是zero economic cost；不调未冻结strike制造新链。", "views": [ "三腿合成的下限/上限", "D1净现金与指派后的剩余权利" ], "static_equivalent": { "reader_path": "https://ou-liu-red-sugar.github.io/zh/notebook/collar-floor-cap-and-assignment/", "figure_paths": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P16-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P16-lifecycle.svg" ], "defaults_location": "agent_packet.supplied_inputs.default_results", "defaults_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P16.json", "defaults_pointer": "/", "static_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/static/P16.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/P16.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。 - [Cboe Collar Indices Methodology](https://cdn.cboe.com/api/global/us_indices/governance/Cboe_Collar_Indices_Methodology.pdf): CLL季度put/月度call、CLL1M与CLL3M期限/执行价和cross-roll；不用作真实报价或绩效证明。 - [Collar (Protective Collar)](https://www.optionseducation.org/strategies/all-strategies/collar-protective-collar): 三腿结构、floor/cap与指派。紧凑最大损失横幅的debit/credit符号不采用，逐腿重建。 - [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-p16", "relation": "part_of", "to": "portfolio-options", "reason": "主要 topic 归属" }, { "from": "zh-p16", "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-p16", "relation": "uses_method", "to": "zh-p10", "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-p16", "relation": "uses_method", "to": "zh-p13", "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-p16", "relation": "uses_method", "to": "zh-p15", "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": "p16-clipping", "relation": "supported_by", "to": "PFH-COLLAR", "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": "三腿结构、floor/cap与指派。紧凑最大损失横幅的debit/credit符号不采用，逐腿重建。" }, { "from": "p16-lifecycle", "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": "p16-lifecycle", "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": "p16-benchmarks", "relation": "supported_by", "to": "PFH-CLL", "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": "§§1–2.3完整结构/滚动; PDF pp3–6", "scope": "CLL季度put/月度call、CLL1M与CLL3M期限/执行价和cross-roll；不用作真实报价或绩效证明。" }, { "from": "p16-lab", "relation": "illustrated_by", "to": "EXP-P16-COLLAR", "reason": "由股票、put与call推导下限和上限，解释净credit的机会成本以及异期限领口。" } ] ``` ## Related entries