# P13 备兑看涨：收到权利金，也卖出了一段上行 从已有股票出发，重建权利金、负债、封顶收益和股息指派后的完整账户。 Entry: zh-p13 | Node: P13 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教授P13《P13 备兑看涨：收到权利金，也卖出了一段上行》。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：从已有100股和2000现金开始，先比较到期70和130，再盘点109除息前发生指派的完整账户。 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：确认没有二次买股扣款、premium与负债同时出现、交付后股票为0，并同时处理108除息价与100股息。 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-p13", "selected_branch": "core", "learning_task": "从已有100股和2000现金开始，先比较到期70和130，再盘点109除息前发生指派的完整账户。", "required_readings": [ { "source_id": "PFH-CC", "title": "Covered Call (Buy/Write)", "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/covered-call-buy-write", "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": "股票下行仍在、call交付义务与上行让渡；不采用无条件“没有额外风险”措辞或旧Monday通知时点。" }, "supports": "股票下行仍在、call交付义务与上行让渡；不采用无条件“没有额外风险”措辞或旧Monday通知时点。", "fallback_source_ids": [] }, { "source_id": "PFH-ETF", "title": "ETF Options Product Specifications", "authors": [ "OCC" ], "version": "现行公开规格；读取2026-09-21", "access": { "kind": "html_full_text", "uri": "https://www.theocc.com/clearance-and-settlement/clearing/etf-options", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Unit of Trade; Exercise Style; Exercise Settlement Time", "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": "未调整标准合约通常100股、American exercise与T+1实物交割；调整系列另核。" }, "supports": "未调整标准合约通常100股、American exercise与T+1实物交割；调整系列另核。", "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-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": [] } ], "optional_readings": [ { "source_id": "PFH-BXM", "title": "Cboe BuyWrite Indices Methodology", "authors": [ "Cboe Global Indices" ], "version": "v6.0，2026-05-11", "access": { "kind": "pdf_full_text", "uri": "https://cdn.cboe.com/api/global/us_indices/governance/Cboe_BuyWrite_Indices_Methodology.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§§1–2 BXM相关行; §3.1 BXM非滚动/滚动规则，PDF p9", "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": "BXM结构、股息/权利金再投资、执行价与SOQ/VWAP滚动、短期权负债。只用规则，不复现指数绩效。" }, "supports": "BXM结构、股息/权利金再投资、执行价与SOQ/VWAP滚动、短期权负债。只用规则，不复现指数绩效。", "branch": "benchmark-bxm", "activate_when": "只有选择该分支时转为必读；未选不考对应题目。", "fallback_source_ids": [] } ], "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": 105, "days": 30, "raw_model": 1.5664370191311896, "mid": 1.57, "bid": 1.55, "ask": 1.59 }, { "kind": "put", "strike": 105, "days": 30, "raw_model": 6.566437019131186, "mid": 6.57, "bid": 6.55, "ask": 6.59 } ], "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 } ] }, "covered_call_105": { "shares": 100, "legs": [ { "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": 157.0, "option_cash_execution": 154.35, "cash_after_premium_settlement_mid": 2157.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 2157.0 }, { "spot": 70, "terminal_wealth_mid": 9157.0 }, { "spot": 90, "terminal_wealth_mid": 11157.0 }, { "spot": 95, "terminal_wealth_mid": 11657.0 }, { "spot": 100, "terminal_wealth_mid": 12157.0 }, { "spot": 105, "terminal_wealth_mid": 12657.0 }, { "spot": 110, "terminal_wealth_mid": 12657.0 }, { "spot": 130, "terminal_wealth_mid": 12657.0 } ] }, "cash_secured_put_105": { "shares": 0, "legs": [ { "kind": "put", "strike": 105, "days": 30, "quantity": -1, "mid": 6.57, "bid": 6.55, "ask": 6.59, "initial_mid_cash": 657.0, "initial_execution_cash_after_fee": 654.35 } ], "option_cash_mid": 657.0, "option_cash_execution": 654.35, "cash_after_premium_settlement_mid": 12657.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 2157.0 }, { "spot": 70, "terminal_wealth_mid": 9157.0 }, { "spot": 90, "terminal_wealth_mid": 11157.0 }, { "spot": 95, "terminal_wealth_mid": 11657.0 }, { "spot": 100, "terminal_wealth_mid": 12157.0 }, { "spot": 105, "terminal_wealth_mid": 12657.0 }, { "spot": 110, "terminal_wealth_mid": 12657.0 }, { "spot": 130, "terminal_wealth_mid": 12657.0 } ] } }, "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_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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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": [ 0 ], "stock_mark": 0, "option_payoff": 0, "wealth": 2157, "pnl": -9843, "return_on_initial": -0.82025, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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": [ 0 ], "stock_mark": 7000, "option_payoff": 0, "wealth": 9157, "pnl": -2843, "return_on_initial": -0.23691666666666666, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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": [ 0 ], "stock_mark": 9000, "option_payoff": 0, "wealth": 11157, "pnl": -843, "return_on_initial": -0.07025000000000003, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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 ], "stock_mark": 9500, "option_payoff": 0, "wealth": 11657, "pnl": -343, "return_on_initial": -0.028583333333333294, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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 ], "stock_mark": 10000, "option_payoff": 0, "wealth": 12157, "pnl": 157, "return_on_initial": 0.013083333333333336, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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 ], "stock_mark": 10500, "option_payoff": 0, "wealth": 12657, "pnl": 657, "return_on_initial": 0.054750000000000076, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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": [ -500 ], "stock_mark": 11000, "option_payoff": -500, "wealth": 12657, "pnl": 657, "return_on_initial": 0.054750000000000076, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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": [ -2500 ], "stock_mark": 13000, "option_payoff": -2500, "wealth": 12657, "pnl": 657, "return_on_initial": 0.054750000000000076, "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。" } ], "entry_execution": { "id": "covered_call_105", "view": "execution", "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": 154.35, "opening_fee": 0.65, "cash_after_D1": 2154.35, "option_mark": -157, "wealth_at_mid_after_entry": 11997.35, "legs": [ { "kind": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.55, "fee": 0.65, "cash": 154.35 } ], "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": [ 0 ], "stock_mark": 0, "option_payoff": 0, "wealth": 2154.35, "pnl": -9845.65, "return_on_initial": -0.8204708333333334, "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": "covered_call_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": 157, "opening_fee": 0, "cash_after_D1": 2157, "option_mark": -157, "wealth_at_mid_after_entry": 12000, "legs": [ { "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": 12657, "dividend_received": 0, "remaining_put": 0, "remaining_put_value": 0, "hold_comparator": { "ex_price": 108, "shares": 100, "cash": 2100, "wealth": 12900 }, "pre_ex_spot": 109, "dividend_per_share": 1, "wealth": 12657, "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": 100, "min": 0, "max": 200, "unit": "USD/share" }, "view": [ "mid", "execution" ], "branch": [ "expiry", "early-assignment" ] }, "algorithm": "entry -> terminal/expiryHoldings; early-assignment uses separately imposed event and ex-dividend comparator.", "boundaries": "已有100股不重复买入；恰K按非行权演示不预测指派；未知后续报价不补造。", "static_equivalent_markdown": "# P13 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 | 2,157.00 | 2,154.35 | -9,843.00 |\n| 70.00 | 9,157.00 | 9,154.35 | -2,843.00 |\n| 90.00 | 11,157.00 | 11,154.35 | -843.00 |\n| 95.00 | 11,657.00 | 11,654.35 | -343.00 |\n| 100.00 | 12,157.00 | 12,154.35 | 157.00 |\n| 105.00 | 12,657.00 | 12,654.35 | 657.00 |\n| 110.00 | 12,657.00 | 12,654.35 | 657.00 |\n| 130.00 | 12,657.00 | 12,654.35 | 657.00 |\n\nD1原有100股不再买入；mid现金2157、短call负债157。提前指派后现金12657、股票0；只持股除息对照为100×108＋2000＋100股息＝12900。\n", "static_figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P13-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P13-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/P13.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 这一篇从已经持有的股票出发。我们要完成的不是“找一张权利金高的 call”，而是判断：愿不愿意在约定期限内，按照指定价格交出这些股票？读完后，你应能把股票、短 call、现金和指派放回同一张账，并说清备兑与直接减持的区别。 ## 1. 先问愿意交出什么，再看能收到多少 设我们已经持有100股教学标的XYZ，现价100美元，另有现金2,000美元。今天的共同财富为12,000美元。我们仍愿意承担股票的日常涨跌，但未来30天若能按105卖出，愿意接受这个结果。由此才考虑卖出一张执行价105的看涨期权：对方获得买入100股的选择权，我们承担被指派时交付100股的义务。现有股票能够用于交付，因此称为**备兑看涨**；同时买股票和卖call的建立方式常称buy-write。[^cc] 选择权不是免费的附赠品。上涨时，对方可以要求执行约定价格；下跌时，对方可以不行权，把股票下跌留给我们。权利金补偿的是这种不对称权利，而不是把股票风险取消了。市场中的期权价格由交易形成；计算模型只是在给定条件下计算一个价格参照。 本篇采用PF-GRID-01合成链：未调整标准合约每张对应100股，主例30天，利率和分红均设为零。105 call的模型生成中间价为1.57，合成买价/卖价为1.55/1.59，交易费每张每次0.65美元。这些价格与费用是教学输入，不是XYZ真实挂牌系列或券商报价。美式实物合约、100股单位和行权后T+1交割的规则身份来自OCC；调整合约必须另核交付物。[^terms] ## 2. 现金增加，不等于净财富立刻增加 先用中间价看结构。卖call形成157美元权利金应收，同时产生价值157美元的短期权负债。已有股票没有再买一次，不能从现金中又扣10,000美元。 | 账户项目（美元，股数另列） | 建立前 | 按mid建立后 | |---|---:|---:| | 股票股数 | 100 | 100 | | 股票市值 | 10,000 | 10,000 | | 现金及结算后权利金 | 2,000 | 2,157 | | 短call价值 | 0 | −157 | | 净财富 | 12,000 | 12,000 | 教学时钟把成交记作D0、现金结算记作下一营业日D1。D0已经有短call，157却仍可能是应收而非可转出的现金。期权仓位建立与权利金现金结算不是同一件事；这里沿用OIC对T+1的说明。D0、D30及其下一编号日在本例被设为营业日，不是在描述某个真实节假日日历。[^t1] 换到合成执行层，我们是卖方，收取bid而不是mid：$100\times1.55-0.65=154.35$。D1现金成为2,154.35；按mid标记的短负债仍是157，净财富为11,997.35。少掉的2.65是价差让价与费用，不是一个新的风险预测。后面“mid结构”和“执行层”始终分别列示；默认到期财富还没有另扣最终卖股、行权或指派费及税。 ## 3. 逐腿相加，封顶是怎样出现的 记到期股价为$s$，并记$x^+=\max(x,0)$。若没有提前指派，股票加短call的到期经济价值为$100s-100(s-105)^+$，再加账上现金，得到 $$ W_T=2157+100s-100(s-105)^+. $$ 当$s\le105$，call没有正的到期支付，组合仍随股票每上涨1美元增加100美元。超过105后，股票每增加100美元，短call支付也增加100美元，两者正好抵消。因此 $$ W_T=2157+100\min(s,105). $$ 这是终点财富恒等式，不是宣称实物交割一定自动完成。按严格价内call指派、平价call不指派的教学分支，$s<105$时我们仍有股票，$s>105$时交出股票、收到10,500现金。恰在105附近的实际指令和指派结果仍需确认；两种结果当时的经济价值相同，往后的敞口却不同。 | 到期XYZ股价 | 只持股财富 | 备兑mid财富 | 备兑执行层财富 | mid备兑相对只持股 | |---:|---:|---:|---:|---:| | 0 | 2,000 | 2,157 | 2,154.35 | +157 | | 70 | 9,000 | 9,157 | 9,154.35 | +157 | | 100 | 12,000 | 12,157 | 12,154.35 | +157 | | 105 | 12,500 | 12,657 | 12,654.35 | +157 | | 130 | 15,000 | 12,657 | 12,654.35 | −2,343 | 所以“收到157”并不等于“亏损最多157”。股票归零时，mid组合损失9,843美元；最大到期盈利则为657美元。未计费的下侧盈亏平衡股价是98.43，而不是105。105是交付约定，98.43是特定成本口径下的盈亏分界，两者回答不同问题。
共同财富曲线：股票与备兑在105以上分开

备兑：下跌区间仍有股票，上涨区间封顶

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

共同财富曲线：股票与备兑在105以上分开
图中到期曲线的斜率变化，比“收益增强”四个字更有用。卖掉50股并持现，整个价格区间的股票敏感度都减半；备兑在明显下跌区间仍保留100股敏感度，只得到有限权利金缓冲。两者不能因为都降低某些情景损失，就当作同一种对冲。 ## 4. 股息与提前指派：需要再画一条时间线 现在单独施加一个不同于零分红主例的事件：D10发生提前指派，随后每股除息1美元；除息前教学股价109，除息后按108作纯会计对照。我们不是根据价内程度预测必然指派，而是研究已经发生这件事后，账户变成什么。 备兑持有人交付100股，在交割完成后有现金$2157+10500=12657$，不再持股，也不取得这次股息。只持股的对照则是100股按108计值，加原现金2,000和股息100，共12,900。股息若尚未支付，应先列应收，到实际付款才成为可用现金。 不能把对照股票继续按109估值，再额外加100股息；那会凭空制造一份财富。也不能只说“备兑少拿100股息”，因为两条路线的股票出售价格本来就不同。此处两者相差243，是整份账户比较的结果。
持股、短call、现金与除息事件的顺序

不是少算一次股息，而是完整账户发生变化

  1. D0→D1

    已有100股

    现金2,000 → 2,157

    短call负债157

    净财富仍12,000

  2. D10指派（施加）

    交出100股

    应收10,500

    交割后现金12,657

    不再拥有股票

  3. 除息对照

    只持股：109 → 108

    100股×108＋现金2,000

    另有股息100

    完整财富12,900

指派与分红为独立教学事件；股息应收与已到账现金另区分。

持股、短call、现金与除息事件的顺序
如果原计划并不愿失去股票，就要在卖出前处理这个冲突，而不是指派后把它解释成意外。平仓短call需要实际买回价格，可能高于最初收到的权利金；直接卖掉股票而保留短call，又会让原来的覆盖消失。OCC的多腿风险说明强调，一腿关闭不会替另一腿自动作出决定。[^odd] ## 5. 操作：先预测曲线，再查看账户
先把终点价依次设为70、105、130，分别写下“到期财富”和“期权处理后仍持有多少股”。再切换mid与执行层：你应当看到固定的2.65美元建立成本差，而不是封顶执行价也跟着改变。最后选择提前指派分支，核对除息后的108和100美元股息是否同时进入对照。
选读：真实BXM规则怎样把备兑写成一项基准 Cboe BuyWrite方法文件6.0版（2026-05-11修订）的BXM，以S&P 500敞口配月度call，并明确执行价选择、到期SOQ与新call滚动的VWAP时段，股息和权利金在规则中再投资。非滚动日计算也扣除当前短call负债，而不把所有权利金直接称收益。它说明一项真实基准需要多少时间和估值约定；并不说明任何客户都能按该基准成交。我们本篇的XYZ既不是BXM，也没有复现BXM历史回报。[^bxm]
## 6. 解释与迁移 **解释题。** XYZ跌到70时，call到期没有价值。有人说“期权赚157，所以这次策略成功”。这句话漏了什么？ **解析。** 它只观察了短call单腿。股票亏3,000，期权的157只是缓冲，整份mid账户从12,000降到9,157，净亏2,843。策略是否符合原目标还取决于原先愿承受多少下行；单腿到期赚钱不能证明整体达到目标。 **迁移题。** 若原股票很早以前买在60，现在100，备兑到130时应该用60还是100衡量今天的决策？ **解析。** 历史累计盈亏可以保留60的成本，但“今天备兑还是继续持有”要从今天相同的12,000财富比较。只持股到130为15,000，备兑为12,657，机会差额2,343不因原成本低而消失。低成本解释历史赚了多少，不能替今天卖出上行辩护。 **生命周期题。** 股票被call走后又继续上涨，我们能否继续把图上的封顶线称为账户从此永远封顶？ **解析。** 不能。图只描述这份30天合同及指定持有安排。指派后我们持有现金；再买股票、换标的或重新卖期权都是新的决策，须有新的现金与风险账。相反，到期没有指派而仍持股，则30天之后恢复完整股票风险，不能把旧call的边界延长下去。 [^cc]: OIC，[Covered Call](https://www.optionseducation.org/strategies/all-strategies/covered-call-buy-write)，Description、Variations、Max Loss/Gain、Assignment Risk完整单元；2026-09-21核用。来源支持结构与义务，本篇数字为PF-GRID-01推导。 [^terms]: OCC，[ETF Options](https://www.theocc.com/clearance-and-settlement/clearing/etf-options)，Unit of Trade、Exercise Style、Exercise Settlement Time，2026-09-21读取。 [^t1]: OIC，[The Impact of T+1 on Options](https://www.optionseducation.org/news/understanding-t-1-conversion)，July 2024，Option Trade Settlement及exercise settlement正文。 [^odd]: OCC，[Characteristics and Risks of Standardized Options](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)，June 2024，Chapter VIII印刷55–57页、Chapter X Other Risks第1项印刷67–68页。客户指令和通知时点不由本例假定。 [^bxm]: Cboe，[BuyWrite Indices Methodology](https://cdn.cboe.com/api/global/us_indices/governance/Cboe_BuyWrite_Indices_Methodology.pdf)，6.0版，§§1–2及§3.1的BXM部分；只采用结构、定价与滚动规则。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P13-COVERED-CALL", "node_id": "P13", "title": "备兑财富与交付", "anchor": "p13-lab", "description": "从已有股票出发，重建权利金、负债、封顶收益和股息指派后的完整账户。", "shared_experiment_id": "EXP-OPTIONS-01", "inputs": { "terminal_stock": { "default": 100, "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": "entry -> terminal/expiryHoldings; early-assignment uses separately imposed event and ex-dividend comparator.", "boundaries": "已有100股不重复买入；恰K按非行权演示不预测指派；未知后续报价不补造。", "views": [ "到期财富线", "股票、现金、短义务与除息时点" ], "static_equivalent": { "reader_path": "https://ou-liu-red-sugar.github.io/zh/notebook/covered-call-wealth-and-assignment/", "figure_paths": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P13-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P13-lifecycle.svg" ], "defaults_location": "agent_packet.supplied_inputs.default_results", "defaults_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P13.json", "defaults_pointer": "/", "static_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/static/P13.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/P13.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 BuyWrite Indices Methodology](https://cdn.cboe.com/api/global/us_indices/governance/Cboe_BuyWrite_Indices_Methodology.pdf): BXM结构、股息/权利金再投资、执行价与SOQ/VWAP滚动、短期权负债。只用规则，不复现指数绩效。 - [Covered Call (Buy/Write)](https://www.optionseducation.org/strategies/all-strategies/covered-call-buy-write): 股票下行仍在、call交付义务与上行让渡；不采用无条件“没有额外风险”措辞或旧Monday通知时点。 - [ETF Options Product Specifications](https://www.theocc.com/clearance-and-settlement/clearing/etf-options): 未调整标准合约通常100股、American exercise与T+1实物交割；调整系列另核。 M-E/F/G 本批采用：ETF份额期权的单位、实物交付与行权；不把同类产品的保证金百分比概括为统一数值。 - [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-p13", "relation": "part_of", "to": "portfolio-options", "reason": "主要 topic 归属" }, { "from": "zh-p13", "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-p13", "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": "zh-p13", "relation": "uses_method", "to": "zh-p09", "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": "p13-objective", "relation": "supported_by", "to": "PFH-CC", "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": "股票下行仍在、call交付义务与上行让渡；不采用无条件“没有额外风险”措辞或旧Monday通知时点。" }, { "from": "p13-objective", "relation": "supported_by", "to": "PFH-ETF", "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": "Unit of Trade; Exercise Style; Exercise Settlement Time", "scope": "未调整标准合约通常100股、American exercise与T+1实物交割；调整系列另核。" }, { "from": "p13-ledger", "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": "p13-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": "p13-lab", "relation": "supported_by", "to": "PFH-BXM", "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 BXM相关行; §3.1 BXM非滚动/滚动规则，PDF p9", "scope": "BXM结构、股息/权利金再投资、执行价与SOQ/VWAP滚动、短期权负债。只用规则，不复现指数绩效。" }, { "from": "p13-lab", "relation": "illustrated_by", "to": "EXP-P13-COVERED-CALL", "reason": "从已有股票出发，重建权利金、负债、封顶收益和股息指派后的完整账户。" } ] ``` ## Related entries