# 行权、指派与到期：账户究竟发生什么 按平仓、实物行权、指数现金结算和空头抵押四条路径列账，区分现金、负债、权益和新投入。 Entry: zh-m17 | Node: M17 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教M17《行权、指派与到期：账户究竟发生什么》，内容版本2026-09-21-MEFG-review-v3。读者已有高年级本科至研究生的数学基础。 先确认选用本篇共同正文和哪些分支，再实际读取agent_packet列出的当前必读完整原文。PDF需读脚注、表图与符号；只拿到摘要/目录/搜索片段不算完成。记录实际版本、范围与内容对应，不沿用编辑端“已读”充当本次读取；同会话已完整取得相同版本单元可以复用。若所需单元失败，尝试机构正式等价全文；仍缺失则指出具体单元，不凭记忆补成已读教学。runtime_reading_log从空开始。 独立学习任务：独立列出平仓、实物行权和SPXW到期后的现金/股票；用四列账本解释1900、4100、2200和1300。 专属诊断与正向讲解：先重建1900/400/1500，再将负债按1700标记。要求说明此时权益200但没有期货式VM扣款，再算应补2200和最终2400。可用资金不足则停止。 反馈尺度：经纪商deadline或净额融资未经读取不填造；ex-by-ex是清算流程，不是每个客户或保护腿都自动处理。 读者要求直接讲解时，按本篇连贯推导讲清，不反复问已会先修。静态例、实验、练习必须使用本包同一输入和单位；实例价、合成价、模型价、规则时点不能混换。练习要给完整解析，不仅打分。仅当选读分支被采用时，将其optional reading转入当前必读。 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", "required_readings": [ { "source_id": "MA-OCC", "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": "Ch VIII printed pp55–57；IX pp58–59；X holder pp61–63、writer pp63–67所采用风险单元", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "行权、指派、保证金与持有人/写出人风险" }, "supports": "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。", "id": "M17-READ-01", "title": "Characteristics and Risks of Standardized Options", "authors": [ "The Options Clearing Corporation" ], "retrieved_at": "2026-09-21" }, { "source_id": "PFH-EQUITY", "version": "Undated public specification; retrieved 2026-09-21", "access": { "kind": "html_full_text", "uri": "https://www.theocc.com/clearance-and-settlement/clearing/equity-options-product-specifications", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "完整规格正文，包括uncovered customer margin及maintenance", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "保证金公式适用对象和T+1实物交付" }, "supports": "普通股票期权通常100股、美式实物交收；裸call最低规则与维持时使用当前期权价值。非全部ETF/指数或具体账户house margin。", "id": "M17-READ-02", "title": "Equity Options Product Specifications", "authors": [ "OCC" ], "retrieved_at": "2026-09-21" }, { "source_id": "MA-SPX", "version": "©2026; WF-451400-KC; no precise issue date shown", "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": "完整两页", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "现金结算与欧式AM/PM区别" }, "supports": "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。", "id": "M17-READ-03", "title": "S&P 500 Index Options (SPX) Fact Sheet", "authors": [ "Cboe Global Markets" ], "retrieved_at": "2026-09-21" }, { "source_id": "PFH-EXERCISE", "version": "Undated; retrieved 2026-09-21", "access": { "kind": "html_full_text", "uri": "https://www.optionseducation.org/referencelibrary/faq/options-exercise", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "FAQ正文全文", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "ex-by-ex、客户指令、提前行权及平仓" }, "supports": "行权vs平仓、ex-by-ex与客户指令、提前行权和分红；不提供任何个人券商统一截止。", "id": "M17-READ-04", "title": "Options Exercise FAQ", "authors": [ "Options Industry Council" ], "retrieved_at": "2026-09-21" }, { "source_id": "PFH-T1", "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", "scope": "完整指定单元、必要脚注与表图；不以搜索摘要代替", "purpose": "期权premium与行权股票现金/记录时点" }, "supports": "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。", "id": "M17-READ-05", "title": "The Impact of T+1 on Options / Understanding T+1 Conversion", "authors": [ "Options Industry Council" ], "retrieved_at": "2026-09-21" } ], "optional_readings": [], "runtime_reading_log": [], "supplied_inputs": { "content_version": "2026-09-21-MEFG-draft-v1", "data": { "schema": "markets-mefg-adopted-inputs-v1", "content_version": "2026-09-21-MEFG-draft-v1", "scope": [ "M15", "M16", "M17", "M18", "M19", "M20", "M21", "M22", "M23" ], "state_tree": { "experiment_id": "EXP-STATE-01", "source_file": "data/qt-f-shared-state-experiment.json", "source_version": "2026-09-21-v1", "source_sha256": "8489fd3b74f469c3424d32a2b0738280e4e83709f081dfb24282d9afcfa8804b", "source_pointer": "two_state / three_state_incomplete / three_state_augmented_complete", "identity": "Exact received QT-F/M21 frozen contract; file preserved byte-for-byte; generated browser data is a derived copy", "physical_up_probability_variants": [ 0.2, 0.6, 0.8, 0.9 ], "period_unit": "one abstract period; R is gross growth, not annual net rate" }, "odd_equal_wealth": { "identity": "OCC ODD June2024 printed p61 hypothetical; exact interest versus rounded official display distinguished", "initial_wealth_usd": 5000, "spot_usd": 50, "strike_usd": 50, "premium_per_share_usd": 5, "shares_per_contract": 100, "stock_position_shares": 100, "mixed_contracts": 1, "all_option_contracts": 10, "mixed_cash_usd": 4500, "simple_annual_cash_rate": 0.0325, "horizon_years": 0.5, "terminal_spots_usd": [ 62, 58, 54, 50, 46, 42, 38 ], "cost_convention": "No fees, tax or stock dividends in base; terminal economic payoff is not a funding guarantee for physical exercise" }, "cash_examples": { "identity": "Synthetic amounts under documented product rules; not historical quotes/series/accounts", "equity_call": { "multiplier": 100, "contracts": 1, "strike": 100, "purchase_premium": 4, "later_underlying_bid": 105, "later_option_bid": 6, "later_option_ask": 6.2, "exercise_gross_cash_assumption": 10000, "exercise_model": "sequential gross payment first; no assumed netting/credit; broker policy not inferred" }, "spxw_call": { "multiplier_usd_per_point": 100, "strike_points": 5000, "purchase_premium_points": 50, "settlement_value_points": 5025, "shares_delivered": 0 }, "uncovered_equity_call_margin": { "contract_type": "OCC ordinary equity uncovered call minimum; not ETF/index or broker house rules", "multiplier": 100, "strike": 105, "initial_spot": 100, "initial_option_premium": 4, "later_spot": 120, "later_option_mark": 17, "base_fraction": 0.2, "minimum_call_fraction": 0.1, "other_positions_or_broker_addons": false, "default_external_cash_available": 2200, "model": "cash collateral; liability is mark not daily futures VM; no external deposits beyond the explicitly displayed steps" } }, "early_exercise_counterexample": { "identity": "Separate teaching market, not EXP-STATE-01", "spot": 50, "strike": 100, "up_factor": 1.2, "down_factor": 0.9, "gross_cash_growth_per_period": 1.02, "periods": [ 1, 2 ], "dividend": 0, "time_unit": "one abstract period; not a year; American exercise at every displayed node" }, "parity_quotes": { "identity": "Separate synthetic quote/funding scenario; no friction toggle on EXP-STATE-01", "strike": 105, "gross_cash_growth": 1.02, "stock": { "bid": 99.95, "ask": 100.05 }, "call": { "bid": 5.8, "ask": 6.2 }, "put": { "bid": 8.7, "ask": 9.1 }, "extra_fee_per_underlying_unit": 0, "cost_convention": "same borrowing/lending, zero dividend European same K/T; all legs synchronous and fully fillable only by explicit teaching assumption", "execution_assumptions": { "borrowing": true, "stock_short": true, "synchronous": true, "depth": true, "exercise_terms_match": true }, "default_capital_available": 1 }, "surface": { "experiment_id": "EXP-MEFG-IV-01", "identity": "Entirely synthetic SPX-sized European call/put quotes; actual multiplier/tick only; no historical chain", "quote_date": null, "spot_index_points": 5000, "annual_continuous_rate": 0.04, "annual_continuous_dividend_yield": 0, "dividend_note": "zero is teaching assumption, not S&P500 dividend forecast", "day_count": "ACT/365 teaching whole-day expiries", "strikes_points": [ 4500, 5000, 5500 ], "maturities": [ { "days": 30, "sigma_by_strike": [ 0.28, 0.24, 0.22 ] }, { "days": 90, "sigma_by_strike": [ 0.27, 0.235, 0.22 ] }, { "days": 180, "sigma_by_strike": [ 0.25, 0.23, 0.22 ] } ], "quote_half_width_points": 0.2, "contract_multiplier_usd_per_point": 100, "min_quote_tick_below3": 0.05, "min_quote_tick_at_or_above3": 0.1, "greek_example": { "strike": 5000, "days": 90, "sigma": 0.235, "spot_changes_points": [ 50, 500 ], "vol_changes_absolute": [ 0.01, 0.1 ] }, "validation_scope": "displayed grid only; not a global no-arbitrage surface or observed chain" }, "vix": { "official_sample": { "identity": "Methodology v6.0 Appendix3 explicitly hypothetical (2022-09-27 10:45:15 ET label is not observed VIX)", "minutes_near": 34484, "minutes_next": 44954, "target_minutes": 43200, "year_minutes": 525600, "near_variance": 0.019233906, "next_variance": 0.019423884, "displayed_T_near": 0.0656088, "displayed_T_next": 0.0855289, "displayed_vix": 13.93, "one_strike": { "strike": 1370, "delta_K": 5, "mid_quote": 0.2, "R_rounded": 0.000317, "T_rounded": 0.0656088, "displayed_contribution": 5.328e-07 } }, "two_term_teaching_variant": { "identity": "separate variance interpolation, not a VIX-strip reproduction", "days_near": 24, "days_next": 36, "target_days": 30, "near_vol": 0.2, "next_vol": 0.24 } }, "information_example": { "identity": "Synthetic contract volumes classified by initiating side; size-weighted KIT Eq(2), not unweighted transaction counts; not motives", "unit": "option contracts", "buyer_call_contracts": 30, "seller_call_contracts": 10, "buyer_put_contracts": 25, "seller_put_contracts": 35, "non_event_mean_TOI": 0.05, "baseline_window": "non-announcement days tau-40 through tau-10 per paper; 0.05 here a teaching value", "table_2_column_3": { "identity": "published regression coefficients with macro/non-macro separately standardized variables; not raw-return slopes/profits", "OI_coefficient": 0.0033, "OI_macro_interaction": 0.025, "column_1_OI_coefficient": 0.0078, "sample_observations": 51522 } }, "runtime_reading_log": [] }, "additional_files": [], "experiment_id": "EXP-MEFG-M17-LIFECYCLE" }, "entry_id": "zh-m17", "node_id": "M17", "content_version": "2026-09-21-MEFG-review-v3", "experiment_ids": [ "EXP-MEFG-M17-LIFECYCLE" ], "source_id_aliases": { "MEFG-ODD": "MA-OCC", "MEFG-OCC-EQUITY": "PFH-EQUITY", "MEFG-OCC-ETF": "PFH-ETF", "MEFG-OIC-T1": "PFH-T1", "MEFG-SPX": "MA-SPX", "MEFG-MIT-OPTIONS": "PFH-MIT-OPTIONS", "MEFG-MIT-KOGAN": "PFH-MIT-BSM", "MEFG-OIC-PARITY": "PFH-PARITY", "MEFG-OIC-EXERCISE": "PFH-EXERCISE", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025" }, "source_paths": { "shared_inputs.json": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/inputs.json", "data/qt-f-shared-state-experiment.json": "https://ou-liu-red-sugar.github.io/notebook/labs/qt-f/data/qt-f-shared-state-experiment.json", "static/M17.html": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/static/M17.html" } } ``` ## Supplied entry ## 一、先把三个动作分开 一份期权涨价以后，持有人常有两条路径：在市场卖出这份权利，或者在合约允许时行权。前者叫卖出平仓；后者把选择权转成股票／现金的履约要求。**平仓是期权交易，行权是使用合约权利，指派则是把履约义务落实到相应卖方持仓。** 不能把这三个动作画成一个“兑现收益”按钮。[^MEFG-ODD][^MEFG-OIC-EXERCISE] 美式期权允许在规定营业日提前行权；欧式期权限于相应到期安排。选择何时行权时，不只看当前价内程度，还要比较卖出期权能收多少钱、提前支付行权货款的资金代价、标的分配以及失去的剩余选择权。合约允许某个动作，不代表那个动作在当前报价下最合算。 从账户看，期权卖方也不是始终对最初那个买方履约。OCC体系在清算会员层承接和分配相应义务，客户层再按适用程序处理。这就是为什么实际行权通知、指派通知、交易回报和交收可能在不同时间出现。[^MEFG-ODD] ## 二、同一张股票call，平仓与行权不是同一笔现金 取一份标准股票call作教学账：每份100股，$K=100$，最初以每股4买入，权利金400。后来观察到股票可卖报价105，call的bid／ask为6／6.2。全部报价均为教学设定，没有对应的真实成交系列。 先假设各腿都可按给定价格执行，忽略费用。卖出期权平仓，使用call的bid 6，收到600，原交易损益 $600-400=200$。若提前行权，再卖掉取得的股票，则按合约付10,000、收100股，再按股票bid收10,500，扣原400后损益100。[^MEFG-OCC-EQUITY][^MEFG-OIC-EXERCISE] | 路径 | 期权现金 | 行权股票／货款 | 后续卖股 | 原交易名义损益 | |---|---:|---|---:|---:| | 卖出call平仓 | 初始−400，后来＋600 | 无 | 无 | ＋200 | | 行权后卖股 | 初始−400 | −10,000，＋100股 | ＋10,500，−100股 | ＋100 | 这里call的可卖价6，高于立即交换差额5；直接行权相当于放弃每股1美元、全份100美元的剩余可卖价值。我们没有由此推导“所有美式call永不提前行权”。现金分配、融资、实际报价与可执行性变了，比较也会变。 10,000是行权买股的**货款毛额**。在“先独立付款、后取得股票、再出售”的教学路径中，需要先取得这笔资金；若券商允许同步卖出、交收抵销或授信，峰值新增现金可能不同。没有具体客户规则时，不能把10,000强说成所有账户的统一资金要求，也不能反过来因为最终只赚100，就假定中途不需要钱。 我们用相对事件日记时间：期权成交日为 $T$，其权利金现金交收与头寸记录不是同一事件；行权日在另一个营业日 $E$，OCC普通股票规格列示股票于随后第一个营业日交付。它可能是 $E+1$，却不必是买入期权后的 $T+1$。[^MEFG-OIC-T1][^MEFG-OCC-EQUITY] ## 三、SPXW的结算不是交出一篮子股票 Cboe所列SPX与SPXW都是欧式现金结算、每点100美元，但结算值形成方式不同：传统SPX采用AM安排，SPXW采用其规定的PM安排。本例只取SPXW的现金分支。[^MEFG-SPX] 设 $K=5,000$，最初权利金50点，即5,000美元；最终结算值5,025。到期支付为 $$ 100(5,025-5,000)=2,500\text{ 美元}, $$ 扣原权利金后名义损益为−2,500美元。没有股票流入，也不发生 $K\times100$ 的买入指数“货款”。价内只说明支付为正，不说明初始投资已被覆盖。合约的结算现金于规则规定的营业日到达清算流程，个人账户显示还要服从相应处理。 这也解释为什么“到期时看屏幕上指数是多少”并不是充分操作方案：合约认定的是指定的exercise settlement value。AM与PM的价格采集时点不同，不能拿普通收盘指数给所有SPX系列统一结算。 ## 四、保证金账本要把负债摆出来 现在换到一份普通股票裸call卖方。教学输入为 $S=100$、$K=105$、权利金4、乘数100；后来 $S=120$，期权按17标记。OCC网页给出的这一类最低客户规则，可在本例写成 $$ \begin{aligned} A_{\rm req} &=100\left[V+\max\left(0.20S-\max(K-S,0),\,0.10S\right)\right],\\ E_{\rm req}&=A_{\rm req}-100V. \end{aligned} $$ $A_{\rm req}$ 是包含期权价值部分的总抵押资产要求，$E_{\rm req}$ 才是扣空头负债后的权益要求。维持时用当前期权价值代替最初收到的权利金。本例不含其他持仓或券商附加要求，也不把此百分比套给所有ETF和指数期权。[^MEFG-OCC-EQUITY] 开仓时要求总资产 $100[4+\max(20-5,10)]=1,900$；其中400来自卖出权利金，自有投入1,500。价格变化后要求变成 $100[17+\max(24,12)]=4,100$。注意，期权涨价先增加的是空头负债，不像期货每日变动现金那样自动把差额从本例现金栏扣走。 | 时点 | 现金／抵押资产 | 空头期权负债 | 净权益 | 本步客户新增现金 | |---|---:|---:|---:|---:| | 开仓后 | 1,900 | 400 | 1,500 | 1,500 | | 价格变化，未补款 | 1,900 | 1,700 | 200 | 0 | | 补足要求后 | 4,100 | 1,700 | 2,400 | 2,200 | | 按17买回平仓后 | 2,400 | 0 | 2,400 | 0 | 累计自有投入 $1,500+2,200=3,700$；最终剩2,400，损失1,300。也可从期权本身核对：收到400、买回付1,700，同样−1,300。 因此，4,100总抵押、2,400净权益、2,200追加现金和1,300损失是四个量。若外部可用现金不足2,200，这条“补足后再平仓”的完整路径就尚未完成；本例没有规定强平价，不能继续替它编一个实际平仓结果。保证金要求也不是损失封顶，标的继续上涨仍可能加重义务。[^MEFG-ODD] ## 五、到期流程与多腿持仓之间还隔着操作条件 到期附近，清算会员层的exercise-by-exception程序与客户对券商发出的指令不是一回事。阈值处理、反向指令、客户截止以及资金能力都有各自规则。只知道某腿价内，不能保证客户一定会按自己想象的路径取得股票；也不能保证被指派的短腿与另一条保护长腿自动同一时刻处理。[^MEFG-OIC-EXERCISE] 对提前行权，美式call持有人还可能比较取得股票后能否获得分红、原期权的剩余市场价值和提前支付 $K$ 的资金代价。分红对“持股”和“持有期权”两条现金路径不同，正是需要重新比较的原因；不是只要有分红就必然行权。对已经持有现货的卖方，指派改变股票和现金；对没有现货的卖方，还涉及如何取得交付证券。这些生命周期差异，应在讨论策略名称之前先画清楚。
实验的路径图显示交易、行权和交收的不同节点，账本图显示现金、负债、权益。默认完整账是上面的四行；减少外部资金或选择不具备行权资格的产品时，页面保留已发生项目、列出缺口，不伪造后续完成。资金参数只属于教学路径，不替代券商规则。 ## 六、检查你是否真的能读账户 **题一。** 教学股票call的可卖bid为6，而股票bid为105、$K=100$。忽略费用，为什么提前行权后卖股少100美元？ **解析。** 平仓把整张期权以600卖掉；立即行权交换只取得500差额。原始400成本在两条路径中都扣一次，所以两者最终损益相差100。这一比较先假设报价足额可执行，不能忽略价差和资金条件。 **题二。** 上表价格变化、尚未补款时，净权益为什么是200而不是1,900？随后“补到4,100”是否表示又亏了2,200？ **解析。** 账户有1,900现金，同时欠一份价值1,700的期权，净权益为200。转入2,200只增加资产与投入资本，并不再产生2,200交易损失；已有损失仍为权利金负债从400升到1,700的1,300。补后权益2,400与累计投入3,700相差同样1,300。 **题三。** 到期SPXW价内25点，是否意味着至少赚2,500？ **解析。** 2,500是该例现金支付。最初支付5,000权利金，所以名义损益−2,500；计入资金时间和费用还需进一步调整。支付正、损益正是两个命题。 **题四。** 你的短call已被指派，账户还有另一份长call。为什么不能仅据此跳过资金检查？ **解析。** 两腿可能有不同期限、行权方式和客户处理时点。即使最终支付能形成保护，短腿要求的股票／现金与长腿是否、何时行权仍要逐项核。缺具体规则与指令时，本题只能识别风险接口，不能替账户保证自动净额结算。 [^MEFG-ODD]: The Options Clearing Corporation，*Characteristics and Risks of Standardized Options*，June 2024。[原文](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)。本篇定位：Ch I printed pp3–5；Ch II vanilla terms pp6–9; Premium/Opening and Closing pp11–12; Intrinsic and Time Value pp14–15；Ch VIII pp55–57; Ch IX pp58–59；Ch X holder pp61–63; writer pp63–67（至所采用第11项）。 [^MEFG-OIC-EXERCISE]: Options Industry Council，*Options Exercise FAQ*，Undated; retrieved 2026-09-21。[原文](https://www.optionseducation.org/referencelibrary/faq/options-exercise)。本篇定位：Full FAQ main body through exercise/closing distinction。 [^MEFG-OCC-EQUITY]: OCC，*Equity Options Product Specifications*，Undated public specification; retrieved 2026-09-21。[原文](https://www.theocc.com/clearance-and-settlement/clearing/equity-options-product-specifications)。本篇定位：Full displayed specification body: Unit, Premium, Exercise, Settlement, Minimum Customer Margin。 [^MEFG-OIC-T1]: Options Industry Council，*The Impact of T+1 on Options / Understanding T+1 Conversion*，July 2024。[原文](https://www.optionseducation.org/news/understanding-t-1-conversion)。本篇定位：Article body, full。 [^MEFG-SPX]: Cboe Global Markets，*S&P 500 Index Options (SPX) Fact Sheet*，©2026; WF-451400-KC; no precise issue date shown。[原文](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf)。本篇定位：Full physical pp1–2; p2 specifications and relevant footnotes。 ## Additional teaching material ### 本篇默认结果与静态等价
分支初始premium后续收付总交易P&L
股票call平仓−400按bid收600+200
股票call行权再卖股−400−10,000；+10,500+100
SPXW结算5,025−5,000现金支付+2,500−2,500
裸call阶段现金短期权负债净权益新增自有现金
开仓后1,900.00400.001,500.001,500.00
价格变化、未补款1,900.001,700.00200.000.00
补足要求4,100.001,700.002,400.002,200.00
按标记价买回平仓（教学）2,400.000.002,400.000.00

累计自有资金3,700；平仓剩2,400；损失1,300。总抵押4,100、净权益2,400、追加2,200是不同量。外部可用现金不足2,200时停止，不能无条件画到平仓。

完整冻结输入：https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/inputs.json。来源内的包路径按 source_paths 取得。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-MEFG-M17-LIFECYCLE", "title": "平仓、行权与空头资金账", "anchor": "m17-timing", "description": "比较实物与现金交收，再按四列账本分开抵押资产、负债、权益和外部资金。", "data_identity": "真实合约机制＋教学报价。股票期权标记负债不当作期货逐日现金。现金不足不续写完成结果。", "shared_dataset_ids": [], "inputs": { "canonical_common": "shared_inputs.json", "state_contract": null, "controls": [ { "name": "mode", "label": "账户分支", "type": "select", "default": "physical", "domain_or_choices": [ [ "physical", "股票call：平仓/行权" ], [ "index", "SPXW：现金到期" ], [ "writer", "裸股票call：抵押账" ] ] }, { "name": "action", "label": "股票call处理", "type": "select", "default": "close", "domain_or_choices": [ [ "close", "卖出平仓" ], [ "exercise", "先付货款行权，再卖股票" ] ] }, { "name": "funds", "label": "行权可动用毛现金（美元）", "type": "number", "default": 10000, "domain_or_choices": { "min": 0, "step": 500 } }, { "name": "settlement", "label": "SPXW最终结算点", "type": "number", "default": 5025, "domain_or_choices": { "min": 0, "step": 25 } }, { "name": "laterSpot", "label": "空头后续股价", "type": "number", "default": 120, "domain_or_choices": { "min": 0, "step": 1 } }, { "name": "laterMark", "label": "空头期权标记报价", "type": "number", "default": 17, "domain_or_choices": { "min": 0, "step": 0.1 } }, { "name": "external", "label": "本次可追加现金（美元）", "type": "number", "default": 2200, "domain_or_choices": { "min": 0, "step": 100 } } ] }, "algorithm": "Physical close: -400+600=200. Sequential exercise: funds>=10000 required before modeled stock sale; -400-10000+10500=100. SPXW:100*max(settlement-5000,0)-5000. Naked equity call collateral=m*(option_mark+max(.2*S-max(K-S,0),.1*S)); account equity=cash-liability; required top-up=max(new_collateral-old_cash,0); cash paid=min(available,required), stop if unmet>0.", "outputs": { "default": { "mode": "writer", "status": "illustrated_funded_close", "rows": [ { "stage": "开仓后", "cash": 1900, "liability": 400, "equity": 1500, "newCapital": 1500 }, { "stage": "价格变化、未补款", "cash": 1900, "liability": 1700, "equity": 200, "newCapital": 0 }, { "stage": "补足要求", "cash": 4100, "liability": 1700, "equity": 2400, "newCapital": 2200 }, { "stage": "按标记价买回平仓（教学）", "cash": 2400, "liability": 0, "equity": 2400, "newCapital": 0 } ], "initialCollateral": 1900, "requiredCollateral": 4100, "requiredEquity": 2400, "requiredTopup": 2200, "paid": 2200, "shortfall": 0, "markPnl": -1300, "realizedPnl": -1300, "totalOwnCapital": 3700, "endingCash": 2400, "noFuturesVM": true, "noHouseMargin": true }, "static_equivalent": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/static/M17.html", "unit_note": "真实合约机制＋教学报价。股票期权标记负债不当作期货逐日现金。现金不足不续写完成结果。" }, "boundaries": [ "这里只是普通股票裸call最低客户规则，非ETF/index/house-margin统一表", "可用追加现金不足时停止，后续realizedPnl/endingCash为null", "行权10,000毛额先付款是具名教学顺序，不推定经纪商净额要求", "T+1分trade/exercise对应事件，不编客户cutoff", "无费用普通美式call教学标记须不低于立即行权值且不高于股价；无效标记拒绝计算" ], "views": { "first": "数值/单位/现金表", "second": "定价、现金、状态或事件图；见同一实验实现" }, "implementation": { "html": "/notebook/labs/m-efg/interactions.html?experiment=EXP-MEFG-M17-LIFECYCLE", "engine": "/notebook/labs/m-efg/engine.js", "static_available_without_js": true }, "source_id_aliases": { "MEFG-ODD": "MA-OCC", "MEFG-OCC-EQUITY": "PFH-EQUITY", "MEFG-OCC-ETF": "PFH-ETF", "MEFG-OIC-T1": "PFH-T1", "MEFG-SPX": "MA-SPX", "MEFG-MIT-OPTIONS": "PFH-MIT-OPTIONS", "MEFG-MIT-KOGAN": "PFH-MIT-BSM", "MEFG-OIC-PARITY": "PFH-PARITY", "MEFG-OIC-EXERCISE": "PFH-EXERCISE", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025" }, "input_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/inputs.json", "static_equivalent": "https://ou-liu-red-sugar.github.io/notebook/labs/m-efg/static/M17.html" } ] ``` ## 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。 - [Equity Options Product Specifications](https://www.theocc.com/clearance-and-settlement/clearing/equity-options-product-specifications): 标准未调整股票期权100股、美元报价、美式行权与实物交割。只支持合约身份，不代表具体账户可交易或保证金额度。 M-E/F/G 本批采用：普通股票期权通常100股、美式实物交收；裸call最低规则与维持时使用当前期权价值。非全部ETF/指数或具体账户house margin。 - [Options Exercise FAQ](https://www.optionseducation.org/referencelibrary/faq/options-exercise): 行权、平仓、成员exercise-by-exception与客户指令分开；股息和时间价值影响选择，但不保证每个客户腿自动执行。 M-E/F/G 本批采用：行权vs平仓、ex-by-ex与客户指令、提前行权和分红；不提供任何个人券商统一截止。 - [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-m17", "relation": "part_of", "to": "markets-derivatives", "reason": "主要 topic 归属" }, { "from": "zh-m17", "relation": "requires", "to": "zh-m15", "reason": "仅需要这项先备能力，不由推荐次序自动生成", "required_competence": "分清call/put、premium、单位和行权方式" }, { "from": "zh-m17", "relation": "uses_method", "to": "zh-m04", "reason": "本篇相应段落就地调用报价、履约、时间价值或价格敏感度，不要求重新学习整篇" }, { "from": "m17-actions", "relation": "supported_by", "to": "MA-OCC", "reason": "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。", "locator": "Ch I printed pp3–5；Ch II vanilla terms pp6–9; Premium/Opening and Closing pp11–12; Intrinsic and Time Value pp14–15；Ch VIII pp55–57; Ch IX pp58–59；Ch X holder pp61–63; writer pp63–67（至所采用第11项）", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-actions" }, { "from": "m17-actions", "relation": "supported_by", "to": "PFH-EXERCISE", "reason": "行权vs平仓、ex-by-ex与客户指令、提前行权和分红；不提供任何个人券商统一截止。", "locator": "Full FAQ main body through exercise/closing distinction", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-actions" }, { "from": "m17-physical", "relation": "supported_by", "to": "PFH-EQUITY", "reason": "普通股票期权通常100股、美式实物交收；裸call最低规则与维持时使用当前期权价值。非全部ETF/指数或具体账户house margin。", "locator": "Full displayed specification body: Unit, Premium, Exercise, Settlement, Minimum Customer Margin", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-physical" }, { "from": "m17-physical", "relation": "supported_by", "to": "PFH-EXERCISE", "reason": "行权vs平仓、ex-by-ex与客户指令、提前行权和分红；不提供任何个人券商统一截止。", "locator": "Full FAQ main body through exercise/closing distinction", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-physical" }, { "from": "m17-physical", "relation": "supported_by", "to": "PFH-T1", "reason": "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。", "locator": "Article body, full", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-physical" }, { "from": "m17-index", "relation": "supported_by", "to": "MA-SPX", "reason": "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。", "locator": "Full physical pp1–2; p2 specifications and relevant footnotes", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-index" }, { "from": "m17-margin", "relation": "supported_by", "to": "PFH-EQUITY", "reason": "普通股票期权通常100股、美式实物交收；裸call最低规则与维持时使用当前期权价值。非全部ETF/指数或具体账户house margin。", "locator": "Full displayed specification body: Unit, Premium, Exercise, Settlement, Minimum Customer Margin", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-margin" }, { "from": "m17-margin", "relation": "supported_by", "to": "MA-OCC", "reason": "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。", "locator": "Ch I printed pp3–5；Ch II vanilla terms pp6–9; Premium/Opening and Closing pp11–12; Intrinsic and Time Value pp14–15；Ch VIII pp55–57; Ch IX pp58–59；Ch X holder pp61–63; writer pp63–67（至所采用第11项）", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-margin" }, { "from": "m17-timing", "relation": "supported_by", "to": "PFH-EXERCISE", "reason": "行权vs平仓、ex-by-ex与客户指令、提前行权和分红；不提供任何个人券商统一截止。", "locator": "Full FAQ main body through exercise/closing distinction", "scope": "本段具名采用内容；教学生成数字仍按自身身份", "at_section": "m17-timing" }, { "from": "m17-timing", "relation": "illustrated_by", "to": "EXP-MEFG-M17-LIFECYCLE", "reason": "比较实物与现金交收，再按四列账本分开抵押资产、负债、权益和外部资金。", "at_section": "m17-timing" } ] ``` ## Related entries ## Optional reading path 理解合约与市场机制: step 16/17 按真实规则与教学账本，判断到期交付对象、保证金权益和追加资金是否足够。 现金与行权条件明确后，研究到期前报价如何随模型条件变化。 Next: [期权价格、内在价值与隐含波动率](https://ou-liu-red-sugar.github.io/zh/notebook/option-price-intrinsic-implied-volatility/)