# P15 保护性看跌：买下一个有日期的下限 逐腿推导指定期限净财富下限，并用三次续保说明参照点重设的累计后果。 Entry: zh-p15 | Node: P15 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教授P15《P15 保护性看跌：买下一个有日期的下限》。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：逐腿得到11358下限，再完成100到96到92.16到88.4736的三次续保账。 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：单期floor、累计premium409.1872和三期财富10438.1728都能复算；理解执行价参照点重设，不说长期95%保证。 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-p15", "selected_branch": "core", "learning_task": "逐腿得到11358下限，再完成100到96到92.16到88.4736的三次续保账。", "required_readings": [ { "source_id": "PFH-PP", "title": "Protective Put (Married Put)", "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/protective-put-married-put", "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+long put的指定期限保护、权利金代价与退出方式；不是永久净财富保证。" }, "supports": "股票+long put的指定期限保护、权利金代价与退出方式；不是永久净财富保证。", "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-MIT-OPTIONS", "title": "15.401 Finance Theory I: Lecture 10–11, Options", "authors": [ "Andrew W. Lo / MIT OCW" ], "version": "Fall 2008", "access": { "kind": "pdf_full_text", "uri": "https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Slides 10–13完整策略组合单元", "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": "逐腿相加的保护、价差和跨式支付；不承担现行结算规则。" }, "supports": "逐腿相加的保护、价差和跨式支付；不承担现行结算规则。", "fallback_source_ids": [] }, { "source_id": "PFH-EXERCISE", "title": "Options Exercise FAQ", "authors": [ "Options Industry Council" ], "version": "网页；2026-09-21核用", "access": { "kind": "html_full_text", "uri": "https://www.optionseducation.org/referencelibrary/faq/options-exercise", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "行权与平仓问答; 自动处理、提前行权和分红问答", "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": "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。" }, "supports": "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。", "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-AQR2021", "title": "Portfolio Protection? It’s a Long (Term) Story…", "authors": [ "Nicholas McQuinn", "Ashwin Thapar", "Dan Villalon" ], "version": "Journal of Portfolio Management 47(3)，February 2021", "access": { "kind": "pdf_full_text", "uri": "https://www.aqr.com/-/media/AQR/Documents/Journal-Articles/Portfolio-Protection-Its-a-Long-Term-Story.pdf?sc_lang=en", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "printed pp5–6 / PDF pp7–8 Options-Based Hedging完整节、footnote6、Exhibit3; printed p14 / PDF p16 option data appendix", "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": "只采用保护期限/重设执行价机制与研究口径。研究是单位名义纯put而非本篇股票+put，1996-01-05至2020-03-31、季度重设、费用前；不宣称普遍劣势或数据复现。" }, "supports": "只采用保护期限/重设执行价机制与研究口径。研究是单位名义纯put而非本篇股票+put，1996-01-05至2020-03-31、季度重设、费用前；不宣称普遍劣势或数据复现。", "fallback_source_ids": [] } ], "optional_readings": [ { "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。", "branch": "cash-index", "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": "put", "strike": 95, "days": 30, "raw_model": 1.4216039100326583, "mid": 1.42, "bid": 1.4, "ask": 1.44 } ], "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 } ] }, "half_stock": { "shares": 50, "legs": [], "option_cash_mid": 0, "option_cash_execution": 0, "cash_after_premium_settlement_mid": 7000, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 7000 }, { "spot": 70, "terminal_wealth_mid": 10500 }, { "spot": 90, "terminal_wealth_mid": 11500 }, { "spot": 95, "terminal_wealth_mid": 11750 }, { "spot": 100, "terminal_wealth_mid": 12000 }, { "spot": 105, "terminal_wealth_mid": 12250 }, { "spot": 110, "terminal_wealth_mid": 12500 }, { "spot": 130, "terminal_wealth_mid": 13500 } ] }, "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 } ] } }, "rolling_protection": { "cycles": 3, "drop_each_cycle": 0.04, "put_strike_ratio": 0.95, "premium_ratio": 0.0142, "shares": 100, "initial_stock": 100, "initial_cash": 2000, "identity": "three synthetic 30-day resets; no probability/history identity" }, "rolling_protection_results": [ { "cycle": 1, "start_spot": 100, "strike": 95.0, "premium": 142.00000000000003, "end_spot": 96.0, "put_payoff": 0, "cash": 1858.0, "wealth": 11458.0 }, { "cycle": 2, "start_spot": 96.0, "strike": 91.19999999999999, "premium": 136.32, "end_spot": 92.16, "put_payoff": 0, "cash": 1721.68, "wealth": 10937.68 }, { "cycle": 3, "start_spot": 92.16, "strike": 87.55199999999999, "premium": 130.8672, "end_spot": 88.47359999999999, "put_payoff": 0, "cash": 1590.8128000000002, "wealth": 10438.172799999998 } ], "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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 ], "stock_mark": 0, "option_payoff": 9500, "wealth": 11358, "pnl": -642, "return_on_initial": -0.05349999999999999, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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 ], "stock_mark": 7000, "option_payoff": 2500, "wealth": 11358, "pnl": -642, "return_on_initial": -0.05349999999999999, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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 ], "stock_mark": 9000, "option_payoff": 500, "wealth": 11358, "pnl": -642, "return_on_initial": -0.05349999999999999, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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": 11358, "pnl": -642, "return_on_initial": -0.05349999999999999, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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": 11858, "pnl": -142, "return_on_initial": -0.011833333333333362, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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": 12358, "pnl": 358, "return_on_initial": 0.02983333333333338, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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 ], "stock_mark": 11000, "option_payoff": 0, "wealth": 12858, "pnl": 858, "return_on_initial": 0.0714999999999999, "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": "protective_put_95", "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": -142, "opening_fee": 0, "cash_after_D1": 1858, "option_mark": 142, "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 } ], "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 ], "stock_mark": 13000, "option_payoff": 0, "wealth": 14858, "pnl": 2858, "return_on_initial": 0.23816666666666664, "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。" } ], "renewal": [ { "cycle": 1, "start": 100, "strike": 95, "premium": 142.00000000000003, "cumulative_premium": 142.00000000000003, "end": 96, "put_payoff": 0, "cash": 1858, "wealth": 11458 }, { "cycle": 2, "start": 96, "strike": 91.19999999999999, "premium": 136.32, "cumulative_premium": 278.32000000000005, "end": 92.16, "put_payoff": 0, "cash": 1721.68, "wealth": 10937.68 }, { "cycle": 3, "start": 92.16, "strike": 87.55199999999999, "premium": 130.8672, "cumulative_premium": 409.1872000000001, "end": 88.47359999999999, "put_payoff": 0, "cash": 1590.8128000000002, "wealth": 10438.172799999998 } ] }, "input_units_and_bounds": { "terminal_stock": { "default": 70, "min": 0, "max": 200, "unit": "USD/share" }, "view": [ "mid", "execution" ] }, "algorithm": "100 shares + 95put; roll fixes 3 cycles -4%, resets95%strike, charges each premium once.", "boundaries": "续保为独立指定路径，非概率或回测；不把每期floor外推累计floor。", "static_equivalent_markdown": "# P15 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 | 11,358.00 | 11,355.35 | -642.00 |\n| 70.00 | 11,358.00 | 11,355.35 | -642.00 |\n| 90.00 | 11,358.00 | 11,355.35 | -642.00 |\n| 95.00 | 11,358.00 | 11,355.35 | -642.00 |\n| 100.00 | 11,858.00 | 11,855.35 | -142.00 |\n| 105.00 | 12,358.00 | 12,355.35 | 358.00 |\n| 110.00 | 12,858.00 | 12,855.35 | 858.00 |\n| 130.00 | 14,858.00 | 14,855.35 | 2,858.00 |\n\n| 续保段 | 起点 | 新strike | 段末价 | premium | 累计premium | 现金 | 财富 |\n|---|---|---|---|---|---|---|---|\n| 1 | 100.0000 | 95.0000 | 96.0000 | 142.0000 | 142.0000 | 1,858.0000 | 11,458.0000 |\n| 2 | 96.0000 | 91.2000 | 92.1600 | 136.3200 | 278.3200 | 1,721.6800 | 10,937.6800 |\n| 3 | 92.1600 | 87.5520 | 88.4736 | 130.8672 | 409.1872 | 1,590.8128 | 10,438.1728 |\n\n三张put支付都为0；执行价参照点逐次下移，不是原95一直存在。\n", "static_figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P15-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P15-renewal.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/P15.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 我们已经决定暂时保留股票，现在要为一段明确期限内的下跌付费。本篇会把“95%的保护”拆成执行价、权利金、现金和到期日四件事，并检验一个容易误解的延伸：每个月都买保护，是否就能把整个季度的损失限制在同一比例？ ## 1. put保护的是交付价格，不是市场报价 先沿用上一节可独立理解的输入：已有100股XYZ，当前每股100，现金2,000，总财富12,000。买入一张30天、执行价95的put，就得到按95卖出100股的权利。低于95时，可以利用这个权利处理股票下跌；但市场仍然可能报价70，put不会让市场价停止下跌。OIC称这种股票加put的组合为protective put。[^pp] 标准未调整ETF期权的100股单位与美式实物行权沿OCC规则。PF-GRID-01的95 put价格则是独立教学输入：mid1.42、bid1.40、ask1.44，每张每次费0.65。主链假定利率与分红为零，30天用ACT/365换算。真实市场选择权的价格由交易形成，我们仅用模型生成一组可追溯的合成报价；这不是实时保险费。[^terms] 建立时已持有的股票仍为100股，不再次支付10,000。mid支出142，D1现金成为1,858，同时得到mid价值142的put，净财富仍为12,000。执行层需按ask付144，另付0.65，现金变成1,855.35；按mid计价的即时财富为11,997.35。 ## 2. 从两条腿推导下限与代价 到期时，股票价值$100s$，put支付$100(95-s)^+$。加上剩余现金： $$ W_T=1858+100s+100(95-s)^+. $$ 对$s<95$，把括号展开得到$1858+9500$；对$s\ge95$，put支付为零。因此 $$ W_T=1858+100\max(s,95). $$ mid终点下限11,358，对原12,000的最大损失为642。里面包括股票由100跌到95的500，以及买put的142。所谓“95%的执行价”不是“整个账户最多亏5%”：财富中还有2,000现金，保险本身还要付费。执行层下限为11,355.35，对应损失644.65；默认不计最终平股、行权费用及税。 | D30股价 | 只持股财富 | 股票＋put mid财富 | 股票＋put执行层财富 | put单腿毛支付 | |---:|---:|---:|---:|---:| | 0 | 2,000 | 11,358 | 11,355.35 | 9,500 | | 70 | 9,000 | 11,358 | 11,355.35 | 2,500 | | 95 | 11,500 | 11,358 | 11,355.35 | 0 | | 100 | 12,000 | 11,858 | 11,855.35 | 0 | | 130 | 15,000 | 14,858 | 14,855.35 | 0 | 股价上涨时，put未使用并不表示当初购买必定错误。我们买的是某些状态下的选择权，而不是保证以后每条腿都盈利。反过来，put单腿支付2,500也不能说组合赚2,500：股价70时股票亏3,000，整个组合仍亏642。
股票＋put的到期下限与仍保留的上行

花142 mid权利金，取得指定日期财富下限

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

股票＋put的到期下限与仍保留的上行
下限依赖数量、对象和日期匹配。若只买一张却持有200股，另外100股没有获得这份95出售权；若拿指数put保护一家公司的股票，个股与指数之间的差异仍在，不能把这个精确下限照搬。MIT的股票加put图说明了支付相加的形状，但具体合约交付物仍须按原件确认。[^mit] ## 3. 卖put、行权卖股与继续持有是三种动作 在美式put仍有效时，持有人可以按规则选择行权；行权会改变股票数量，并产生执行价现金。卖出put平仓则使用市场bid，保留股票。两者的经济目的不同，不能仅以“put盈利了”混在一起。还有第三个选择：暂不处理，继续保有股票和put，直到未来再判断。[^exercise] 例如中途不再担心原来那项事件，卖put可以将剩余价值转成现金，而不退出股票；若不再愿意持股，则需要一起考虑股票出售、put平仓，或在适当条件下行权。不能默认行权总是优于卖出，因为行权只实现合同内在价值，可能放弃尚存的时间价值。具体比较需要当时的bid、行权条件、费用和资金时间。 到期时也要区分经济标记与完成交付。若按本例严格价内put行权，低于95时100股交出，收到9,500，在教学下一营业日D31完成现金；高于95时put失效，股票仍在。如果D30恰为95且put未行权，我们仍持100股，D30之后再下跌将不再由旧put补偿。 ## 4. 三次95%保护，可能一次都不赔 现在不猜真实行情，只取一条明确的三段教学路径：每30天股价下跌4%，并在每段开始时用当时股价的95%重新设put执行价。每次权利金占该段起始股票市值1.42%，数量始终100股；忽略点差和费用，只检查续保与参照点。 | 段 | 起始股价 | 新put执行价 | 本段权利金 | 段末股价 | put支付 | 剩余现金 | 合计财富 | |---:|---:|---:|---:|---:|---:|---:|---:| | 1 | 100 | 95 | 142.00 | 96 | 0 | 1,858.00 | 11,458.00 | | 2 | 96 | 91.20 | 136.32 | 92.16 | 0 | 1,721.68 | 10,937.68 | | 3 | 92.16 | 87.552 | 130.8672 | 88.4736 | 0 | 1,590.8128 | 10,438.1728 | 每一段只跌4%，都没有穿过当段95%执行价，三张put都没有到期支付。可原股价已经累计下跌$1-0.96^3=11.5264\%$。累计权利金为409.1872，再加股票损失1,152.64，总财富减少1,561.8272。旧的95下限并没有一直留在原100的参照点上：第二段降到91.2，第三段又降到87.552。
重复续保时，股价、执行价与现金如何一同向下移动

每次重设95%执行价，不等于原95一直有效

纵轴：美元/股

87909497101
123

横轴：续保段编号；每段30天

三张put支付均0；累计premium409.1872；现金1,590.8128；终财富10,438.1728

重复续保时，股价、执行价与现金如何一同向下移动
这不是put失约，也不是证明购买保护从来无效，而是不同期限的承诺被误读为同一长期承诺。AQR作者2021年的论文以脚注6讨论了同类期限问题；其期权研究用季度滚动、单位名义敞口，且相关结果不是本篇股票加put总账户的回报。我们只采用“期限和参照点必须明确”的机制，并在上表独立复算。[^aqr] ## 5. 操作：在一张图上看保护，在另一张图上看重设
先选择股价70，说明put单腿毛支付与组合净损失为何同时存在。再切换执行层：下限仅因建立成本而小幅变化，不把真实手续费说成股价风险。最后查看三次续保，用每行新执行价比较当行段末价，不要一直拿95与三个终点比较。
选读：欧式现金指数put的不同交付 若改用欧式现金指数put，行权和交付又不同。它可以在相应结算日收到现金，但不提供提前实物卖出这100股XYZ的权利；只有标的风险、数量与结算期匹配时，才可以讨论相应保护。具体现金指数规格见P17/P19的SPXW分支，不把所有期权都视为同一种交割。[^spx]
## 6. 解释与迁移 **解释题。** 为什么到期70时，put获得2,500支付，整份账户仍亏642？ **解析。** 原股票从10,000降到7,000，亏3,000；put到期毛支付2,500，但先前花142购买，净帮助2,358。两者合并损失642。若只用put权利金作分母，会放大单腿百分比，却不能说明原股票组合的财富损失。 **迁移题。** 三次−4%路径中，第三段结束时股价88.4736已低于最初95，为什么没有任何一次put赔付？ **解析。** 首份95 put在D30已结束，而当时股价96；后续put的执行价分别为91.2和87.552，各自到期股价又都高于执行价。不能让早已到期的95 put替后面的价格变化支付。要保持原始95下限，须另取得跨整个期限的相应合同，并支付当时真实价格。 **期限题。** 若必须D20用现金，而保护到D30，能否仅凭11,358终点下限承诺按时付款？ **解析。** 不能。需把股票与put在D20的变现方式、可成交价格和结算日放回现金账。价格下限、资产标记与现金到账是三个不同对象。这个判断不要求再猜一个未来收益率，而要求补齐实施资料。 [^pp]: OIC，[Protective Put](https://www.optionseducation.org/strategies/all-strategies/protective-put-married-put)，Description、Max Loss/Gain、Exercise/Expiration相关完整单元。 [^terms]: OCC，[ETF Options](https://www.theocc.com/clearance-and-settlement/clearing/etf-options)，未调整单位、American exercise及T+1 settlement；报价为本文合成输入。 [^mit]: Andrew Lo，MIT [Options](https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf)，Fall 2008，slides 10–11。 [^exercise]: OIC，[Options Exercise FAQ](https://www.optionseducation.org/referencelibrary/faq/options-exercise)，行权与平仓、提前行权与时间价值问答；OCC [ODD](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf) June 2024 Chapter VIII。 [^aqr]: McQuinn、Thapar、Villalon，[Portfolio Protection? It's a Long (Term) Story…](https://www.aqr.com/-/media/AQR/Documents/Journal-Articles/Portfolio-Protection-Its-a-Long-Term-Story.pdf?sc_lang=en)，February 2021，印刷5–6页、脚注6及Exhibit 3，印刷14页期权数据定义。三段路径为本站合成例，不是论文回测。 [^spx]: Cboe，[SPX Fact Sheet](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf)，©2026，第2页：SPXW欧式、PM现金结算与下一营业日交付；不采用为XYZ的精确复制。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P15-PROTECTIVE-PUT", "node_id": "P15", "title": "保护下限与三次重设", "anchor": "p15-lab", "description": "逐腿推导指定期限净财富下限，并用三次续保说明参照点重设的累计后果。", "shared_experiment_id": "EXP-OPTIONS-01", "inputs": { "terminal_stock": { "default": 70, "min": 0, "max": 200, "unit": "USD/share" }, "view": [ "mid", "execution" ] }, "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": "100 shares + 95put; roll fixes 3 cycles -4%, resets95%strike, charges each premium once.", "boundaries": "续保为独立指定路径，非概率或回测；不把每期floor外推累计floor。", "views": [ "终点保护线", "三次strike、股价与现金轨迹" ], "static_equivalent": { "reader_path": "https://ou-liu-red-sugar.github.io/zh/notebook/protective-put-floor-and-renewal/", "figure_paths": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P15-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P15-renewal.svg" ], "defaults_location": "agent_packet.supplied_inputs.default_results", "defaults_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P15.json", "defaults_pointer": "/", "static_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/static/P15.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/P15.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。 - [Portfolio Protection? It’s a Long (Term) Story…](https://www.aqr.com/-/media/AQR/Documents/Journal-Articles/Portfolio-Protection-Its-a-Long-Term-Story.pdf?sc_lang=en): 只采用保护期限/重设执行价机制与研究口径。研究是单位名义纯put而非本篇股票+put，1996-01-05至2020-03-31、季度重设、费用前；不宣称普遍劣势或数据复现。 - [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。 - [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。 - [15.401 Finance Theory I: Lecture 10–11, Options](https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf): 逐腿相加的保护、价差和跨式支付；不承担现行结算规则。 M-E/F/G 本批采用：模型内的支付和复制定价；不代替当前产品规则，讲义现金增长记号不能误写成年化净利率。 - [Protective Put (Married Put)](https://www.optionseducation.org/strategies/all-strategies/protective-put-married-put): 股票+long put的指定期限保护、权利金代价与退出方式；不是永久净财富保证。 ## Content relations ```json [ { "from": "zh-p15", "relation": "part_of", "to": "portfolio-options", "reason": "主要 topic 归属" }, { "from": "zh-p15", "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-p15", "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-p15", "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-p15", "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": "p15-position", "relation": "supported_by", "to": "PFH-PP", "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+long put的指定期限保护、权利金代价与退出方式；不是永久净财富保证。" }, { "from": "p15-position", "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": "p15-floor", "relation": "supported_by", "to": "PFH-MIT-OPTIONS", "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 10–13完整策略组合单元", "scope": "逐腿相加的保护、价差和跨式支付；不承担现行结算规则。" }, { "from": "p15-exit", "relation": "supported_by", "to": "PFH-EXERCISE", "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": "行权与平仓问答; 自动处理、提前行权和分红问答", "scope": "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。" }, { "from": "p15-exit", "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": "p15-reset", "relation": "supported_by", "to": "PFH-AQR2021", "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": "printed pp5–6 / PDF pp7–8 Options-Based Hedging完整节、footnote6、Exhibit3; printed p14 / PDF p16 option data appendix", "scope": "只采用保护期限/重设执行价机制与研究口径。研究是单位名义纯put而非本篇股票+put，1996-01-05至2020-03-31、季度重设、费用前；不宣称普遍劣势或数据复现。" }, { "from": "p15-exit", "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": "p15-lab", "relation": "illustrated_by", "to": "EXP-P15-PROTECTIVE-PUT", "reason": "逐腿推导指定期限净财富下限，并用三次续保说明参照点重设的累计后果。" } ] ``` ## Related entries