# P18 跨式与宽跨式：买的是一段时间里的变化，不是一张到期V形图 把到期幅度、期间两侧IV与时间分开，计入真实身份的合成退出报价和费用。 Entry: zh-p18 | Node: P18 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教授P18《P18 跨式与宽跨式：买的是一段时间里的变化，不是一张到期V形图》。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：从同一691.30入场支出计算第10天S103、IV20%的两腿退出；再比较S100、IV50%。 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：先列两腿bid和两笔退出费，不用到期V图回答期间P&L；短结构买回不足时显示缺口，不能宣布可实施。 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-p18", "selected_branch": "core", "learning_task": "从同一691.30入场支出计算第10天S103、IV20%的两腿退出；再比较S100、IV50%。", "required_readings": [ { "source_id": "PFH-STRADDLE", "title": "Long Straddle", "authors": [ "Options Industry Council" ], "version": "未署年月网页；2026-09-21核用", "access": { "kind": "html_full_text", "uri": "https://www.optionseducation.org/strategies/all-strategies/long-straddle", "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": "同K两腿总权利金、到期幅度与期间IV；下侧盈利受非负股价限制。" }, "supports": "同K两腿总权利金、到期幅度与期间IV；下侧盈利受非负股价限制。", "fallback_source_ids": [] }, { "source_id": "PFH-STRANGLE", "title": "Long Strangle", "authors": [ "Options Industry Council" ], "version": "未署年月网页；2026-09-21核用", "access": { "kind": "html_full_text", "uri": "https://www.optionseducation.org/strategies/all-strategies/long-strangle-long-combination", "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": "不同执行价两边long与更远门槛；不直接提供当前策略优势。" }, "supports": "不同执行价两边long与更远门槛；不直接提供当前策略优势。", "fallback_source_ids": [] }, { "source_id": "PFH-MIT-BSM", "title": "15.450 Stochastic Calculus and Option Pricing", "authors": [ "Leonid Kogan / MIT OCW" ], "version": "Fall 2010", "access": { "kind": "pdf_full_text", "uri": "https://ocw.mit.edu/courses/15-450-analytics-of-finance-fall-2010/0d1260b891a96241316d883d4f5bfaec_MIT15_450F10_lec02.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Slides 16–21完整BSM建模与公式单元", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。" }, "supports": "无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。", "fallback_source_ids": [] }, { "source_id": "MA-OCC", "title": "Characteristics and Risks of Standardized Options", "authors": [ "The Options Clearing Corporation" ], "version": "June 2024", "access": { "kind": "pdf_full_text", "uri": "https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "Chapter VIII printed pp55–57 / PDF pp57–59; Chapter IX printed pp58–59 / PDF pp60–61; Chapter X holder/writer units printed pp61–67; Other Risks item 1 printed pp67–68 / PDF pp69–70", "scope": "完整读取上述具名单元及必要表图、脚注，不以搜索节选或摘要替代。", "purpose": "契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。" }, "supports": "契约、买卖双方权利义务、权利金/担保品、行权/指派/结算与多腿独立性。不给本链报价、客户截止时点或自动处理保证。", "fallback_source_ids": [] } ], "optional_readings": [ { "source_id": "PFH-CHIFED2025", "title": "The Decline of the Variance Risk Premium: Evidence from Traded and Synthetic Options", "authors": [ "Ian Dew-Becker", "Stefano Giglio" ], "version": "Chicago Fed WP2025-17，2025-09-04", "access": { "kind": "pdf_full_text", "uri": "https://www.chicagofed.org/-/media/publications/working-papers/2025/wp2025-17.pdf?sc_lang=en", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§3.1完整数据单元; §4.1与§4.1.1 printed pp28–31 / PDF pp29–32", "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": "数据/持有规则、标的价格收益分母、风险调整alpha与方差溢价区别；不能转成今天卖期权获利保证，也未复现TRACE/OptionMetrics/CRSP原数据。" }, "supports": "数据/持有规则、标的价格收益分母、风险调整alpha与方差溢价区别；不能转成今天卖期权获利保证，也未复现TRACE/OptionMetrics/CRSP原数据。", "branch": "risk-premium", "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 }, { "kind": "call", "strike": 100, "days": 30, "raw_model": 3.4301386438779957, "mid": 3.43, "bid": 3.41, "ask": 3.45 }, { "kind": "put", "strike": 100, "days": 30, "raw_model": 3.4301386438779957, "mid": 3.43, "bid": 3.41, "ask": 3.45 }, { "kind": "call", "strike": 105, "days": 30, "raw_model": 1.5664370191311896, "mid": 1.57, "bid": 1.55, "ask": 1.59 } ], "strategy_results": { "long_straddle_100": { "shares": 0, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "initial_mid_cash": -343.0, "initial_execution_cash_after_fee": -345.65 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "initial_mid_cash": -343.0, "initial_execution_cash_after_fee": -345.65 } ], "option_cash_mid": -686.0, "option_cash_execution": -691.3, "cash_after_premium_settlement_mid": 11314.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 21314.0 }, { "spot": 70, "terminal_wealth_mid": 14314.0 }, { "spot": 90, "terminal_wealth_mid": 12314.0 }, { "spot": 95, "terminal_wealth_mid": 11814.0 }, { "spot": 100, "terminal_wealth_mid": 11314.0 }, { "spot": 105, "terminal_wealth_mid": 11814.0 }, { "spot": 110, "terminal_wealth_mid": 12314.0 }, { "spot": 130, "terminal_wealth_mid": 14314.0 } ] }, "long_strangle_95_105": { "shares": 0, "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": -159.65 } ], "option_cash_mid": -299.0, "option_cash_execution": -304.3, "cash_after_premium_settlement_mid": 11701.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 21201.0 }, { "spot": 70, "terminal_wealth_mid": 14201.0 }, { "spot": 90, "terminal_wealth_mid": 12201.0 }, { "spot": 95, "terminal_wealth_mid": 11701.0 }, { "spot": 100, "terminal_wealth_mid": 11701.0 }, { "spot": 105, "terminal_wealth_mid": 11701.0 }, { "spot": 110, "terminal_wealth_mid": 12201.0 }, { "spot": 130, "terminal_wealth_mid": 14201.0 } ] } }, "event_marks": [ { "id": "no_move_iv_down", "elapsed_days": 10, "spot": 100, "volatility": 0.2 }, { "id": "up_3_percent_iv_down", "elapsed_days": 10, "spot": 103, "volatility": 0.2 }, { "id": "up_3_percent_same_iv", "elapsed_days": 10, "spot": 103, "volatility": 0.3 }, { "id": "no_move_iv_up", "elapsed_days": 10, "spot": 100, "volatility": 0.5 } ], "event_results": [ { "id": "no_move_iv_down", "elapsed_days": 10, "spot": 100, "volatility": 0.2, "entry_execution_cost": 691.3, "exit_execution_cash": 368.7, "execution_pnl": -322.59999999999997 }, { "id": "up_3_percent_iv_down", "elapsed_days": 10, "spot": 103, "volatility": 0.2, "entry_execution_cost": 691.3, "exit_execution_cash": 446.70000000000005, "execution_pnl": -244.5999999999999 }, { "id": "up_3_percent_same_iv", "elapsed_days": 10, "spot": 103, "volatility": 0.3, "entry_execution_cost": 691.3, "exit_execution_cash": 612.7, "execution_pnl": -78.59999999999991 }, { "id": "no_move_iv_up", "elapsed_days": 10, "spot": 100, "volatility": 0.5, "entry_execution_cost": 691.3, "exit_execution_cash": 928.7000000000002, "execution_pnl": 237.4000000000002 } ], "source_corrections": {} }, "default_results": { "terminal_straddle": [ { "id": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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, 10000 ], "stock_mark": 0, "option_payoff": 10000, "wealth": 21314, "pnl": 9314, "return_on_initial": 0.7761666666666667, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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, 3000 ], "stock_mark": 0, "option_payoff": 3000, "wealth": 14314, "pnl": 2314, "return_on_initial": 0.1928333333333334, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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, 1000 ], "stock_mark": 0, "option_payoff": 1000, "wealth": 12314, "pnl": 314, "return_on_initial": 0.02616666666666667, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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, 500 ], "stock_mark": 0, "option_payoff": 500, "wealth": 11814, "pnl": -186, "return_on_initial": -0.015499999999999958, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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": 0, "option_payoff": 0, "wealth": 11314, "pnl": -686, "return_on_initial": -0.0571666666666667, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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": [ 500, 0 ], "stock_mark": 0, "option_payoff": 500, "wealth": 11814, "pnl": -186, "return_on_initial": -0.015499999999999958, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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": [ 1000, 0 ], "stock_mark": 0, "option_payoff": 1000, "wealth": 12314, "pnl": 314, "return_on_initial": 0.02616666666666667, "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": "long_straddle_100", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -686, "opening_fee": 0, "cash_after_D1": 11314, "option_mark": 686, "wealth_at_mid_after_entry": 12000, "legs": [ { "kind": "call", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 }, { "kind": "put", "strike": 100, "days": 30, "quantity": 1, "mid": 3.43, "bid": 3.41, "ask": 3.45, "fill": 3.43, "fee": 0, "cash": -343 } ], "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": [ 3000, 0 ], "stock_mark": 0, "option_payoff": 3000, "wealth": 14314, "pnl": 2314, "return_on_initial": 0.1928333333333334, "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。" } ], "terminal_strangle": [ { "id": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 21201, "pnl": 9201, "return_on_initial": 0.76675, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 2500, "wealth": 14201, "pnl": 2201, "return_on_initial": 0.18341666666666656, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 500, "wealth": 12201, "pnl": 201, "return_on_initial": 0.016750000000000043, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 0, "wealth": 11701, "pnl": -299, "return_on_initial": -0.024916666666666698, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 0, "wealth": 11701, "pnl": -299, "return_on_initial": -0.024916666666666698, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 0, "wealth": 11701, "pnl": -299, "return_on_initial": -0.024916666666666698, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 500, "wealth": 12201, "pnl": 201, "return_on_initial": 0.016750000000000043, "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": "long_strangle_95_105", "view": "mid", "origin": "cash", "initial_wealth": 12000, "initial_shares": 0, "initial_cash": 12000, "stock_delta": 0, "stock_trade_cash": 0, "stock_spread": 0, "shares": 0, "option_cash": -299, "opening_fee": 0, "cash_after_D1": 11701, "option_mark": 299, "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": 0, "option_payoff": 2500, "wealth": 14201, "pnl": 2201, "return_on_initial": 0.18341666666666656, "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。" } ], "events": [ { "s": 100, "elapsed": 10, "shape": "straddle", "side": "long", "callIV": 0.2, "putIV": 0.2, "legs": [ { "kind": "call", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 1.8675359337448185, "synthetic_mid": 1.87, "bid": 1.85, "ask": 1.89, "exit_price": 1.85, "exit_fee": 0.65, "exit_cash": 184.35 }, { "kind": "put", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 1.8675359337448185, "synthetic_mid": 1.87, "bid": 1.85, "ask": 1.89, "exit_price": 1.85, "exit_fee": 0.65, "exit_cash": 184.35 } ], "cash_after_D1": 11308.7, "entry_net_cash": -691.2999999999993, "model_option_mark": 373.5071867489637, "marked_wealth": 11682.207186748965, "close_cash": 368.7, "closed_wealth": 11677.400000000001, "closed_pnl": -322.59999999999854, "close_available": true, "funding_gap": 0, "collateral_assessment": "长仓付清premium；行权资金另核。" }, { "s": 103, "elapsed": 10, "shape": "straddle", "side": "long", "callIV": 0.2, "putIV": 0.2, "legs": [ { "kind": "call", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 3.7611981760800575, "synthetic_mid": 3.76, "bid": 3.74, "ask": 3.78, "exit_price": 3.74, "exit_fee": 0.65, "exit_cash": 373.35 }, { "kind": "put", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 0.7611981760800575, "synthetic_mid": 0.76, "bid": 0.74, "ask": 0.78, "exit_price": 0.74, "exit_fee": 0.65, "exit_cash": 73.35 } ], "cash_after_D1": 11308.7, "entry_net_cash": -691.2999999999993, "model_option_mark": 452.2396352160115, "marked_wealth": 11760.939635216013, "close_cash": 446.70000000000005, "closed_wealth": 11755.400000000001, "closed_pnl": -244.59999999999854, "close_available": true, "funding_gap": 0, "collateral_assessment": "长仓付清premium；行权资金另核。" }, { "s": 103, "elapsed": 10, "shape": "straddle", "side": "long", "callIV": 0.3, "putIV": 0.3, "legs": [ { "kind": "call", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 4.591070176216704, "synthetic_mid": 4.59, "bid": 4.57, "ask": 4.61, "exit_price": 4.57, "exit_fee": 0.65, "exit_cash": 456.35 }, { "kind": "put", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 1.5910701762167037, "synthetic_mid": 1.59, "bid": 1.57, "ask": 1.61, "exit_price": 1.57, "exit_fee": 0.65, "exit_cash": 156.35 } ], "cash_after_D1": 11308.7, "entry_net_cash": -691.2999999999993, "model_option_mark": 618.2140352433407, "marked_wealth": 11926.914035243342, "close_cash": 612.7, "closed_wealth": 11921.400000000001, "closed_pnl": -78.59999999999854, "close_available": true, "funding_gap": 0, "collateral_assessment": "长仓付清premium；行权资金另核。" }, { "s": 100, "elapsed": 10, "shape": "straddle", "side": "long", "callIV": 0.5, "putIV": 0.5, "legs": [ { "kind": "call", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 4.6666024785380245, "synthetic_mid": 4.67, "bid": 4.65, "ask": 4.69, "exit_price": 4.65, "exit_fee": 0.65, "exit_cash": 464.3500000000001 }, { "kind": "put", "strike": 100, "entry_price": 3.45, "entry_fee": 0.65, "entry_cash": -345.65, "model_mark": 4.6666024785380245, "synthetic_mid": 4.67, "bid": 4.65, "ask": 4.69, "exit_price": 4.65, "exit_fee": 0.65, "exit_cash": 464.3500000000001 } ], "cash_after_D1": 11308.7, "entry_net_cash": -691.2999999999993, "model_option_mark": 933.3204957076049, "marked_wealth": 12242.020495707606, "close_cash": 928.7000000000002, "closed_wealth": 12237.400000000001, "closed_pnl": 237.40000000000146, "close_available": true, "funding_gap": 0, "collateral_assessment": "长仓付清premium；行权资金另核。" } ] }, "input_units_and_bounds": { "spot": { "default": 103, "min": 0, "max": 200, "unit": "USD/share" }, "elapsed": { "default": 10, "min": 0, "max": 29, "unit": "ACT days" }, "call_iv": { "default": 0.2, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "put_iv": { "default": 0.2, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "shape": [ "straddle", "strangle" ], "side": [ "long", "short" ] }, "algorithm": "BSM each remaining leg, round synthetic mid to cents, exit longs bid/shorts ask, .65 per leg each transaction.", "boundaries": "零bid不虚构成交；IV独立变化只作敏感性；短结构担保未核，不判可实施；买回现金不足停止完成结果。", "static_equivalent_markdown": "# P18 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| D10 spot | 两侧IV | 入场执行成本 | 退出净现金 | 损益 |\n|---|---|---|---|---|\n| 100 | 20% | 691.30 | 368.70 | -322.60 |\n| 103 | 20% | 691.30 | 446.70 | -244.60 |\n| 103 | 30% | 691.30 | 612.70 | -78.60 |\n| 100 | 50% | 691.30 | 928.70 | 237.40 |\n\n跨式mid成本686、执行691.30；宽跨式mid299、执行304.30。到期mid平衡点为93.14/106.86与92.01/107.99。期间退出另算两腿bid与两笔费；短结构还缺实际担保品规则。\n", "static_figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P18-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P18-interim.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/P18.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 有时，我们对一个事件可能推动价格重新定位有判断，却无法确定方向。买一张call再买一张put，似乎可以让两边都不落空。但市场也知道未来存在不确定性，两种选择权都要付钱。真正的问题不是“会不会动”，而是变化的幅度、发生时间及期权重新报价，能否补偿已经支付的成本。 ## 1. 两边都买，为什么不是两边都赢 本篇继续使用PF-GRID-01：XYZ现价100，30天到期，标准未调整合约每张100单位。跨式买同执行价100的call与put；宽跨式则买95 put与105 call。两者都只有买方权利，没有卖方指派义务，但若到期行权而保留新股票或空股，风险会改变，不能把买方期权的损失上限延伸到新持仓。[^odd] 为什么同时买两边？价格大涨时call提供支付，价格大跌时put提供支付；不是猜中方向后才补买另一腿。代价是两份权利金在开始时就付出。OIC与MIT用逐腿相加解释这类组合：方向未定的判断，可以变成到期支付随偏离程度增大的结构，但结构本身不证明期权便宜。[^oic] 从12,000现金起点出发，100C与100P的模型mid均为3.43。无摩擦对照付686，D1现金11,314，并拥有两张期权。合成执行层两腿均按ask3.45买入，各付0.65费用，共付691.30，现金11,308.70。期权按mid标记为686，所以执行后即时净财富11,994.70；这5.30是点差与费用，不是标的下跌。 宽跨式的95P mid1.42、105C mid1.57，mid共付299；按ask1.44与1.59、加两费，执行支出304.30。它较便宜，是因为把95至105之间的变化留给自己承担，而不是因为找到了同样保护的折扣。 ## 2. 到期幅度：先给每一腿支付，再扣总成本 设到期价为$s\ge0$，跨式的每股支付为 $$ (s-100)^++(100-s)^+=|s-100|. $$ 因此mid净损益是$100|s-100|-686$。令它为零，得$s=93.14$或$106.86$。执行层只计建仓摩擦、仍按匹配到期支付标记时，门槛变为93.087与106.913；若选择卖期权平仓，还需实际买卖价及退出费，不能套用这两个到期门槛。 宽跨式的mid损益为 $$ 100[(95-s)^++(s-105)^+]-299. $$ 95至105之间两腿均无到期支付，损失299。下方盈亏平衡为$95-2.99=92.01$，上方为$105+2.99=107.99$。与跨式相比，付出的成本较少，开始赚钱却需要更远的价格移动。 | 到期价 | 跨式mid损益 | 宽跨式mid损益 | 跨式执行层损益 | 宽跨式执行层损益 | |---:|---:|---:|---:|---:| | 70 | +2,314 | +2,201 | +2,308.70 | +2,195.70 | | 95 | −186 | −299 | −191.30 | −304.30 | | 100 | −686 | −299 | −691.30 | −304.30 | | 105 | −186 | −299 | −191.30 | −304.30 | | 110 | +314 | +201 | +308.70 | +195.70 | | 130 | +2,314 | +2,201 | +2,308.70 | +2,195.70 | 上表损益都以同一12,000现金起点计算，终财富就是12,000加对应损益。没有把全部账户都花在期权上，也没有将收益除以686后与持股的账户收益率直接比较。上涨方向的call支付没有有限上界；下跌方向则受$s\ge0$限制，所以“两个方向的盈利都无限”并不成立。
跨式和宽跨式的到期支付与成本门槛

到期幅度：跨式较贵，宽跨式需要移动更远

纵轴：损益（美元）

-1,3861,4644,3147,16410,014
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

跨式和宽跨式的到期支付与成本门槛
## 3. 第10天还不是到期日 到期图只依赖$s$，因为那时没有剩余期限。第10天则还剩20天；即使股价正好100，两张期权也可能有价值。我们需要重新观察它们的报价，而不是把$|100-100|=0$当作市值。 为把这种依赖算清楚，本实验用无分红、零利率、固定波动率的BSM公式生成条件mark。令剩余时间$\tau$以ACT/365计、$N$为标准正态分布函数，则 $$ d_1=\frac{\log(S/K)}{\sigma\sqrt{\tau}} +\frac{\sigma\sqrt{\tau}}2, \qquad d_2=d_1-\sigma\sqrt{\tau}, $$ $$ C=S N(d_1)-K N(d_2),\qquad P=C-S+K. $$ 这里的$\sigma$是模型的条件输入；若从真实期权价格倒求它才称隐含波动率。公式解释给定条件如何对应价格，不证明实际波动恒定，也不替市场决定报价。风险中性定价概率与我们对事件结果的现实概率不同，不能拿$N(d_2)$或delta直接当策略胜率。[^bsm] 本链的初始ask已固定。第10天分别代入不同的$S$与$\sigma$，得到新mark；再将每腿mark四舍五入到美分，按减0.02形成合成退出bid，各扣0.65退出费。以下列出了两腿而非只有组合总价： | 第10天条件 | call mark / put mark（每股） | 退出call bid / put bid | 两腿退出现金（扣两费） | 相对691.30入场支出 | |---|---:|---:|---:|---:| | $S=100,\sigma=20\%$ | 1.86754 / 1.86754 | 1.85 / 1.85 | 368.70 | −322.60 | | $S=103,\sigma=20\%$ | 3.76120 / 0.76120 | 3.74 / 0.74 | 446.70 | −244.60 | | $S=103,\sigma=30\%$ | 4.59107 / 1.59107 | 4.57 / 1.57 | 612.70 | −78.60 | | $S=100,\sigma=50\%$ | 4.66660 / 4.66660 | 4.65 / 4.65 | 928.70 | +237.40 | 第二行中，call涨到了3.76左右，但put跌至0.76左右；只看赚钱的call会丢掉另一笔支出。股价已经涨3%，组合仍亏244.60。第四行则没有现价变动，却因条件波动率上升而在合成退出报价下盈利。它们说明**幅度、时间与重新定价可以相互抵消**，不是“有事件就买两边”的证据。
同一入场成本下，第10天四种条件的两腿价值和净退出结果

同一691.30执行入场成本，第10天退出结果

单位：美元。条长比较绝对值。

退出现金已扣每腿0.65；这些是模型派生合成报价，不是行情。

同一入场成本下，第10天四种条件的两腿价值和净退出结果
实验允许call与put使用不同的条件IV，便于看两侧报价的作用；这是敏感性切片，不保证任意独立输入共同组成无套利市场。默认四个情景使用同一侧别无差异的波动率。若合成bid降至零，页面不会假装存在一个可立即卖出的零价买盘，而会保留mark并报告未给可执行退出价。 ## 4. 卖出两边：不是把长仓风险简单反号 若把两腿反向卖出，匹配到期支付的符号确实反转，但资金条件没有因此反转。卖100C与100P按bid3.41收682，扣建仓两费后净收680.70；账户现金12,680.70，同时负有两张期权的义务。涨到很高时短call损失无界；跌到零时短put也可能要求10,000接股款。 期间IV上升会提高买回成本，并可能提高券商要求的担保品。本实验没有任何具体券商的保证金时间表，因此短跨式只是高级对照：可以计算两腿条件负债与买回现金，但不能凭现金显示为正就判定可实施。若买回成本超过已列现金，必须显示资金缺口，不生成“已平仓的负现金账户”。关于多腿和卖方额外保证金风险，应回到ODD而不是从长仓最大损失类推。[^odd]
选读：历史期权收益，为什么还要区分溢价与alpha Dew-Becker与Giglio的2025年Chicago Fed工作论文比较长期合成期权和实际交易期权。采用的实际数据包括1987–1995年CME与1996–2022年SPX资料，收益口径按标的价格而非期权权利金归一，且讨论了滚动风险调整后的表现。其§4.1与§4.1.1显示不同阶段的alpha表现有显著差别；不能将其简化成“所有方差风险溢价已经消失”。本篇借此提醒：卖期权收取的补偿、承担的系统风险和扣除风险暴露后的alpha并非同一对象。这里未复现原始数据，也不由该结果判断当前合成链有超额收益。[^research]
## 5. 操作、解释与迁移
先在到期视角比较两个结构的门槛；再进入第10天，将现价固定103，只改波动率20%与30%。把两腿退出价、两笔退出费及最终现金完整写出。最后固定现价100，将IV改50%，说明为什么到期V形图不能直接解释这个时点。 **解释题。** 股价涨3%，为什么跨式仍亏244.60？ **解析。** 初始两腿共付691.30，而第10天给定IV20%时，call与put的合成bid分别3.74与0.74。退出收到$374+74-1.30=446.70$，差额−244.60。较低IV与剩余时间缩短压低了总期权价值；call本身上涨不能弥补全部成本。这是给定情景的账，不是对现实事件的预测。 **迁移题。** 同样到期110，宽跨式更便宜，是否一定赚得更多？比较两结构的执行层收益。 **解析。** 跨式支付1,000，减691.30得308.70；宽跨式只由105C支付500，减304.30得195.70。便宜的结构同时让出了95至105的支付区域，因此不能只按入场价格排序。若以12,000为共同财富，终值分别12,308.70和12,195.70。 **资金题。** 短跨式条件市值亏损已大于12,000，但有人说“到期还没到，不必处理”。这个结论缺了什么？ **解析。** 它把到期支付与期间融资混为一谈。卖方可能先遇到担保品追加、买回资金不足或指派；这些有各自截止时间。本实验没有具体券商规则，所以只能报出条件负债、已列资金和未核约束，不能自动宣布可以继续。即使有最终反弹判断，也不能让尚未取得的融资进入现金账。 [^oic]: OIC，[Long Straddle](https://www.optionseducation.org/strategies/all-strategies/long-straddle)与[Long Strangle](https://www.optionseducation.org/strategies/all-strategies/long-strangle-long-combination)，完整策略正文；MIT [Options lecture](https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf)，slide 13。来源支持腿结构，数值为PF-GRID-01教学链。 [^bsm]: Leonid Kogan，MIT [Stochastic Calculus and Option Pricing](https://ocw.mit.edu/courses/15-450-analytics-of-finance-fall-2010/0d1260b891a96241316d883d4f5bfaec_MIT15_450F10_lec02.pdf)，Fall 2010，slides 16–21：模型市场、复制及公式。此处仅使用无分红零利率特例。 [^odd]: OCC，[Characteristics and Risks of Standardized Options](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)，June 2024，Chapter VIII、IX与Chapter X holder/writer及Other Risks item 1；到期后的股票、多腿独立性与卖方资金义务。 [^research]: Ian Dew-Becker、Stefano Giglio，[The Decline of the Variance Risk Premium](https://www.chicagofed.org/-/media/publications/working-papers/2025/wp2025-17.pdf?sc_lang=en)，WP2025-17，2025-09-04；§3.1（数据与收益分母）、§4.1/4.1.1（滚动时期与风险调整），非全文计量复现。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P18-VOLATILITY", "node_id": "P18", "title": "幅度门槛与期间重新报价", "anchor": "p18-lab", "description": "把到期幅度、期间两侧IV与时间分开，计入真实身份的合成退出报价和费用。", "shared_experiment_id": "EXP-OPTIONS-01", "inputs": { "spot": { "default": 103, "min": 0, "max": 200, "unit": "USD/share" }, "elapsed": { "default": 10, "min": 0, "max": 29, "unit": "ACT days" }, "call_iv": { "default": 0.2, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "put_iv": { "default": 0.2, "min": 0.05, "max": 1.5, "unit": "annual volatility" }, "shape": [ "straddle", "strangle" ], "side": [ "long", "short" ] }, "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": "BSM each remaining leg, round synthetic mid to cents, exit longs bid/shorts ask, .65 per leg each transaction.", "boundaries": "零bid不虚构成交；IV独立变化只作敏感性；短结构担保未核，不判可实施；买回现金不足停止完成结果。", "views": [ "到期损益与门槛", "当前两腿mark、退出bid/ask与全现金" ], "static_equivalent": { "reader_path": "https://ou-liu-red-sugar.github.io/zh/notebook/straddle-strangle-expiry-and-interim-volatility/", "figure_paths": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P18-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P18-interim.svg" ], "defaults_location": "agent_packet.supplied_inputs.default_results", "defaults_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P18.json", "defaults_pointer": "/", "static_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/static/P18.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/P18.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。 - [The Decline of the Variance Risk Premium: Evidence from Traded and Synthetic Options](https://www.chicagofed.org/-/media/publications/working-papers/2025/wp2025-17.pdf?sc_lang=en): 数据/持有规则、标的价格收益分母、风险调整alpha与方差溢价区别；不能转成今天卖期权获利保证，也未复现TRACE/OptionMetrics/CRSP原数据。 M-E/F/G 本批采用：区分traded/synthetic、标的价格分母、滞后信息、beta hedge和动态delta；alpha衰减不等于全部风险补偿消失；未复现原始数据或后续均衡模型。 本批读取范围：滞后估计、样本构造、分母、非线性与风险调整；2012m5为事后断点。 - [15.450 Stochastic Calculus and Option Pricing](https://ocw.mit.edu/courses/15-450-analytics-of-finance-fall-2010/0d1260b891a96241316d883d4f5bfaec_MIT15_450F10_lec02.pdf): 无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。 M-E/F/G 本批采用：常参数、无股息模型条件下价格/偏导与Q；本批数值只采用q=0版本，不把非零股息扩展归给该读取单元；不宣称完整连续时间定理证明。 - [Long Straddle](https://www.optionseducation.org/strategies/all-strategies/long-straddle): 同K两腿总权利金、到期幅度与期间IV；下侧盈利受非负股价限制。 - [Long Strangle](https://www.optionseducation.org/strategies/all-strategies/long-strangle-long-combination): 不同执行价两边long与更远门槛；不直接提供当前策略优势。 ## Content relations ```json [ { "from": "zh-p18", "relation": "part_of", "to": "portfolio-options", "reason": "主要 topic 归属" }, { "from": "zh-p18", "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-p18", "relation": "uses_method", "to": "zh-p03", "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": "p18-task", "relation": "supported_by", "to": "PFH-STRADDLE", "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": "同K两腿总权利金、到期幅度与期间IV；下侧盈利受非负股价限制。" }, { "from": "p18-expiry", "relation": "supported_by", "to": "PFH-STRANGLE", "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": "不同执行价两边long与更远门槛；不直接提供当前策略优势。" }, { "from": "p18-interim", "relation": "supported_by", "to": "PFH-MIT-BSM", "reason": "原件支持本段契约/方法或有日期研究；不证明合成报价为行情。", "locator": "Slides 16–21完整BSM建模与公式单元", "scope": "无分红、常利率/常波动率模型、复制、PDE与BSM公式；本例采用r=0，非一般American模型或实际概率。" }, { "from": "p18-short", "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": "p18-short", "relation": "supported_by", "to": "PFH-CHIFED2025", "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": "§3.1完整数据单元; §4.1与§4.1.1 printed pp28–31 / PDF pp29–32", "scope": "数据/持有规则、标的价格收益分母、风险调整alpha与方差溢价区别；不能转成今天卖期权获利保证，也未复现TRACE/OptionMetrics/CRSP原数据。" }, { "from": "p18-lab", "relation": "illustrated_by", "to": "EXP-P18-VOLATILITY", "reason": "把到期幅度、期间两侧IV与时间分开，计入真实身份的合成退出报价和费用。" } ] ``` ## Related entries