# P17 垂直价差：有限到期支付，不等于没有过程资金问题 重建借方/贷方同到期支付、状态相关theta和行权后股票资金压力。 Entry: zh-p17 | Node: P17 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 你正在教授P17《P17 垂直价差：有限到期支付，不等于没有过程资金问题》。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：分别计算100/105 call debit和put credit，再处理104.99到期后1000与12000钱包。 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：两边同时入账、theta按状态变化；9186资金缺口停止完成路径，后续股价80属于新股仓而非旧payoff失效。 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-p17", "selected_branch": "core", "learning_task": "分别计算100/105 call debit和put credit，再处理104.99到期后1000与12000钱包。", "required_readings": [ { "source_id": "PFH-CALL-SPREAD", "title": "Bull Call Spread", "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/bull-call-spread-debit-call-spread", "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": "同到期call价差、资金与指派差异；不采用恒负theta或long leg必自动行权说法。" }, "supports": "同到期call价差、资金与指派差异；不采用恒负theta或long leg必自动行权说法。", "editorial_correction": "策略名称不决定净theta符号；本包有95/103/110同参数一天变化反例。旧Monday通知语句不作为当前客户时点。", "fallback_source_ids": [] }, { "source_id": "PFH-PUT-SPREAD", "title": "Bull Put Spread", "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/bull-put-spread-credit-put-spread", "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": "put credit价差、匹配到期边界；不采用恒正theta或客户固定Monday通知。" }, "supports": "put credit价差、匹配到期边界；不采用恒正theta或客户固定Monday通知。", "editorial_correction": "策略名称不决定净theta符号；本包有95/103/110同参数一天变化反例。旧Monday通知语句不作为当前客户时点。", "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-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": [] }, { "source_id": "PFH-MARGIN", "title": "Strategy-based Margin: Overview of Margin Requirements for Options", "authors": [ "Cboe" ], "version": "网页2026-09-21核用", "access": { "kind": "html_full_text", "uri": "https://www.cboe.com/markets/us/options/margin/strategy-based-margin", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "主文; Short Put现金账户行; same-expiry European cash-settled spreads完整段", "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": "短put总执行价现金担保、短期长option付清、同到期欧式现金结算价差的窄适用条件。券商可更严格；不推广为calendar或具体账户融资承诺。" }, "supports": "短put总执行价现金担保、短期长option付清、同到期欧式现金结算价差的窄适用条件。券商可更严格；不推广为calendar或具体账户融资承诺。", "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 }, { "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 }, { "kind": "put", "strike": 105, "days": 30, "raw_model": 6.566437019131186, "mid": 6.57, "bid": 6.55, "ask": 6.59 } ], "strategy_results": { "bull_call_100_105": { "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": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "initial_mid_cash": 157.0, "initial_execution_cash_after_fee": 154.35 } ], "option_cash_mid": -186.0, "option_cash_execution": -191.29999999999998, "cash_after_premium_settlement_mid": 11814.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 11814.0 }, { "spot": 70, "terminal_wealth_mid": 11814.0 }, { "spot": 90, "terminal_wealth_mid": 11814.0 }, { "spot": 95, "terminal_wealth_mid": 11814.0 }, { "spot": 100, "terminal_wealth_mid": 11814.0 }, { "spot": 105, "terminal_wealth_mid": 12314.0 }, { "spot": 110, "terminal_wealth_mid": 12314.0 }, { "spot": 130, "terminal_wealth_mid": 12314.0 } ] }, "bull_put_100_105": { "shares": 0, "legs": [ { "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 }, { "kind": "put", "strike": 105, "days": 30, "quantity": -1, "mid": 6.57, "bid": 6.55, "ask": 6.59, "initial_mid_cash": 657.0, "initial_execution_cash_after_fee": 654.35 } ], "option_cash_mid": 314.0, "option_cash_execution": 308.70000000000005, "cash_after_premium_settlement_mid": 12314.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 11814.0 }, { "spot": 70, "terminal_wealth_mid": 11814.0 }, { "spot": 90, "terminal_wealth_mid": 11814.0 }, { "spot": 95, "terminal_wealth_mid": 11814.0 }, { "spot": 100, "terminal_wealth_mid": 11814.0 }, { "spot": 105, "terminal_wealth_mid": 12314.0 }, { "spot": 110, "terminal_wealth_mid": 12314.0 }, { "spot": 130, "terminal_wealth_mid": 12314.0 } ] }, "bear_put_95_100": { "shares": 0, "legs": [ { "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 }, { "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": 139.35 } ], "option_cash_mid": -201.0, "option_cash_execution": -206.29999999999998, "cash_after_premium_settlement_mid": 11799.0, "terminal_mid": [ { "spot": 0, "terminal_wealth_mid": 12299.0 }, { "spot": 70, "terminal_wealth_mid": 12299.0 }, { "spot": 90, "terminal_wealth_mid": 12299.0 }, { "spot": 95, "terminal_wealth_mid": 12299.0 }, { "spot": 100, "terminal_wealth_mid": 11799.0 }, { "spot": 105, "terminal_wealth_mid": 11799.0 }, { "spot": 110, "terminal_wealth_mid": 11799.0 }, { "spot": 130, "terminal_wealth_mid": 11799.0 } ] } }, "lifecycle_cases": { "vertical_expiration_mismatch": { "long_call_strike": 100, "short_call_strike": 105, "mid_debit_usd": 186, "small_wallet": 1000, "fixing_stock": 104.99, "long_exercise_cash_payment": 10000, "small_wallet_cash_gap": 9186, "post_expiration_stock": 80 } }, "vertical_theta_sanity": [ { "spot": 95, "debit_call_spread_today": 0.9029697651347384, "same_spot_sigma_one_day_later": 0.8850064270014197, "one_day_change_usd": -1.796333813331863 }, { "spot": 103, "debit_call_spread_today": 2.5289638811985355, "same_spot_sigma_one_day_later": 2.5323127092350433, "one_day_change_usd": 0.33488280365077117 }, { "spot": 110, "debit_call_spread_today": 3.895123146977909, "same_spot_sigma_one_day_later": 3.9161234744119326, "one_day_change_usd": 2.10003274340238 } ], "source_corrections": { "OIC_vertical_theta": { "status": "do_not_use_strategy_name_as_fixed_theta_sign", "reason": "OIC bull-call/bull-put wording is a heuristic; same-vol one-day debit-call-spread sensitivity changes sign across spot in the frozen grid", "author_subset": [ { "spot": 95, "debit_call_spread_today": 0.9029697651347384, "same_spot_sigma_one_day_later": 0.8850064270014197, "one_day_change_usd": -1.796333813331863 }, { "spot": 103, "debit_call_spread_today": 2.5289638811985355, "same_spot_sigma_one_day_later": 2.5323127092350433, "one_day_change_usd": 0.33488280365077117 }, { "spot": 110, "debit_call_spread_today": 3.895123146977909, "same_spot_sigma_one_day_later": 3.9161234744119326, "one_day_change_usd": 2.10003274340238 } ] }, "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" }, "CBOE_margin_cash_spread": { "status": "apply_narrowly", "use": "same-expiry European cash-settled spread cash-account treatment only; do not port to American physical mismatched legs or calendars" } } }, "default_results": { "terminal": [ { "id": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 0, "payoffs": [ 0, 0 ], "stock_mark": 0, "option_payoff": 0, "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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 70, "payoffs": [ 0, 0 ], "stock_mark": 0, "option_payoff": 0, "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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "call", "strike": 105, "days": 30, "quantity": -1, "mid": 1.57, "bid": 1.55, "ask": 1.59, "fill": 1.57, "fee": 0, "cash": 157 } ], "settlement_note": "D0形成仓位与应收应付；D1教学营业日完成权利金/初始股票转换现金。", "spot": 90, "payoffs": [ 0, 0 ], "stock_mark": 0, "option_payoff": 0, "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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "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": 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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "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": 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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "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": [ 500, 0 ], "stock_mark": 0, "option_payoff": 500, "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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "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": [ 1000, -500 ], "stock_mark": 0, "option_payoff": 500, "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": "bull_call_100_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": -186, "opening_fee": 0, "cash_after_D1": 11814, "option_mark": 186, "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": "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": [ 3000, -2500 ], "stock_mark": 0, "option_payoff": 500, "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。" } ], "theta": [ { "spot": 95, "today": 90.29697651347436, "tomorrow": 88.50064270014215, "change": -1.796333813332211 }, { "spot": 103, "today": 252.89638811985213, "tomorrow": 253.23127092350504, "change": 0.3348828036529028 }, { "spot": 110, "today": 389.5123146977923, "tomorrow": 391.6123474411947, "change": 2.10003274340238 } ], "wallets": [ { "wallet": 1000, "debit": 186, "fixing": 104.99, "expiry_payoff": 499, "expiry_pnl": 313, "cash_before_delivery": 814, "gross_payment": 10000, "gap": 9186, "completed": false, "phase": "delivery_failed", "cash_after": null, "stock_after": null, "wealth_at_fixing": null, "wealth_after_gap": null, "note": "明确施加长100C行权、短105C不指派。交割后80是新股票风险，不重写旧价差到期支付。" }, { "wallet": 12000, "debit": 186, "fixing": 104.99, "expiry_payoff": 499, "expiry_pnl": 313, "cash_before_delivery": 11814, "gross_payment": 10000, "gap": 0, "completed": true, "phase": "delivery_completed", "cash_after": 1814, "stock_after": 100, "wealth_at_fixing": 12313, "wealth_after_gap": 9814, "note": "明确施加长100C行权、短105C不指派。交割后80是新股票风险，不重写旧价差到期支付。" } ] }, "input_units_and_bounds": { "terminal_stock": { "default": 102, "min": 0, "max": 200, "unit": "USD/share" }, "spread": [ "bull_call_100_105", "bull_put_100_105", "bear_put_95_100" ], "view": [ "mid", "execution" ], "theta_stock": { "default": 103, "min": 1, "max": 200, "unit": "USD/share" }, "wallet": { "default": 1000, "min": 0, "max": 30000, "unit": "USD" } }, "algorithm": "Legwise entry/payoffs; theta is one-day BSM difference; long100 exercise independent short105 nonassignment at104.99.", "boundaries": "小钱包不足不继续；期权宽度不封住之后股票损失；保证金不从debit猜测。", "static_equivalent_markdown": "# P17 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 | 11,814.00 | 11,808.70 | -186.00 |\n| 70.00 | 11,814.00 | 11,808.70 | -186.00 |\n| 90.00 | 11,814.00 | 11,808.70 | -186.00 |\n| 95.00 | 11,814.00 | 11,808.70 | -186.00 |\n| 100.00 | 11,814.00 | 11,808.70 | -186.00 |\n| 105.00 | 12,314.00 | 12,308.70 | 314.00 |\n| 110.00 | 12,314.00 | 12,308.70 | 314.00 |\n| 130.00 | 12,314.00 | 12,308.70 | 314.00 |\n\n| 独立钱包 | 净debit | 付款前现金 | 总义务 | 缺口 | 交割后80财富 |\n|---|---|---|---|---|---|\n| 1000 | 186.00 | 814.00 | 10000 | 9,186.00 | 未给/未完成 |\n| 12000 | 186.00 | 11,814.00 | 10000 | 0.00 | 9,814.00 |\n\n| 当前spot | 30天净模型值 | 29天净模型值 | 一天变化 |\n|---|---|---|---|\n| 95 | 90.297 | 88.501 | -1.796 |\n| 103 | 252.896 | 253.231 | 0.335 |\n| 110 | 389.512 | 391.612 | 2.100 |\n\n小钱包停止在付款点。大钱包交割后变成100股，后续80是新股票风险。\n", "static_figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P17-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P17-funding.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/P17.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 如果判断只涉及一个有限上涨区间，可以买下这个区间的收益，同时让出更高处的上行。垂直价差把这种目标变成同标的、同到期、不同执行价的两张期权。本篇会同时比较先付钱与先收钱的两种表达，并在到期处停下来核对真正留下的股票和现金。 ## 1. 我们想表达的是一个价格区间 假设关注XYZ未来30天从100到105这一段上涨，并不要求105以上继续增加收益。买100 call可获得100以上的上涨，卖105 call则让出105以上部分。两腿必须匹配标的、单位、期限与适用结算方式，才得到下文的有限宽度结论。OIC与MIT的组合图都用这个逐腿相减方式解释call vertical。[^vertical] PF-GRID-01中，100C mid3.43、105C mid1.57，所以每组100单位净付186美元。从12,000现金起点出发，D1剩余11,814；另外拥有long100C与short105C。它们的净mid价值186，故未计摩擦的即时净财富仍为12,000。这里从现金起步，不暗中夹带一份原股票成本。 ## 2. 用有限宽度推导收益，不背策略名 定义每股call spread到期支付 $$ h(s)=(s-100)^+-(s-105)^+. $$ $s\le100$时两项为零；$100
两种入场现金方向，相同的匹配到期损益

同到期区间：debit与credit是两种现金时间

纵轴：价差损益（美元）

-237-9056203350
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

两种入场现金方向，相同的匹配到期损益
## 3. 借方与贷方不能决定theta的符号 到期支付有清楚边界，期间价格却仍是两腿市值的差。记两腿的一天时间变化为$\Delta C_{100}$与$\Delta C_{105}$，价差变化就是它们相减，而不是因为建仓付了钱就永远随时间贬值。 在本链的零利率、零分红BSM条件中，仅把剩余30天改为29天、保持现价与30%波动率不变，100/105 call spread每组价值变化如下： | 标的现价 | 今天净期权价值 | 一天后净期权价值 | 一天变化 | |---:|---:|---:|---:| | 95 | 90.297 | 88.501 | −1.796 | | 103 | 252.896 | 253.231 | +0.335 | | 110 | 389.512 | 391.612 | +2.100 | 这些是模型敏感性，不是实际隔天收益；隔天股价与IV未必不变。但它们已经足以反驳“debit vertical恒为负theta”的一般说法。OIC策略页的典型时间衰减文字须带状态条件；不能用收到还是付出权利金取代逐腿计算。[^bsm] ## 4. 到期104.99：186的支出可能接上10,000的付款 现在给定一个具名实物事件：D30收盘104.99，long100C行权，short105C没有被指派。这个事件是教学条件，不是预测所有券商都会如此处理。长call带来买入100股的义务：支付10,000，得到100股。短call未指派，所以没有自动将这100股卖出。 先看独立的小钱包压力例，起始仅1,000现金，不偷换共同12,000财富。mid建仓付186后只剩814，要完成长call交割仍需10,000，缺9,186。没有已核贷款或及时转入，就应在交割截止处停止“已经完成”的路径；不能记成负现金，再假装股票一路持到未来。[^odd] 再看能够支付的12,000钱包。建仓后11,814，买股后现金1,814、股票100股；按104.99标记财富12,313，恰等于原12,000加价差到期净利313。若之后股票跌到80，财富成为$1814+8000=9814$，损失2,186。那是**到期后新股票持仓**造成的结果，不是$0\le h\le5$失效。
小钱包在交割前停止，大钱包交割后成为股票持仓

到期104.99：long100行权，short105不指派

  1. 小钱包1,000

    mid付186 → 余814

    行权总付款10,000

    缺口9,186

    停止“已完成交割”

  2. 共同钱包12,000

    mid付186 → 余11,814

    付款10,000 → 余1,814

    收到100股，按104.99

    总财富12,313

  3. 若股票随后到80

    现金仍1,814

    股票价值8,000

    财富9,814

    这是新股仓的损失

小debit是期权成本，不是实物交割付款能力。

小钱包在交割前停止，大钱包交割后成为股票持仓
短腿提前指派也会改变结构：若短call先被指派而我们没有股票，可能出现空股和仍存续的长call；长腿不会因为组合名字叫spread就自动替我们处理全部资金与头寸。行权通知、借股和资金安排需要具体规则。相反，同到期欧式现金结算的匹配价差没有提前实物交割，却仍须满足对应现金要求。
结算对照：SPXW与现金账户价差条件 Cboe SPXW按欧式行权、PM结算价和每点100美元现金交割，结算现金通常在到期后的营业日交付，不会产生本例100股XYZ。Cboe的策略保证金概述对某些同到期、欧式、现金结算有限风险组合给出现金账户处理条件；不能将该条件直接套给美式实物组合，更不能套给不同到期的日历价差。本文不由此给出任何券商账户的实际保证金报价。[^spx]
## 5. 操作与完整题解
先切换call debit与put credit，说明相同到期曲线下面，D1现金为何相差500。再选95、103、110，比较一天时间敏感性。最后将独立钱包在1,000和12,000之间切换：区分“价差到期标记盈利”“交割可行”和“交割后股票盈亏”三个输出。 **解释题。** put credit先收314，是否意味着不需要自有资金？ **解析。** 不是。匹配组合将来可能支付500，且担保或结算安排可以在此前占用现金。314是与负债一起出现的收款；mid即时净财富没有增加。现金账户处理还取决于是否满足同期限、行权方式和结算条件，不能用净收款代替资金预算。 **迁移题。** 把方向改为看跌：买100P、卖95P，mid分别3.43和1.42。求匹配到期损失、盈利上限和盈亏平衡。 **解析。** 净付201，支付是$100[(100-s)^+-(95-s)^+]$，介于0与500。损失上限201，盈利上限299；在95到100之间令$100(100-s)=201$，得$s=97.99$。执行层买3.45、卖1.40，加1.30费用，净付206.30，上限盈利293.70。方向改变了有效区间，没有改变逐腿现金方法。 **生命周期题。** 小钱包例在104.99标记有313盈利，能否用“已经盈利”替代9,186资金缺口？ **解析。** 不能。499是长call相对于执行价的内在价值，行权所需却是10,000总买股款。若要通过卖期权或卖新股票实现净额，需提前取得可执行交易与时间安排。没有这些条件，只能报告标记收益和未完成交割，不能假设利润自动支付总价款。 [^vertical]: OIC，[Bull Call Spread](https://www.optionseducation.org/strategies/all-strategies/bull-call-spread-debit-call-spread) 与 [Bull Put Spread](https://www.optionseducation.org/strategies/all-strategies/bull-put-spread-credit-put-spread)，完整策略正文；MIT [Options](https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/c40ecc0cc0dce0fbf2d229bc4027c43b_MIT15_401F08_lec10.pdf) slide 12。 [^margin]: Cboe，[Strategy-based Margin](https://www.cboe.com/markets/us/options/margin/strategy-based-margin)，主文及same-expiry European cash-settled spreads单元，适用条件不能省略。 [^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：无分红、固定利率/波动率模型、复制与公式。上表为本篇独立计算，不是来源中的行情。 [^odd]: OCC，[ODD](https://www.theocc.com/getmedia/a151a9ae-d784-4a15-bdeb-23a029f50b70/riskstoc.pdf)，June 2024，Chapter VIII与Other Risks item 1印刷67–68页；一腿结束不自动关闭另一腿。 [^spx]: Cboe，[SPX Fact Sheet](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf)，©2026，第2页区分传统SPX的AM与SPXW的PM现金结算；不用传统合约时点覆盖SPXW。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P17-VERTICAL", "node_id": "P17", "title": "垂直价差与交割钱包", "anchor": "p17-lab", "description": "重建借方/贷方同到期支付、状态相关theta和行权后股票资金压力。", "shared_experiment_id": "EXP-OPTIONS-01", "inputs": { "terminal_stock": { "default": 102, "min": 0, "max": 200, "unit": "USD/share" }, "spread": [ "bull_call_100_105", "bull_put_100_105", "bear_put_95_100" ], "view": [ "mid", "execution" ], "theta_stock": { "default": 103, "min": 1, "max": 200, "unit": "USD/share" }, "wallet": { "default": 1000, "min": 0, "max": 30000, "unit": "USD" } }, "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": "Legwise entry/payoffs; theta is one-day BSM difference; long100 exercise independent short105 nonassignment at104.99.", "boundaries": "小钱包不足不继续；期权宽度不封住之后股票损失；保证金不从debit猜测。", "views": [ "借方/贷方/看跌价差到期损益", "应付10000与钱包可用额/残余股票" ], "static_equivalent": { "reader_path": "https://ou-liu-red-sugar.github.io/zh/notebook/vertical-spreads-cash-and-lifecycle/", "figure_paths": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P17-payoff.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/figures/P17-funding.svg" ], "defaults_location": "agent_packet.supplied_inputs.default_results", "defaults_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/results/P17.json", "defaults_pointer": "/", "static_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-fgh/static/P17.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/P17.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。 - [Bull Call Spread](https://www.optionseducation.org/strategies/all-strategies/bull-call-spread-debit-call-spread): 同到期call价差、资金与指派差异；不采用恒负theta或long leg必自动行权说法。 - [Strategy-based Margin: Overview of Margin Requirements for Options](https://www.cboe.com/markets/us/options/margin/strategy-based-margin): 短put总执行价现金担保、短期长option付清、同到期欧式现金结算价差的窄适用条件。券商可更严格；不推广为calendar或具体账户融资承诺。 - [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。 - [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。 - [Bull Put Spread](https://www.optionseducation.org/strategies/all-strategies/bull-put-spread-credit-put-spread): put credit价差、匹配到期边界；不采用恒正theta或客户固定Monday通知。 ## Content relations ```json [ { "from": "zh-p17", "relation": "part_of", "to": "portfolio-options", "reason": "主要 topic 归属" }, { "from": "zh-p17", "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-p17", "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-p17", "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": "p17-payoff", "relation": "supported_by", "to": "PFH-CALL-SPREAD", "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": "同到期call价差、资金与指派差异；不采用恒负theta或long leg必自动行权说法。" }, { "from": "p17-payoff", "relation": "supported_by", "to": "PFH-PUT-SPREAD", "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": "put credit价差、匹配到期边界；不采用恒正theta或客户固定Monday通知。" }, { "from": "p17-range", "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": "p17-theta", "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": "p17-delivery", "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": "p17-delivery", "relation": "supported_by", "to": "PFH-MARGIN", "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": "主文; Short Put现金账户行; same-expiry European cash-settled spreads完整段", "scope": "短put总执行价现金担保、短期长option付清、同到期欧式现金结算价差的窄适用条件。券商可更严格；不推广为calendar或具体账户融资承诺。" }, { "from": "p17-delivery", "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": "p17-lab", "relation": "illustrated_by", "to": "EXP-P17-VERTICAL", "reason": "重建借方/贷方同到期支付、状态相关theta和行权后股票资金压力。" } ] ``` ## Related entries