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两大运营中的外汇期权平台

27家最佳二元期权交易平台

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人民币外汇期权择善而从

2019年外汇期权市场多起伏2019年,人民币汇率市场的波动,带动着外汇期权市场的波动率上下起伏。以美元兑在岸人民币1年期ATM期权波动率为例:年初,在岸1Y USD/CNY ATM VOL 从5.0%上方开始逐渐回落至4.3%附近;之后美元兑人民币汇率持续在低位徘徊,在岸1Y USD/CNY ATM VOL继续下行至年内低点3.6%附近;进入5月份,1Y USD/CNY ATM VOL快速反弹拉升至4.5%上方;8月份后,在岸1Y USD/CNY ATM VOL拉升至5.5上方,创年内新高。2019年期权隐含波动率的走势,围绕历史波动率上下剧烈震荡。隐含波动率的变化反映了市场参与者对未来一段时间人民币汇率波动的预期。当超预期的事件发生时,市场参与者风险偏好上升,会推动波动率迅速走高;而随着时间的流逝,市场情绪逐渐平稳,波动率也会渐渐下降。总体来说,今年隐含波动率的走势与汇率走势基本保持一致。

人民币外汇期权作用显人民币外汇期权自推出以来,其产品结构不断丰富、交易主体不断壮大、交易金额不断攀升,目前已经发展成为银行间外汇市场的重要组成部分。银行间外汇市场人民币外汇期权目前均为欧式期权。类型包括普通欧式期权(Vanilla)和期权组合。其中,期权组合包括看涨期权价差组合(Call Spread)、看跌期权价差组合(Put Spread)、风险逆转期权组合(Risk Reversal)、跨式期权组合(Straddle)、异价跨式期权组合(Strangle)、蝶式期权组合(Butterfly)和自定义期权组合(Custom Strategy)等。人民币外汇期权对银行自身和银行企业客户具有重要意义。期权本身作为衍生交易产品,具有套期保值和风险管理的作用。银行可以利用人民币外汇期权对冲自身外汇风险敞口并提高汇率收益;同时,还可以利用期权的杠杆属性在波动的市场中赚取超额利润,丰富银行参与外汇市场的渠道选择,满足银行的多元化投资需求。对于企业来说,人民币外汇期权可以用来有效地进行套期保值、锁定汇率风险;同时,也可以改善结售汇价格,提高企业进出口获利。随着人民币国际化进程不断深化以及我国企业不断走向世界,人民币外汇期权在支持金融创新改革以及服务实体经济方面都将发挥越来越重要的作用。

当前市场环境下的银行期权选择外汇期权是市场参与者通过汇率风险对冲进行套期保值的有效工具。目前银行可以选择的外汇期权产品既有单一的看涨/看跌期权,也有较为复杂的各类期权组合。银行间期权交易市场中标准的报价方式为五类报价,分别是:ATM期权、25D蝶式期权、10D 蝶式期权、25D 风险逆转期权和10D 风险逆转期权。这五类期权下还有各个不同期限的报价,并由这些报价共同组成了银行间期权波动率曲面。五类期权可以分为三个大类:ATM期权,风险逆转期权和蝶式期权。ATM期权是由一笔看涨期权和一笔看跌期权组成,两笔期权的买卖方向相同,执行价格一致,并且等于同期限的汇率远期价格。风险逆转期权由一笔看涨期权和一笔看跌期权组成,两笔期权的买卖方向相反,执行价格不同。其执行价格分别对应各自的delta价格。蝶式期权由四笔期权组成,买入蝶式期权组合是由卖出一组ATM期权,同时买入一组宽跨式期权构成。宽跨式期权的名义本金要高于ATM期权的名义本金,整个组合的delta和vega均为0。卖出蝶式期权与买入蝶式期权相反,由买入一组ATM期权和卖出一组宽跨式期权构成。ATM期权价格决定了波动率曲面的高低位置,蝶式期权决定了波动率曲面的凸度,风险逆转期权决定了波动率曲面的偏度。2019年,人民币汇率波动超过4500点。在这样波动的市场中,通过买入ATM期权持有波动率多头是较为理性的选择。不管市场汇率是趋升还是趋跌,该策略都能给银行参与者带来较好的结果。当汇率上行时,买入看跌期权将会行权;当汇率下行时,买入看涨期权将会行权。在此基础上,如果银行对市场的运行方向的判断较为准确,还可以选择风险收益较大的风险逆转期权。假设银行在年初买入风险逆转期权,市场上涨时,看涨虚值期权会迅速变成看涨实值期权,期权的价值会大幅提高。同时迅速上涨的汇率能够给银行带来更多的波动率头寸,可进一步提高整体的盈利情况。如果银行判断市场将在区间内波动,那么选择交易蝶式期权能够实现银行的交易理念。假设银行在年初卖出蝶式期权,那么随着汇率朝向宽跨式期权两端运动,银行可以获得较大收益。而如果汇率进一步单向波动,利润会有所减少;但由于ATM期权的存在,利润缩减的速度会相对较慢,银行依然会赚取交易的利润。总体来说,在波动的市场中,持有波动率多头头寸,充分利用期权的杠杆效应和时间价值,能够为银行带来可观的交易利润。