期权蝶式价差策略的应用

Group 1 - The article discusses the butterfly spread strategy in options trading, which consists of three options contracts with different strike prices that are evenly spaced and share the same expiration date [2][10] - There are two types of butterfly spread strategies: the long butterfly spread and the short butterfly spread, each involving specific combinations of buying and selling options [2][10] - The long butterfly spread is suitable for investors expecting a range-bound market with limited risk, while the short butterfly spread is for those anticipating a breakout but with manageable risk [4][10] Group 2 - The maximum loss and maximum profit for the long butterfly spread are predetermined, allowing for a better understanding of potential outcomes [4][10] - A case study involving a sugar factory illustrates the application of the long butterfly spread strategy, predicting that the price of sugar futures will fluctuate between 5600 and 6000 yuan/ton [5][8] - The analysis of Greek letters indicates that the strategy is favorable in low volatility environments and highlights the importance of selecting the appropriate middle strike price [9][10]