白话期权系列之一：期权杠杆科普：期权的杠杆从哪里来？

1. Report Industry Investment Rating No information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - Options are known as the "king of derivatives" in the financial market, with their leverage effect being one of the most attractive yet risky features. Understanding the nature and changing rules of leverage is crucial for investors to use this financial tool effectively and avoid risks [7]. - The leverage of options is endogenous to their product design. It stems from the large disparity between the value of the underlying asset and the premium, allowing investors to control assets worth much more than their investment, thus magnifying both potential returns and risks [7]. - The leverage of options is not fixed but changes non - linearly with factors such as the price of the underlying asset, time, and volatility. There are two common ways to calculate leverage: nominal leverage and actual leverage [12]. - The actual leverage, which takes into account the Delta factor, can more accurately reflect the actual amplification of option returns relative to changes in the underlying asset price [15]. - The leverage of options is affected by factors such as the moneyness of the option, the time to expiration, and market - expected volatility. Investors should understand these factors to develop appropriate trading strategies [19]. 3. Summary According to the Table of Contents 3.1 Option Leverage Source - Options' leverage is different from that of margin trading and futures. It is embedded in the product design. Buyers pay a premium to obtain the right to buy or sell the underlying asset at a specified price in the future, creating a leverage effect [7]. - The "right leverage" of options is fundamentally different from the "margin leverage" of futures. The maximum loss of option buyers is limited to the premium, while the risk of futures is symmetric and potentially unlimited [8]. 3.2 Option Leverage Calculation - Nominal Leverage Multiple: Calculated as the price of the underlying asset divided by the premium. It shows the market value of the underlying asset that can be controlled per unit of premium, but it does not consider the actual relationship between option price changes and underlying asset price changes [12]. - Actual Leverage Multiple: Calculated as Delta times the nominal leverage. Delta represents the sensitivity of the option price to changes in the underlying asset price. Introducing Delta can more accurately reflect the actual amplification of option returns relative to changes in the underlying asset price [13]. 3.3 Option Leverage Changes - Moneyness of the Option: Out - of - the - money options usually have high nominal leverage but low Delta, so the low Delta offsets the high nominal leverage effect to some extent. In - the - money options have relatively low nominal leverage, but their prices move almost in sync with the underlying asset price (Delta close to 1), resulting in a relatively stable actual leverage [19]. - Time to Expiration: As the expiration date approaches, the time value of the option decays, causing the premium to decline and the nominal leverage to rise. At the same time, the option price becomes extremely sensitive to changes in the underlying asset price, making the actual leverage extremely high and unstable [21]. - Market - Expected Volatility: When market - expected volatility rises, option premiums generally increase, leading to a decrease in nominal leverage. When market - expected volatility falls, option premiums generally decrease, causing the nominal leverage to rise. Volatility also affects the Delta of options [22]. 3.4 Option Leverage Application - When investors are bullish on an underlying asset, they can choose in - the - money options with a maturity of about 3 months. These options have a Delta close to 1, can closely track the price changes of the underlying asset, and have a relatively stable leverage effect [28]. - Different market views correspond to different option selection strategies, including choosing deep - out - of - the - money options for short - term large - amplitude unilateral markets, at - the - money or slightly out - of - the - money options for medium - term trend markets, and deep - in - the - money options for long - term bullish or bearish views [31].