1. 期权的杠杆的来源 期权被誉为金融市场的 " 衍生品之王 " ，其最具吸引力也最具风险的特征之一便是 杠杆效应 。许多投资者被期权 " 以小额资金撬动大额收益 " 的潜力所吸引，却往往对其 杠杆原理与动态机制一知半解。深刻理解杠杆的本质与变化规律，是驾驭这一金融工具、避免被其反噬的关键。 与融资融券、期货等其他杠杆工具不同，期权的杠杆 内生于产品设计 。期权本质是一种 " 选择权 " ，买方通过支付 权利金 获得在未来约定时间以约定价格买入或卖出标 的资产的权利。该权利所对应的资产规模（如 100 股股票、一份指数合约等）的总市值，即为 标的资产价值 。期权的杠杆，正源于 标的资产价值 与 权利金 之间的悬殊比例 —— 以较小的资金代价，控制价值远高于自身的资产，从而形成收益与风险的放大效应。 这种"权利杠杆"与期货的"保证金杠杆"有本质区别。期货杠杆源于 投资者 为一份"未来必须履行"的买卖合同所缴纳的担保金，盈亏与标的资产波动直接挂钩，风险与收益对 称且可能无限。而期权（买方）杠杆则源于 投资者 为一份"未来可以选择是否履行"的权利所支付的"入场费"，其最大损失在买入时即已锁定，风险与收益是非对称的。 ...

2026 年 01 月 29 日 期权杠杆科普：期权的杠杆从哪里 来？ ——白话期权系列之一 相关研究 证券分析师 方思齐 A0230525090002 fangsq@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 方思齐 A0230525090002 fangsq@swsresearch.com 名义杠杆倍数：名义杠杆倍数 = 标的资产价格 ÷ 权利金 该指标直观反映了单位权利金所能控制的标的资产市值，但未考虑期权价格与标的资产 价格变动的实际关联性。 实际杠杆倍数：实际杠杆倍数 = Delta × 名义杠杆 此处的关键在于 Delta。Delta 可理解为期权价格相对于标的资产价格变动的敏感系数。 在名义杠杆的基础上引入 Delta，能够更真实地反映期权收益相对于标的资产价格变动的 实际放大倍数，即实际杠杆。 ⚫ 期权的杠杆变化： 期权虚实程度：虚值期权的名义杠杆通常较高，但由于其行权价与标的资产当前价格存在 较大差距，Delta 值较小，因此在计算实际杠杆（Delta × 名义杠杆）时，较低的 Delta 会部分抵消高名义杠杆的效 ...

Report Industry Investment Rating No relevant content provided. Core View of the Report The report, taking CSI 1000 index options as an example, analyzes the suitability of option spread strategies in a market scenario where the market is expected to rise in the medium to long - term and fluctuate within a range in the short - term. It introduces various option spread strategies, including vertical spread, ratio spread, horizontal spread, diagonal spread, and butterfly spread, and studies their application scenarios through historical data backtesting [3][52]. Summary by Directory 1. Option Portfolio Strategy Construction Ideas - **Non - linear Profit and Loss Structure of Options**: Options have a non - linear profit and loss structure, which provides diverse strategy choices for investors. When constructing option portfolio strategies, multi - dimensional factors such as option position PCR, implied volatility, and the direction of the underlying index should be comprehensively considered [8]. - **Option Position PCR**: As of November 28, the position PCR of CSI 1000 index options was 97.48%, at the 84.9% quantile level since 2023. The decline in position PCR since mid - November indicates a weakening of market sentiment, and the market sentiment remains unclear as the position PCR has not risen above 100% [9]. - **Implied Volatility**: As of November 28, the at - the - money implied volatility of CSI 1000 index options was 17.32%, at the 33.7% quantile level since 2023. Since the implied volatility is at a low level, there is limited room for further decline. When constructing option portfolio strategies, investors should consider holding a positive vega risk exposure [11]. - **Index Fundamental Analysis**: Policy stability of macro - demand, policy support for technological innovation, and continuous inflow of funds into the stock market form the core logic for the medium - to - long - term upward movement of the index. However, due to the risk of the AI asset investment bubble overseas and the increase in the willingness of funds to take short - term profits, the index may fluctuate within a range in the short - term [15]. 2. Introduction to Option Spread Strategies - **Vertical Spread**: It can be divided into bull spread and bear spread. Bull spread is suitable for a moderately bullish market, and bear spread is suitable for a moderately bearish market. This strategy can reduce the cost of premiums and control potential large losses [26][27]. - **Ratio Spread**: It is an asymmetric spread strategy, including bullish ratio spread and bearish ratio spread. It is suitable for investors with specific expectations for market direction or volatility, with the core logic of using option premium income and time - value decay characteristics to pursue profits while controlling risks [30]. - **Horizontal Spread**: Also known as calendar spread, it takes advantage of the asymmetry of time - value decay. It is suitable for a market environment of "price consolidation + rising volatility" and is a time - arbitrage tool in a neutral market [35]. - **Diagonal Spread**: It combines the characteristics of vertical spread and horizontal spread, aiming to profit from the difference in time - value decay and price fluctuations. It can be constructed using call or put options and is suitable for investors with a clear directional judgment on the market but who also want to control risks [37]. - **Butterfly Spread**: A three - leg combination suitable for a range - bound market. It allows investors to lock in a price range and profit when the price of the underlying asset fluctuates within a narrow range, with strictly limited risks [39]. 3. Empirical Comparison of Option Spread Strategies - For the CSI 1000 index in the range of 7000 - 7600, different spread strategies can be selected to control the risk exposure of "bottom - fishing". Through backtesting, the overall performance ranking of strategies is ratio spread > butterfly spread > bull put spread > bull call spread > horizontal spread > diagonal spread, with the diagonal spread being the only losing strategy [45][47]. - The returns of vertical spread strategies are mainly affected by delta, while those of horizontal spread strategies are mainly affected by vega and theta. During the index's rebound, vertical spread strategies perform well, while during the index's decline, horizontal spread strategies may stop losses and repair, and the butterfly spread strategy maintains a relatively stable growth [50][51]. 4. Summary The report concludes that option spread strategies are suitable for a market scenario where the market is expected to rise in the medium to long - term and fluctuate within a range in the short - term. Different strategies have different profit and loss characteristics and application scenarios. For different Delta, theta, and vega scenarios, the optimal spread strategies also vary [52].

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Group 1: Common Option Structures - The three common option structures—Snowball, Phoenix, and Fixed Coupon Notes (FCN)—are essentially barrier options, with specific characteristics regarding cash flow and risk exposure [2][3]. - The classic Snowball structure allows for cash flow only at maturity or upon knock-out, while the Phoenix structure enables monthly cash flow as long as the price is above the knock-in line [2]. - FCN provides fixed coupon payments regardless of price movements during the holding period, making it attractive for conservative investors due to a significantly lower probability of knock-in [2]. Group 2: Profit and Loss Scenarios - In scenarios without knock-in, all three structures yield similar returns, with higher coupon structures being more favorable [3]. - In cases where knock-in occurs but knock-out does not, Snowball and FCN can still yield returns, while Phoenix's cash flow is affected by the knock-in event [3]. - If knock-in occurs and the asset price is below the exercise price at maturity, losses may occur, with Snowball being the most adversely affected due to no cash flow during the holding period [3]. Group 3: Risk and Return Dynamics - The risk-return relationship indicates that Phoenix typically offers lower coupons than Snowball, while FCN generally has the lowest coupon rates [4]. Group 4: Market Timing Considerations - Proper market timing is essential, as no option structure guarantees profit in all market conditions [5]. Group 5: Delta and Volatility Analysis - All three structures maintain a positive Delta, indicating a bullish stance on the underlying asset, and are more suitable for moderate upward or sideways markets [7]. - The expected volatility is positively correlated with coupon rates, as higher volatility increases the likelihood of reaching knock-in conditions [8]. - The structures tend to be short volatility in most scenarios, making high volatility periods favorable for entry [10]. Group 6: Selection of Underlying Assets - The choice of underlying assets significantly impacts the performance of the structured products, with the China Securities 500 Index being identified as a suitable candidate due to its risk-return profile [14][16]. - The analysis of daily return distributions shows that the Hang Seng Tech Index has the lowest probability of extreme negative returns, making it a favorable option [14][15]. Group 7: Historical Backtesting and Timing Strategies - Historical backtesting indicates that FCN can effectively mitigate knock-in losses, making it a lower-risk option compared to Snowball [16]. - Rational timing strategies suggest that selecting more aggressive structures during low-risk periods and conservative structures during higher-risk periods can optimize returns [16]. Group 8: Structural Variations and Adjustments - The flexibility in setting barriers allows for various structural adjustments to balance risk and return, such as eliminating knock-in features or adjusting the knock-out thresholds [19].

Group 1 - The article discusses the differences between futures and options trading, highlighting that futures are simpler and involve betting on price movements, while options have more complex strategies [2][3][4][5][6] - Futures trading allows for two main strategies: going long (buying) if one expects prices to rise, and going short (selling) if one expects prices to fall [2][3] - Options trading includes four strategies: buying call options, selling call options, buying put options, and selling put options, each with different risk and reward profiles [3][4][5][6] Group 2 - A scenario is set up to compare the profitability of holding a futures long position versus a corresponding call option when prices rise [7] - The Delta of an option is introduced as a key metric, indicating that the price increase of an option is generally less than that of a futures contract when the underlying asset's price rises [9][10] - For example, if a call option has a Delta of 0.5611, a $100 increase in the futures price would result in a $56.11 increase in the option price, compared to a $100 increase for the futures contract itself [10][11] Group 3 - Other Greek letters such as Gamma, Theta, and Vega are discussed, explaining their impact on option pricing [12] - Gamma indicates how Delta changes as the underlying price moves, while Theta represents the time decay of options, negatively affecting their value as expiration approaches [13][14] - Vega measures the sensitivity of an option's price to changes in the volatility of the underlying asset, with higher volatility generally benefiting option prices [15] Group 4 - The article notes that in extreme cases, an increase in futures prices could lead to a decrease in option prices due to factors like declining volatility or significant time decay [16][17] - The conclusion emphasizes that there is no definitive answer to whether futures or options are more profitable, as it depends on various factors including market trends, option strike prices, and volatility [18][19][20] - New traders are advised to start with simpler futures trading before moving on to the more complex options market, which offers limited risk for buyers [20]

Core Viewpoint - Individual investors can participate in options trading, but there are specific requirements that must be met, summarized as "five have and one do not" [1] Group 1: Requirements for Individual Investors - **Have Assets**: Investors must have an average daily securities value and available cash balance of at least 500,000 RMB over the previous 20 trading days [2] - **Have Experience**: Investors need to have at least six months of trading experience with a securities company or a futures company, along with qualifications for margin trading or financial futures trading [4] - **Have Knowledge**: Investors must possess basic knowledge of options and pass relevant tests recognized by exchanges, understanding concepts such as strike price, premium, implied volatility, Delta, and Gamma [5] - **Have Simulation Trading Experience**: Investors are required to have recognized simulation trading experience in options [8] - **Have Risk Tolerance**: Investors must demonstrate the ability to bear risks associated with options trading, which is characterized by leverage and complexity [12] - **Do Not Have Bad Records**: Investors must not have serious bad credit records or any legal restrictions on engaging in options trading [12] Group 2: Exemptions and Special Conditions - **Exemption Conditions**: Certain conditions allow for exemptions from trading, funding, and testing requirements, such as being a professional investor or having a record of trading futures or options for at least 50 days in the past year [13] - **Additional Exemptions**: Investors who have previously opened accounts with other companies for the same type of trading or already possess options trading permissions may also qualify for exemptions [15] Group 3: Important Considerations - **Understanding Risks and Returns**: Investors should fully understand the risk and return characteristics of options trading, which has leverage effects and high risks [16] - **Choosing a Trading Platform**: It is essential for investors to select a reputable trading platform with transparent rules and reasonable fees [16] - **Developing a Trading Strategy**: Investors should create a trading strategy based on their risk tolerance and investment goals to avoid excessive trading and following trends blindly [16] Group 4: Definition of Options - **Definition**: Options are financial derivatives that grant the buyer the right, but not the obligation, to buy or sell an underlying asset at a predetermined price within a specified time frame, while the seller must fulfill the obligation [17]