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---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- However, friends who have just come into contact with the Shanghai and Shenzhen 300 ETF option will inevitably be confused about the sudden appearance of strange nouns, such as virtual value, real value, flat value , time value, intrinsic value, implicit volatility , etc.
This article introduces what the flat value, virtual value and real value of the Shanghai and Shenzhen 300 ETF options are. During the period, it will be more convenient to understand.
1. Real value
For the subscription options of the Shanghai and Shenzhen 300ETF, if the exercise price of the subscription is less than the current price of the current 300ETF, then this subscription contract is real value. For put options, it is just the opposite. If the exercise price of the put option is greater than the current price of the current 300 ETF, then the put contract is real value. How to understand
? Here is an example: If the current price of the 300ETF is 3.8, the exercise price of the subscription option for a certain month is 3.7, and the subscription option of 3.7 is real value. Put options with an exercise price of 3.9 are also real value.
2. The exercise price and current price of the Shanghai and Shenzhen 300ETF option are basically the same, so this subscription or put option is called the balance value.
For example, if the current price of the Shanghai and Shenzhen 300 ETF is 3.8, the equity contract is a subscription contract and a put contract with an exercise price of 3.8. There is only one exercise price for an
equity contract, but there can be multiple exercise prices for real and imaginary values. The exercise price for the Shanghai and Shenzhen 300 ETF is at least 8, and the exercise price interval is 0.1 yuan. When the current price of 300ETF is greater than 5 yuan, the exercise price interval is 0.25 yuan.
At the same time, in the trading of the Shanghai and Shenzhen 300 ETF, the equilibrium contract is the main trading contract, the contract with the largest turnover and the best liquidity.
3.Failed value
For the imaginary contract of the Shanghai and Shenzhen 300 ETF options, it is exactly the opposite of the real value. If the subscription exercise price is greater than the current price of the current 300 ETF, then this subscription contract is inflated. For put options, the exercise price is less than the current price of the current 300 ETF, so this put contract is worth a fake value.
For example, the current price of the Shanghai and Shenzhen 300 ETF is 3.8. The exercise price of the subscription contract is greater than 3.8, which means the imaginary value subscription. The exercise price of the put contract is less than 3.8, which means the imaginary value subscription.
It is understood that it is even more lingering than a tongue twister. So how do you calculate the imaginary value, flat value and real value price of 300ETF options? If the current price of 300ETF is 3.8, why is the subscription price of 3.9 an imaginary value?
First of all, we understand what the meaning of 3.9 subscription is. If you hold a 300ETF subscription contract for the month, it means that when you exercise your rights this month, you will buy 10,000 Shanghai and Shenzhen 300ETF funds at a price of 3.9 yuan. If the Shanghai and Shenzhen 300 ETF rose to 4.0 by the exercise date, then you have the right to buy 10,000 shares at 3.9, which will bring profit of of 1,000 yuan.
also has other possibilities. First of all, when exercise date, , the price of 300 ETF does not rise or fall, it is still 3.8. Although you have the right to buy 10,000 copies at 3.9, the execution right will lose 1,000 yuan. No one will execute this right, and we will give up the exercise. At this time, this contract is a piece of waste paper and has no value.
time value
In this way, we have advanced the exercise date to today. The current price of 300ETF is 3.8. The subscription you hold will immediately become waste paper, because a 3.9-based subscription will lose 1,000 yuan, so you will not exercise the rights. Since virtual contracts are waste paper, why are virtual contracts still valuable?
At this time, it is easy to understand the concept of inserting time value . There are infinite possibilities at this time from now to the exercise date. If the Shanghai and Shenzhen 300 ETF rises sharply and the exercise date rises to 4.0, then imaginary option will have the meaning of exercise. This possibility is the time value of the option: the value that the option has due to its failure to expire is the time value.
If the exercise date is short and the Shanghai and Shenzhen 300 ETF has a sharp rise or fall again, then the deep imaginary contract becomes real value, the imaginary contract will not only have time value, but also increase in intrinsic value. At this time, the virtual contract will experience a increase of ten times or dozens of times. This is called the doomsday market. The 192-fold single-day event in history happened in this situation. It was February 25, 2019. Can you check the market yourself?
intrinsic value
real value option is different. If the current price of the Shanghai and Shenzhen 300 ETF is 3.8, the 3.6 subscription contract for the month is the real value. The difference between the exercise price and the current price is the profit brought by the exercise. This real value is the intrinsic value of . We can simply calculate the intrinsic value of the subscription for the 3.6 month that month is 0.2 times 10,000 copies, 2,000 yuan.
However, when we checked the T-type quotation of the Shanghai and Shenzhen 300 ETF, we found that the subscription value of 3.6 in that month was 0.2200, why is it higher than 0.2? What is the extra 0.02?
This is the time value of the subscription of 3.6 in the month. Right, the real-value contract also has time value. As long as the exercise date is not reached, there is a possibility of significant rise and fall of the Shanghai and Shenzhen 300 ETF, that is, all contracts have time value.
When the exercise date is approaching, the value of the real-value contract will approach the intrinsic value, and the value of the imaginary contract will return to zero. Of course, there may still be a little price difference in the market at the last moment, because the market is not perfect, and there are factors such as transaction cost and slippage. This price difference becomes an opportunity for arbitrageurs. Arbitrageurs can enter the market at the end of and participate in the exercise of their rights and cash out the price difference.
so that we will make it clear. In summary, it is: real-value option value = intrinsic value + time value, imaginary option value = time value.
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