蝶式套利｜捕捉期權市場波動的投資之翼
上一篇我們談到期權的價值—內在價值和時間價值。知道了基本的區分後，我們便能對這兩種價值作出針對性策略。當談到期權交易策略時，有許多不同的方法可供選擇，每一種方法都有其適合應對的情景。這裡將介紹一種常見的策略，以幫助大家更好地掌握時間價值的變化，並做出更明智的交易決策。
蝶式套利是一種常見的期權組合策略，旨在利用特定的市場觀點和波動性預期。蝶式套利通常適用於預測市場將在特定價格範圍內波動有限的情況下。
蝶式套利由三個不同行使價的期權合約組成，形成了一個以中間行使價為中心的蝴蝶形狀。其目的是在預測股票或指數價格在特定價格範圍內波動時實現利潤。當市場價格接近或等於中間行使價時，蝶式套利的利潤最大化。如果市場價格低於或高於中間行使價，利潤將減少或完全消失。
假設某股票的市場價格為100元，投資者預測該股票價格在短期內將在90元至110元之間波動，並且不會超過這個範圍，蝶式套利的操作如下：
首先我們可以買入一張行使價為90元的看跌期權合約，這代表投資者預期股票價格將下跌。
同時賣出兩張行使價為100元的看跌期權合約，這代表投資者預期股票價格在100元附近波動。
再買入一張行使價為110元的看跌期權合約，這代表投資者預期股票價格將上升。
這樣就形成了一個以100元為中心的蝶式套利策略，如果在到期時，該股票價格仍在90元至110元的範圍內，投資者可以獲得最大利潤。在這種情況下，投資者可以通過賣出行使價為100元的看跌期權合約獲得收益，並且持有的行使價為90元和110元的看跌期權合約價值為零。
然而，如果該股票價格超過110元或低於90元，投資者的利潤將減少或消失。
蝶式套利的主要優點之一是它可以在市場價格相對穩定的情況下實現利潤。這種策略的風險有限，因為投資者同時賣出了兩個期權合約，從而對價格波動性的影響有所減緩。蝶式套利的潛在風險是市場價格波動超出預期範圍，導致利潤減少或損失。
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