文華日歷價(jià)差套利策略[文華財(cái)經(jīng)公式]
①日歷價(jià)差套利策略簡(jiǎn)介
日歷價(jià)差是指買進(jìn)到期日較遠(yuǎn)的期權(quán)，同時(shí)又賣出相同行權(quán)價(jià)格、相同數(shù)量但到期日較近的期權(quán)，賺取兩個(gè)不同期權(quán)隱含波動(dòng)率的差價(jià)或者其它期權(quán)定價(jià)參數(shù)的差價(jià)，以獲得利潤(rùn)的期權(quán)套利交易策略。
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②推導(dǎo)套利條件
1）、開(kāi)倉(cāng)策略：
X=V(近月隱含波動(dòng)率)-V (歷史波動(dòng)率)+V (近月隱含波動(dòng)率 )-V(遠(yuǎn)月隱含波動(dòng)率) X>0，通過(guò)賣出一份近月看漲期權(quán)，同時(shí)買出一份遠(yuǎn)月看漲期權(quán)，建立日歷價(jià)差組合。
2）、平倉(cāng)策略：
考慮到該組合并沒(méi)有對(duì)沖標(biāo)的物價(jià)格變動(dòng)的風(fēng)險(xiǎn)，在近月期權(quán)到期前幾天，組合的Gamma風(fēng)險(xiǎn)值可能比較大，標(biāo)的物價(jià)格的變化會(huì)大幅增加收益的波動(dòng)率。因此，策略采取在當(dāng)月合約到期前8天進(jìn)行平倉(cāng)。
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③將上述策略編寫為策略模型
Data
CODA0:"c2209-C-3160"; //近月合約
CODB0:"c2211-C-3160"; //遠(yuǎn)月合約
CODA1:"c2209-C-3120"; //近月合約
CODB1:"c2211-C-3120"; //遠(yuǎn)月合約
CODA2:"c2209-C-3080"; //近月合約
CODB2:"c2211-C-3080"; //遠(yuǎn)月合約
CODA3:"c2209-C-3040"; //近月合約
CODB3:"c2211-C-3040"; //遠(yuǎn)月合約
CODA4:"c2209-C-3000"; //近月合約
CODB4:"c2211-C-3000"; //遠(yuǎn)月合約
COD:"c2209"; //標(biāo)的期貨
Vars
StringArray CODA; //看漲期權(quán)
StringArray CODB; //看跌期權(quán)
String CODF; //標(biāo)的期貨
Numeric CDN; //期權(quán)合約數(shù)量
Numeric N; //下單手?jǐn)?shù)
Numeric Length; //周期
Numeric X; //循環(huán)變量
Numeric D; //日期間隔
Numeric TKN; //數(shù)據(jù)區(qū)長(zhǎng)度
Numeric TOD; //當(dāng)前日期
Numeric HVLF; //F價(jià)格波動(dòng)率
Numeric OPFLG; //模型處理標(biāo)志
Var_TickData TKD; //數(shù)據(jù)區(qū)
NumericArray LNP; //自然對(duì)數(shù)
NumericArray EPDA; //行權(quán)日期
NumericArray RTS; //距行權(quán)日剩余天數(shù)
NumericArray STRA; //近月合約隱含波動(dòng)率
NumericArray STRB; //遠(yuǎn)月合約隱含波動(dòng)率
NumericArray PRC; //隱含波動(dòng)率綜合價(jià)差
NumericArray NEWPA; //A最新價(jià)
NumericArray NEWPB; //B最新價(jià)
NumericArray RLPA,FLPA; //A漲跌停價(jià)
NumericArray RLPB,FLPB; //B漲跌停價(jià)
NumericArray BIDPA,ASKPA; //A買賣一價(jià)
NumericArray BIDPB,ASKPB; //B買賣一價(jià)
NumericArray BRPA,SRPA; //A多空頭可用持倉(cāng)
NumericArray BRPB,SRPB; //B多空頭可用持倉(cāng)
NumericArray BKDFLG; //買開(kāi)處理標(biāo)志
NumericArray SKDFLG; //賣開(kāi)處理標(biāo)志
NumericArray BPDFLG; //買平處理標(biāo)志
NumericArray SPDFLG; //賣平處理標(biāo)志
Global_NumericArray BCFLG; //多頭處理標(biāo)志
Global_NumericArray SCFLG; //空頭處理標(biāo)志
Global_NumericArray BKIDA,SKIDA; //A開(kāi)倉(cāng)委托
Global_NumericArray BKIDB,SKIDB; //B開(kāi)倉(cāng)委托
Global_NumericArray BPIDA,SPIDA; //A平倉(cāng)委托
Global_NumericArray BPIDB,SPIDB; //B平倉(cāng)委托
Global_NumericArray BKFLGA,SKFLGA; //A開(kāi)倉(cāng)標(biāo)志
Global_NumericArray BKFLGB,SKFLGB; //B開(kāi)倉(cāng)標(biāo)志
Global_NumericArray BPFLGA,SPFLGA; //A平倉(cāng)標(biāo)志
Global_NumericArray BPFLGB,SPFLGB; //B平倉(cāng)標(biāo)志
Global_NumericArray BKMA,SKMA; //A開(kāi)倉(cāng)委托手?jǐn)?shù)
Global_NumericArray BKMB,SKMB; //B開(kāi)倉(cāng)委托手?jǐn)?shù)
Global_NumericArray BPMA,SPMA; //A平倉(cāng)委托手?jǐn)?shù)
Global_NumericArray BPMB,SPMB; //B平倉(cāng)委托手?jǐn)?shù)
Global_NumericArray BKPA,SKPA; //A開(kāi)倉(cāng)委托價(jià)格
Global_NumericArray BKPB,SKPB; //B開(kāi)倉(cāng)委托價(jià)格
Global_NumericArray BPPA,SPPA; //A平倉(cāng)委托價(jià)格
Global_NumericArray BPPB,SPPB; //B平倉(cāng)委托價(jià)格
Begin
//------------------------處理開(kāi)啟------------------------//
If(1) //處理開(kāi)啟
{
CODA[0] = "c2209-C-3160"; //近月合約
CODB[0] = "c2211-C-3160"; //遠(yuǎn)月合約
CODA[1] = "c2209-C-3120"; //近月合約
CODB[1] = "c2211-C-3120"; //遠(yuǎn)月合約
CODA[2] = "c2209-C-3080"; //近月合約
CODB[2] = "c2211-C-3080"; //遠(yuǎn)月合約
CODA[3] = "c2209-C-3040"; //近月合約
CODB[3] = "c2211-C-3040"; //遠(yuǎn)月合約
CODA[4] = "c2209-C-3000"; //近月合約
CODB[4] = "c2211-C-3000"; //遠(yuǎn)月合約
CDN = GetStringArraySize(CODA); //期權(quán)合約數(shù)量
CODF = "c2209"; //標(biāo)的期貨
OPFLG = 1; //開(kāi)啟模型處理
If(CODF.A_IsExchangeOpen() != 1) //如果非開(kāi)盤狀態(tài)
{
OPFLG = 2; //關(guān)閉模型處理
}
For X = 0 To CDN - 1 //遍歷期權(quán)合約
{
If(CODA[X].A_IsExchangeOpen() != 1 || CODB[X].A_IsExchangeOpen() != 1) //如果非開(kāi)盤狀態(tài)
{
OPFLG = 2; //關(guān)閉模型處理
}
}
}
//------------------------變量賦值------------------------//
If(OPFLG == 1) //變量賦值
{
N = 10; //下單手?jǐn)?shù)
Length = 5; //周期
D = 5; //日期間隔
TOD = CurrentDate(); //當(dāng)前日期
For X = 0 To CDN - 1 //遍歷期權(quán)合約
{
NEWPA[X] = CODA[X].Price("New"); //A最新價(jià)
NEWPB[X] = CODB[X].Price("New"); //B最新價(jià)
BIDPA[X] = CODA[X].Price("Bid1"); //A買一價(jià)
ASKPA[X] = CODA[X].Price("Ask1"); //A賣一價(jià)
BIDPB[X] = CODB[X].Price("Bid1"); //B買一價(jià)
ASKPB[X] = CODB[X].Price("Ask1"); //B賣一價(jià)
RLPA[X] = CODA[X].Price("RiseLimit"); //A漲停價(jià)
FLPA[X] = CODA[X].Price("FallLimit"); //A跌停價(jià)
RLPB[X] = CODB[X].Price("RiseLimit"); //B漲停價(jià)
FLPB[X] = CODB[X].Price("FallLimit"); //B跌停價(jià)
BIDPA[X] = IIF(BIDPA[X] == 0 && NEWPA[X] == FLPA[X],FLPA[X],BIDPA[X]); //A買一價(jià)
ASKPA[X] = IIF(ASKPA[X] == 0 && NEWPA[X] == RLPA[X],RLPA[X],ASKPA[X]); //A賣一價(jià)
BIDPB[X] = IIF(BIDPB[X] == 0 && NEWPB[X] == FLPB[X],FLPB[X],BIDPB[X]); //B買一價(jià)
ASKPB[X] = IIF(ASKPB[X] == 0 && NEWPB[X] == RLPB[X],RLPB[X],ASKPB[X]); //B賣一價(jià)
STRA[X] = CODA[X].Price("Stdderiation"); //A隱含波動(dòng)率
STRB[X] = CODB[X].Price("Stdderiation"); //B隱含波動(dòng)率
EPDA[X] = CODA[X].Price("ExpirationDate"); //A行權(quán)日期
RTS[X] = DateDiff(TOD,EPDA[X] ); //距行權(quán)日剩余天數(shù)
BRPA[X] = CODA[X].F_BuyRemainPosition(); //A多頭可用持倉(cāng)
SRPA[X] = CODA[X].F_SellRemainPosition(); //A空頭可用持倉(cāng)
BRPB[X] = CODB[X].F_BuyRemainPosition(); //B多頭可用持倉(cāng)
SRPB[X] = CODB[X].F_SellRemainPosition(); //B空頭可用持倉(cāng)
BRPA[X] = Min(BRPA[X],CODA[X].A_BuyRemainPosition()); //A多頭可用持倉(cāng)
SRPA[X] = Min(SRPA[X],CODA[X].A_SellRemainPosition()); //A空頭可用持倉(cāng)
BRPB[X] = Min(BRPB[X],CODB[X].A_BuyRemainPosition()); //B多頭可用持倉(cāng)
SRPB[X] = Min(SRPB[X],CODB[X].A_SellRemainPosition()); //B空頭可用持倉(cāng)
}
}
//------------------------數(shù)據(jù)取值------------------------//
If(OPFLG == 1) //數(shù)據(jù)取值
{
TKD = Def_TickData(CODF,1,6); //數(shù)據(jù)區(qū)
If(TKD.State == 1) //如果數(shù)據(jù)區(qū)有效
{
TKN = TKD.Num; //數(shù)據(jù)區(qū)長(zhǎng)度
For X = 1 To TKN - 1 //遍歷數(shù)據(jù)區(qū)
{
LNP[X - 1] = Ln(TKD[X].TickPrice / TKD[X - 1].TickPrice); //自然對(duì)數(shù)
}
HVLF = StandardDevArray(LNP,2) * Sqrt(252) ; //F價(jià)格波動(dòng)率
For X = 0 To CDN - 1 //遍歷期權(quán)合約
{
PRC[X] = STRA[X] - HVLF + STRA[X] - STRB[X]; //隱含波動(dòng)率綜合價(jià)差
}
}
Else //如果數(shù)據(jù)區(qū)無(wú)效
{
OPFLG = 2; //關(guān)閉模型處理
}
}
//------------------------成交判斷------------------------//
If(OPFLG == 1) //成交判斷
{
For X = 0 To CDN - 1 //遍歷期權(quán)合約
{
If(SKFLGA[X] == 1) //如果有A賣開(kāi)委托
{
If(F_OrderStatus(SKIDA[X]) == Enum_Filled) //如果A賣開(kāi)委托成交
{
Commentary("【空頭開(kāi)倉(cāng)：A賣開(kāi)委托" + Text(X + 1) + "成交！】");
SKFLGA[X] = 0; //A賣開(kāi)標(biāo)志歸0
}
Else If(F_OrderStatus(SKIDA[X]) == Enum_Deleted) //如果A賣開(kāi)委托廢單
{
Commentary("【空頭開(kāi)倉(cāng)：A賣開(kāi)委托" + Text(X + 1) + "廢單！】");
SKFLGA[X] = 0; //A賣開(kāi)標(biāo)志歸0
}
}
If(BKFLGB[X] == 1) //如果有B買開(kāi)委托
{
If(F_OrderStatus(BKIDB[X]) == Enum_Filled) //如果B買開(kāi)委托成交
{
Commentary("【空頭開(kāi)倉(cāng)：B買開(kāi)委托" + Text(X + 1) + "成交！】");
BKFLGB[X] = 0; //B買開(kāi)標(biāo)志歸0
}
Else If(F_OrderStatus(BKIDB[X]) == Enum_Deleted) //如果B買開(kāi)委托廢單
{
Commentary("【空頭開(kāi)倉(cāng)：B買開(kāi)委托" + Text(X + 1) + "廢單！】");
BKFLGB[X] = 0; //B買開(kāi)標(biāo)志歸0
}
}
If(BPFLGA[X] == 1) //如果有A買平委托
{
If(F_OrderStatus(BPIDA[X]) == Enum_Filled) //如果A買平委托成交
{
Commentary("【空頭平倉(cāng)：A買平委托" + Text(X + 1) + "成交！】");
BPFLGA[X] = 0; //A買平標(biāo)志歸0
}
Else If(F_OrderStatus(BPIDA[X]) == Enum_Deleted) //如果A買平委托廢單
{
Commentary("【空頭平倉(cāng)：A買平委托" + Text(X + 1) + "廢單！】");
BPFLGA[X] = 0; //A買平標(biāo)志歸0
}
}
If(SPFLGB[X] == 1) //如果有B賣平委托
{
If(F_OrderStatus(SPIDB[X]) == Enum_Filled) //如果B賣平委托成交
{
Commentary("【空頭平倉(cāng)：B賣平委托" + Text(X + 1) + "成交！】");
SPFLGB[X] = 0; //B賣平標(biāo)志歸0
}
Else If(F_OrderStatus(SPIDB[X]) == Enum_Deleted) //如果B賣平委托廢單
{
Commentary("【空頭平倉(cāng)：B賣平委托" + Text(X + 1) + "廢單！】");
SPFLGB[X] = 0; //B賣平標(biāo)志歸0
}
}
}
}
//------------------------空頭處理------------------------//
If(OPFLG == 1) //空頭處理
{
For X = 0 To CDN - 1 //遍歷期權(quán)合約
{
If(SKFLGA[X] == 0 && BKFLGB[X] == 0 && BPFLGA[X] == 0 && SPFLGB[X] == 0) //如果沒(méi)有開(kāi)平倉(cāng)委托
{
If(SCFLG[X] == 0) //如果未執(zhí)行空頭開(kāi)倉(cāng)
{
If(PRC[X] > 0 && RTS[X] > D) //如果滿足空頭開(kāi)倉(cāng)條件
{
SKDFLG[X] = 1; //開(kāi)啟賣開(kāi)處理
SCFLG[X] = 1; //已執(zhí)行空頭開(kāi)倉(cāng)
}
}
Else If(SCFLG[X] == 1) //如果已執(zhí)行空頭開(kāi)倉(cāng)
{
If(RTS[X] <= D) //如果滿足空頭平倉(cāng)條件
{
BPDFLG[X] = 1; //開(kāi)啟買平處理
SCFLG[X] = 0; //空頭處理標(biāo)志歸0
}
}
}
}
}
//------------------------委托處理------------------------//
If(OPFLG == 1) //委托處理
{
For X = 0 To CDN - 1 //遍歷期權(quán)合約
{
If(SKDFLG[X] == 1) //如果已開(kāi)啟賣開(kāi)處理
{
If(SKFLGA[X] == 0 && BKFLGB[X] == 0) //如果沒(méi)有開(kāi)倉(cāng)委托
{
SKMA[X] = N; //A賣開(kāi)委托手?jǐn)?shù)
SKPA[X] = BIDPA[X]; //A賣開(kāi)委托價(jià)格
Commentary("【空頭開(kāi)倉(cāng)：A賣開(kāi)委托" + Text(X + 1) + "發(fā)出！】");
SKIDA[X] = CODA[X].A_SendOrder(Enum_Sell,Enum_Entry,SKMA[X],SKPA[X]); //發(fā)出A賣開(kāi)委托
SKFLGA[X] = 1; //已發(fā)出A賣開(kāi)委托
BKMB[X] = N; //B買開(kāi)委托手?jǐn)?shù)
BKPB[X] = ASKPB[X]; //B買開(kāi)委托價(jià)格
Commentary("【空頭開(kāi)倉(cāng)：B買開(kāi)委托" + Text(X + 1) + "發(fā)出！】");
BKIDB[X] = CODB[X].A_SendOrder(Enum_Buy,Enum_Entry,BKMB[X],BKPB[X]); //發(fā)出B買開(kāi)委托
BKFLGB[X] = 1; //已發(fā)出B買開(kāi)委托
}
}
If(BPDFLG[X] == 1) //如果已開(kāi)啟買平處理
{
If(BPFLGA[X] == 0 && SPFLGB[X] == 0) //如果沒(méi)有平倉(cāng)委托
{
If(SRPA[X] >= N) //如果A空頭可用持倉(cāng)達(dá)到N手
{
BPMA[X] = N; //A買平委托手?jǐn)?shù)
BPPA[X] = ASKPA[X]; //A買平委托價(jià)格
Commentary("【空頭平倉(cāng)：A買平委托" + Text(X + 1) + "發(fā)出！】");
BPIDA[X] = CODA[X].A_SendOrder(Enum_Buy,Enum_Exit,BPMA[X],BPPA[X]); //發(fā)出A買平委托
BPFLGA[X] = 1; //已發(fā)出A買平委托
}
If(BRPB[X] >= N) //如果B多頭可用持倉(cāng)達(dá)到N手
{
SPMB[X] = N; //B賣平委托手?jǐn)?shù)
SPPB[X] = BIDPB[X]; //B賣平委托價(jià)格
Commentary("【空頭平倉(cāng)：B賣平委托" + Text(X + 1) + "發(fā)出！】");
SPIDB[X] = CODB[X].A_SendOrder(Enum_Sell,Enum_Exit,SPMB[X],SPPB[X]); //發(fā)出B賣平委托
SPFLGB[X] = 1; //已發(fā)出B賣平委托
}
}
}
}
}
End
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