期權第一至第四層級

什麽是期權交易許可的層級?

IBKR新推出了兩種更低層級的期權交易許可,即第一和第二層級交易許可,使目前無法獲得“有限”或“完整”期權交易許可的客戶可交易期權。“有限”交易許可目前被稱爲第三層級,而“完整”交易許可則被視爲第四層級。

賬戶可交易的期權策略類型取决于賬戶獲得的交易許可層級。不同的層級如下:

層級

支持的期權策略

第一層級

允許交易持保看漲期權,即在做空看漲期權的同時持有相等數量的底層證券。

第二層級

允許交易FINRA法規2360定義的持保期權持倉,但有額外的限制,即期權多頭的到期日不得早于價差策略中期權空頭的到期日。

第三層級

允許交易最大損失風險有限的期權策略。 

第四層級

允許交易所有期權策略。

要瞭解各層級允許交易的期權組合舉例,請見下表:

策略

層級要求

持保看漲/持保籃子看漲

第一層級

買股票賣買權(Buy Write)

第一層級

做多期權持倉

第二層級

做多看漲

第二層級

做多看跌

第二層級

持保看跌

第二層級

保護性看漲

第二層級

保護性看跌

第二層級

做多跨式

第二層級

做多寬跨式套利

第二層級

轉換

第二層級

做多看漲價差

第二層級

做多看跌價差

第二層級

做多鐵鷹

第二層級

做多盒子價差

第二層級

領口

第二層級

做空領口

第二層級

做空看跌

第三層級

合成

第三層級

逆轉

第三層級

做空看漲價差

第三層級

做空看跌價差

第三層級

做空鐵鷹

第三層級

做多蝶式

第三層級

不平衡蝶式

第三層級

做空蝶式

第三層級

日曆價差 - 借記

第三層級

對角價差 - 做空最先到期的邊

第三層級

做空裸看漲

第四層級

做空跨式

第四層級

做空寬跨式

第四層級

做空合成

第四層級

日曆價差 - 借記

第四層級

對角價差 - 做多最先到期的邊

第四層級

 

交易期權須開立何種賬戶類型?

保證金、現金和IRA/退休賬戶可申請期權交易許可。 

保證金賬戶可申請任意層級的期權交易許可(第一至第四層級均可)。現金或IRA賬戶只能申請第一至第三層級,且買入所有看漲和看跌期權均要求全額支付。

請注意

  • 持有現金或保證金賬戶的客戶必須在賬戶中保有2000美元(或等值的其它貨幣)的淨清算價值方可開倉或加倉已有的未持保期權倉位。

 

如何申請或更新我的期權交易許可?

要更新您的期權交易許可:

1.     登錄客戶端

2.     依次選擇使用者菜單(右上角的小人圖標)和設置

3.     在 賬戶設置下找到交易板塊

4.     點擊交易許可

5.     找到期權板塊,選擇添加/編輯請求,然後選擇您想申請的許可層級幷點擊繼續

6.     閱讀簽署披露與協議。

7.     點擊繼續幷根據屏幕上的提示操作。

交易許可請求可能需要24-48小時審核。有關交易許可的更多信息,請見客戶端用戶指南。

請注意

  • 當一個國家/地區只有期權交易許可,該許可將包括股票和指數期權。
  • 受美國證監會限制,美國法定居民通常不得在美國以外交易證券期權。證券期權指以個股、美國法定股票或任何以現金結算的寬基指數期貨爲底層的期權。
  • 某些期權合約額外要求有“複雜或加杠杆的交易所交易産品”許可。

 

21周歲以下的人士能否交易期權?

所有客戶均可申請第一級的期權交易許可。然而,IBKR要求客戶須年滿21周歲方可申請第二至四級的許可。

 

申請期權交易許可須滿足哪些要求?

IBKR會向滿足最低年齡、流動淨資産、投資目標、産品知識及投資經驗要求的申請人提供不同層級的交易許可。此類信息是在開戶時收集的,或在開戶後客戶申請提升交易許可時在客戶端內收集。

如您需升級或查看您的財務信息、投資目標或投資經驗,請根據以下說明操作:

1.     登錄客戶端

2.     前往使用者菜單(右上角的小人圖標),然後點設置

3.     在賬戶設置下找到個人信息板塊

4.     點擊財務畫像來修改您的信息幷確認。

關於使用止損單的更多信息

美股市場偶爾會發生極端波動和價格混亂。 有時這類情況持續時間很長,有時又很短。止損單可能會對價格施加下行壓力、加劇市場波動,且可能使委託單在大幅偏離觸發價格的位置上成交。. 

投資者可能會在股價下跌時使用止損賣單鎖定盈利或限制損失。此外,在價格上漲時,持有空頭的投資者可能會使用止損買單來限制損失。然而,由於止損單一旦被觸發就會變為市價單,投資者將立即面臨和市價單一樣的風險——尤其是當市場波動很大時,委託單可能會在大幅高於或低於預期價格的位置上成交。
 
儘管止損單是一種能夠幫助投資者監控持倉價格的有用工具,但它也有潛在的風險。如您選擇使用止損單,請記住以下幾點:
 
·         止損價格不一定是執行價格。當“止損價格”被觸及,“止損單”就會成為“市價單”,而市價單會以當前的市場價格立即執行全部的交易量。. 因此,止損單最終被執行的價格可能和投資者設置的“止損價格”大相徑庭。相應地,在波動的市場環境下,客戶的止損單一旦變為市價單,就會立即成交。如果價格快速變動,執行價格可能會大幅偏離止損價格。
 
·         止損單可能會被短暫、劇烈的價格變動觸發。在市場波動巨大的時期,股票價格可能在極端的時間內大幅變動並觸發止損單被執行(之後又會恢復到之前的水平)。投資者應理解,如果止損單在這種情況下被觸發,則其委託單可能會以不理想的價格成交,且價格可能在同一個交易日內又企穩。
 
·         在極端波動的市場下,止損賣單可能會加劇價格的下跌。止損賣單的激活會給證券價格施加下行壓力。如果止損賣單在價格大幅向下跳空的情況下被觸發,則該委託單更有可能以大幅低於止損價格的價格成交。
 
·         為止損單附加“限價”有助於降低前述風險。當股價觸及或超過“止損價格”,帶有“限價”的止損單(“止損限價單”)會變為“限價單”。“限價單”是以不差於特定價格(即“限價”)的價格買賣證券的一種委託單。通過使用止損限價單而不是常規的止損單,客戶可提高委託單成交價格的確定性。. 然而,投資者也應注意,由於賣單不能以低於限價的價格成交(或者,買單不能以高於限價的價格成交),委託單最終可能無法成交。當客戶更看重以理想的目標價格成交而不是不管價格在什麼位置、都希望立即成交,這種情況下可考慮使用限價委託單。
 
·         在市場缺乏流動性或開盤和收盤等波動較大的時段,止損單的風險更大。. 這對缺乏流動性的股票尤為重要。此類股票在前述時段更難以當時的市價賣出,且在市場極端波動時,價格可能更離譜。客戶應考慮限制止損單可被觸發的時間段,以防止止損單在缺乏流動性的時段或開盤和收盤等波動率較大的時段被激活,也可考慮在這些時段使用其它委託單類型。
 
·         考慮到使用止損單的風險,客戶應謹慎考慮是否要使用符合其交易需求的其它委託單類型。

VR(T) time decay and term adjusted Vega columns in Risk Navigator (SM)

Background

Risk Navigator (SM) has two Adjusted Vega columns that you can add to your report pages via menu Metrics → Position Risk...: "Adjusted Vega" and "Vega x T-1/2". A common question is what is our in-house time function that is used in the Adjusted Vega column and what is the aim of these columns. VR(T) is also generally used in our Stress Test or in the Risk Navigator custom scenario calculation of volatility index options (i.e VIX).

Abstract

Implied volatilities of two different options on the same underlying can change independently of each other. Most of the time the changes will have the same sign but not necessarily the same magnitude. In order to realistically aggregate volatility risk across multiple options into a single number, we need an assumption about relationship between implied volatility changes. In Risk Navigator, we always assume that within a single maturity, all implied volatility changes have the same sign and magnitude (i.e. a parallel shift of volatility curve). Across expiration dates, however, it is empirically known that short term volatility exhibits a higher variability than long term volatility, so the parallel shift is a poor assumption. This document outlines our approach based on volatility returns function (VR(T)). We also describe an alternative method developed to accommodate different requests.

VR(T) time decay

We applied the principal component analysis to study daily percentage changes of volatility as a function of time to maturity. In that study we found that the primary eigen-mode explains approximately 90% of the variance of the system (with second and third components explaining most of the remaining variance being the slope change and twist). The largest amplitude of change for the primary eigenvector occurs at very short maturities, and the amplitude monotonically decreases as time to expiration increase. The following graph shows the main eigenvector as a function of time (measured in calendar days). To smooth the numerically obtained curve, we parameterize it as a piecewise exponential function.

Functional Form: Amplitude vs. Calendar Days

To prevent the parametric function from becoming vanishingly small at long maturities, we apply a floor to the longer term exponential so the final implementation of this function is:

where bS=0.0180611, a=0.365678, bL=0.00482976, and T*=55.7 are obtained by fitting the main eigenvector to the parametric formula.

Inverse square root time decay

Another common approach to standardize volatility moves across maturities uses the factor 1/√T. As shown in the graph below, our house VR(T) function has a bigger volatility changes than this simplified model.

Time function comparison: Amplitude vs. Calendar Days

Adjusted Vega columns

Risk Navigator (SM) reports a computed Vega for each position; by convention, this is the p/l change per 1% increase in the volatility used for pricing.  Aggregating these Vega values thus provides the portfolio p/l change for a 1% across-the-board increase in all volatilities – a parallel shift of volatility.

However, as described above a change in market volatilities might not take the form of a parallel shift.  Empirically, we observe that the implied volatility of short-dated options tends to fluctuate more than that of longer-dated options.  This differing sensitivity is similar to the "beta" parameter of the Capital Asset Pricing Model.  We refer to this effect as term structure of volatility response.

By multiplying the Vega of an option position with an expiry-dependent quantity, we can compute a term-adjusted Vega intended to allow more accurate comparison of volatility exposures across expiries. Naturally the hoped-for increase in accuracy can only come about if the adjustment we choose turns out to accurately model the change in market implied volatility.

We offer two parametrized functions of expiry which can be used to compute this Vega adjustment to better represent the volatility sensitivity characteristics of the options as a function of time to maturity. Note that these are also referred as 'time weighted' or 'normalized' Vega.

Adjusted Vega

A column titled "Vega Adjusted" multiplies the Vega by our in-house VR(T) term structure function. This is available any option that is not a derivative of a Volatility Product ETP. Examples are SPX, IBM, VIX but not VXX.

Vega x T-1/2

A column for the same set of products as above titled "Vega x T-1/2" multiplies the Vega by the inverse square root of T (i.e. 1/√T) where T is the number of calendar days to expiry.

Aggregations

Cross over underlying aggregations are calculated in the usual fashion given the new values. Based on the selected Vega aggregation method we support None, Straight Add (SA) and Same Percentage Move (SPM). In SPM mode we summarize individual Vega values multiplied by implied volatility. All aggregation methods convert the values into the base currency of the portfolio.

Custom scenario calculation of volatility index options

Implied Volatility Indices are indexes that are computed real-time basis throughout each trading day just as a regular equity index, but they are measuring volatility and not price. Among the most important ones is CBOE's Marker Volatility Index (VIX). It measures the market's expectation of 30-day volatility implied by S&P 500 Index (SPX) option prices. The calculation estimates expected volatility by averaging the weighted prices of SPX puts and calls over a wide range of strike prices.

The pricing for volatility index options have some differences from the pricing for equity and stock index options. The underlying for such options is the expected, or forward, value of the index at expiration, rather than the current, or "spot" index value. Volatility index option prices should reflect the forward value of the volatility index (which is typically not as volatile as the spot index). Forward prices of option volatility exhibit a "term structure", meaning that the prices of options expiring on different dates may imply different, albeit related, volatility estimates.

For volatility index options like VIX the custom scenario editor of Risk Navigator offers custom adjustment of the VIX spot price and it estimates the scenario forward prices based on the current forward and VR(T) adjusted shock of the scenario adjusted index on the following way.

  • Let S0 be the current spot index price, and
  • S1 be the adjusted scenario index price.
  • If F0 is the current real time forward price for the given option expiry, then
  • F1 scenario forward price is F1 = F0 + (S1 - S0) x VR(T), where T is the number of calendar days to expiry.

Additional Information Regarding the Use of Stop Orders

U.S. equity markets occasionally experience periods of extraordinary volatility and price dislocation. Sometimes these occurrences are prolonged and at other times they are of very short duration. Stop orders may play a role in contributing to downward price pressure and market volatility and may result in executions at prices very far from the trigger price. 

Investors may use stop sell orders to help protect a profit position in the event the price of a stock declines or to limit a loss. In addition, investors with a short position may use stop buy orders to help limit losses in the event of price increases. However, because stop orders, once triggered, become market orders, investors immediately face the same risks inherent with market orders – particularly during volatile market conditions when orders may be executed at prices materially above or below expected prices.
 
While stop orders may be a useful tool for investors to help monitor the price of their positions, stop orders are not without potential risks.  If you choose to trade using stop orders, please keep the following information in mind:
 
·         Stop prices are not guaranteed execution prices. A “stop order” becomes a “market order” when the “stop price” is reached and the resulting order is required to be executed fully and promptly at the current market price. Therefore, the price at which a stop order ultimately is executed may be very different from the investor’s “stop price.” Accordingly, while a customer may receive a prompt execution of a stop order that becomes a market order, during volatile market conditions, the execution price may be significantly different from the stop price, if the market is moving rapidly.
 
·         Stop orders may be triggered by a short-lived, dramatic price change. During periods of volatile market conditions, the price of a stock can move significantly in a short period of time and trigger an execution of a stop order (and the stock may later resume trading at its prior price level). Investors should understand that if their stop order is triggered under these circumstances, their order may be filled at an undesirable price, and the price may subsequently stabilize during the same trading day.
 
·         Sell stop orders may exacerbate price declines during times of extreme volatility. The activation of sell stop orders may add downward price pressure on a security. If triggered during a precipitous price decline, a sell stop order also is more likely to result in an execution well below the stop price.
 
·         Placing a “limit price” on a stop order may help manage some of these risks. A stop order with a “limit price” (a “stop limit” order) becomes a “limit order” when the stock reaches or exceeds the “stop price.” A “limit order” is an order to buy or sell a security for an amount no worse than a specific price (i.e., the “limit price”). By using a stop limit order instead of a regular stop order, a customer will receive additional certainty with respect to the price the customer receives for the stock. However, investors also should be aware that, because a sell order cannot be filled at a price that is lower (or a buy order for a price that is higher) than the limit price selected, there is the possibility that the order will not be filled at all. Customers should consider using limit orders in cases where they prioritize achieving a desired target price more than receiving an immediate execution irrespective of price.
 
·         The risks inherent in stop orders may be higher during illiquid market hours or around the open and close when markets may be more volatile. This may be of heightened importance for illiquid stocks, which may become even harder to sell at the then current price level and may experience added price dislocation during times of extraordinary market volatility. Customers should consider restricting the time of day during which a stop order may be triggered to prevent stop orders from activating during illiquid market hours or around the open and close when markets may be more volatile, and consider using other order types during these periods.
 
·         In light of the risks inherent in using stop orders, customers should carefully consider using other order types that may also be consistent with their trading needs.

Non-Guaranteed Combination Orders

A combination order is a special type of order that is constructed of multiple separate positions, or ‘legs’, but executed as a single transaction.  The legs of the combination may be comprised of the same position type (e.g. stock vs. stock, option vs. option or SSF vs. SSF) or different position types (e.g. stock vs. option, SSF vs. option or EFP).  It’s important to note that many combination order types, while submitted via the IB trading platform as a combination, are not native to (i.e., supported by) the exchanges and therefore may not be guaranteed by IB.  Accordingly, IB’s policy is to guarantee only Smart-Routed U.S. stock vs. option and option vs. option combination orders.

As combination orders which are not guaranteed are exposed to the risk of partial execution, both in terms of the quantity of legs and their balance, IB requires account holders to acknowledge the 'Non-Guaranteed' attribute at the point of order entry.  There are two methods for setting this attribute:

  • Method 1 - Users can select the Non-Guaranteed attribute in the Misc. section on the Order Ticket for a particular order
  • Method 2 - Users can add the Non-Guaranteed column to the Order Management section of the TWS

 

Notes:

  • Non-Guaranteed combination orders are not available for Financial Advisor allocation orders

 

The risk of such 'Non-Guaranteed' orders is illustrated through the example below:

Example

Assume the following quotes for a Stock vs. Stock combination order to purchase shares of Microsoft (MSFT) and sell shares of Appl (AAPL).

Current markets

MSFT - 26.30 bid, 26.31 offer
AAPL - 250.25 bid, 250.30 offer

A generic combination is created to buy 1 share AAPL and sell 1 share MSFT, the implied quote would be 223.94 bid, 224 offer.

The following order is entered:
Buy 200 AAPL, Sell 200 MSFT
Pay 224

Based on the current markets, the order would appear to be executable.

  • A buy of 200 shares of AAPL are routed with a 250.30 limit. Only 100 execute.
  • A sell of 200 shares of MSFT are routed with a 26.30 limit. No execution is received as the market moves to 26.29 bid.

With a Non-Guaranteed combination, the 100 shares of AAPL would be placed in the client account, even though no MSFT shares were executed.  The remainder of the combination order will continue to work until executed in its entirety or until it is canceled.

WebTrader: Viewing Option Chains

How to view option chains in WebTrader

For a brief introduction to the WebTrader platform please click here

For a brief video on basic order entry using WebTrader please click here

For a brief video on how to access market depth information using WebTrader please click here

For a brief video on how to customize the WebTrader please click here

Order Entry - OptionTrader

How to enter option orders using OptionTrader.

Syndicate content