Complex Position Size

For complex, multi-leg options positions comprising two or more legs, TWS might not track all changes to this position, e.g. a vertical spread where the short leg is assigned and the user re-writes the same leg the next day, or if the user creates a the position over multiple trades, or if the order is not filled as a native combination at the exchange.

If you received a message because you are submitting an order to close a position, roll a position, or modify a position using the “% Change” feature, it means that the maximum quantity of option positions in your account that are available to close for this order is different from that of the original position tracked by TWS.
Before submitting, you should review the order and confirm that the order quantity we have calculated is the correct quantity that you want to trade.

盈收

北美上市公司通常要求按季度发布盈收报告。这些报告包含一系列相关数据(收益和利润),通常可反映公司未来的盈收能力,可能引起公司股票市价的巨大波动。从期权交易的视角看,任何可能导致股票波动的因素都会影响期权定价。盈收发布也不例外。

期权交易者常常试图预期市场对盈收新闻的反应。他们知道随着盈收发布日期的临近,隐含波动率-期权价格的关键因素将稳步上升,而斜线-平价期权与价外期权隐含波动率的差额也会逐渐变陡。调整幅度通常基于历史情况而定。过去在盈收发布后出现重大波动的股票通常期权价格会更高。

盈收风险具有特殊性,这意味着其通常因股票而异且不易于与指数或同类公司对冲。相互密切关联的股票其反应可能会大相径庭,这会导致股价偏移或指数衰减。出于这些原因,没有哪个策略适用于在这些情境下交易期权。交易员必须对股票的可能动向有十分清晰的预期,然后决定哪种期权组合可能会产生最大的利润。

如果市场对一个公司的盈收预期太过乐观,很简单,只需购买(尽管通常比较贵)跨式期权或价外看跌期权并期待市场发生重大变动。在即月隐含波动率看似过高时利用反向预期也可能盈利,但这也可能在股票大幅上扬时成为空头裸期权,从而导致严重的损失。交易员可通过购买日历价差-卖出即月看跌期权并买入下月行使价相同的期权来利用较高的即月波动率。如果股票以行使价成交且即月期权的下滑速度远大于价格更高的远期期权,则会实现最大盈利。损失限制为初始交易价。

有时,当价外看跌期权隐含波动率日渐高于平价期权时,斜线会变得十分陡峭,这表明市场过度恐慌。使用垂直价差的交易员可在这种情景下盈利。看跌交易员可以买入平价看跌期权同时卖出价外看跌期权。这允许买家支付部分高价期权的成本,尽管如果股价跌至较低行使价以下,这会限制交易利润。另一方面,认为市场过度看跌的交易员可以卖出价外看跌期权同时买入行使价更低的看跌期权。尽管交易员买入的是波动率较高的期权,只要股价高于行使价就能盈利,同时损失也限定在两个行使价之间的差额。T

该文章仅作信息参考并不旨在提供建议或招揽买卖证券。期权交易涉及重大风险。交易期权前请阅读"标准期权的特征和风险"。客户对自己的交易决定负全部责任。

到期前行使看涨期权的注意事项

简介

到期前行使股票看涨期权通常不会带来收益,因为:

  • 这会导致剩余期权时间价值的丢失;
  • 需要更大的资金投入以支付股票交割;并且
  • 会给期权持有人带来更大的损失风险。

尽管如此,对于有能力满足更大资金或借款要求并能承受更大下行市场风险的账户持有人来说,提前行权行使美式看涨期权可获取即将分配的股息。

背景

看涨期权持有者无权获取底层股票的股息,因为该股息属于股息登记日前的股票持有人所有。 其他条件相同,股价应该下降,降幅与除息日的股息保持一致。期权定价理论提出看涨期权价格將反映预期股息的折扣价格,看涨期权价格也可能在除息日下跌。最可能促成该情境与提前行权决定的条件如下:

1. 期权为深度价内期权且delta值为100;

2. 期权几乎没有时间价值;

3. 股息相对较高且除息日在期权到期日之前。

举例

为阐述这些条件对提前行权决定的影响,假设账户的多头现金余额为$9,000美元,且持有行使价为$90.00美元的ABC多头看涨头寸,10天后到期。 ABC当前的成交价为$100.00美元,每股股息为$2.00美元,明天是除息日。再假设期权价格与股票价格动向相同,且在除息日下跌的幅度均为股息金额。

这里,我们将检查行权决定,目的是维持100股delta头寸并使用两种期权价格假设(假设一个为平价,一个高于平价)最大化总资产。

情境1:期权价格为平价 - $10.00美元
如果期权以平价交易,提前行权可维持delta头寸并可避免股票除息交易时多头期权价值遭受损失,从而保护资产。在这里现金收入被全数用于以行使价购买股票,期权权利金就此丧失并且股票(扣除股息)与应收股息会记入账户。如果您想通过在除息日前卖出期权并买入股票来达到同样的效果,请记得考虑佣金/价差:

情境1
账户组成部分 起始余额 提前行权 无行动

卖期权&

买股票

现金 $9,000 $0 $9,000 $0
期权 $1,000 $0 $800 $0
股票 $0 $9,800 $0 $9,800
应收股息 $0 $200 $0 $200
总资产 $10,000 $10,000 $9,800 $10,000减去佣金/价差

情境2:期权价格高于平价 - $11.00美元
如果期权以高于平价的价格交易,提前行权获取股息则可能并不会带来收益。在此情景中,提前行权可能会导致期权时间价值损失$100美元,而卖出期权买入股票在扣除佣金之后收益情况也可能不如不采取行动。在这里,可取的行动为无行动。

情境2
账户组成部分 起始余额 提前行权 无行动

卖期权&

买股票

现金 $9,000 $0 $9,000 $100
期权 $1,100 $0 $1,100 $0
股票 $0 $9,800 $0 $9,800
应收股息 $0 $200 $0 $200
总资产 $10,100 $10,000 $10,100 $10,100减去佣金/价差

  

请注意:考虑到空头期权边被行权的可能性,持有作为价差组成部分之多头看涨头寸的账户持有人应格外注意不行使多头期权边的风险。请注意,空头看涨期权的被行权会导致空头股票头寸,且在股息登记日前持有空头股票头寸的持有人有义务向股票的借出者支付股息。此外,清算所行权通知处理周期不支持提交响应被行权的行权通知。

例如,假设SPDR S&P 500 ETF Trust (SPY)的信用看涨(熊市)价差包括100张13年3月到期行使价为$146美元的空头合约,以及100张13年3月到期行使价为$147美元的多头合约。在13年3月14日,SPY Trust宣布每股股息为$0.69372美元,并且会在13年4月30日向13年3月19日前登记的股东支付。因为美国股票的结算周期为3个工作日,想要获取股息,交易者需要在13年1月14日之前买入股票或行使看涨期权,因为该日期一过,股票便开始除息交易。

 

13年3月14日,距离期权到期只剩一个交易日,平价成交的两张期权合约每张合约的最大风险为$100美元,100张合约则为$10,000美元。但是,未能行使多头合约以获取股息以及未能避免空头合约被其他想要获取股息的交易者行权会使每张合约产生额外$67.372美元的风险,如果所有空头看涨合约都被行权,则所有头寸总风险为$6,737.20美元。如下表所示,如果空头期权边没有被行权,则13年3月15日确定最终的合约结算价格时,最大风险仍为每张合约$100美元。

日期 SPY收盘价 13年3月行使价为$146的看涨期权 13年3月行使价为$147的看涨期权
2013年3月14日 $156.73 $10.73 $9.83
2013年3月15日 $155.83   $9.73 $8.83

请注意,如果您的账户符合美国871(m)预扣税要求,则除息日前平仓头多期权头寸并在除息日后重新建仓可能会带来收益。

有关如何提交提前行权通知的信息,请查看网站

 

上述内容仅作信息参考,不构成任何推荐、交易建议,也不代表提前行权会成功或适合所有客户或交易。账户持有人应咨询税务专家以确定提前行权可能带来的税务影响,并应格外注意以多头股票头寸替换多头期权头寸的潜在风险。

Earnings

Publicly traded companies in North America generally are required to release earnings on a quarterly basis. These announcements, which contain a host of relevant statistics, including revenue and margin data, and often projections about the company's future profitability, have the potential to cause a significant move in the market price of the company's shares. From an options trading viewpoint, anything with the potential to cause volatility in a stock affects the pricing of its options. Earnings releases are no exceptions.

Options traders often try to anticipate the market's reaction to earnings news. They know implied volatilities, the key to options prices, will steadily rise while skew - the difference in implied volatility between at-money and out-of-the-money options - will steadily steepen as the earnings date approaches. The degree by which those adjustments occur is often based on history. Stocks that have historically made significant post-earnings moves often have more expensive options.

Earnings risk is idiosyncratic, meaning that it is usually stock specific and not easily hedged against an index or a similar company. Stocks that are normally quite well correlated may react quite differently, leading to share prices that diverge or indices with dampened moves. For those reasons, there is no single strategy that works for trading options in these situations. Traders must have very clear expectations for a stock's potential move, and then decide which combination of options will likely lead to the most profitable results if the trader is correct.

If the market seems too sanguine about a company's earnings prospects, it is fairly simple (though often costly) to buy a straddle or an out-of the-money put and hope for a big move. Taking advantage of the opposite prospect, when front month implied volatilities seem too high, can also be profitable but it can also cause serious losses to be short naked options in the face of a big upward stock move. Traders can take advantage of high front month volatility by buying a calendar spread - selling a front month put and buying the same strike in the following month. The maximum profit potential is reached if the stock trades at the strike price, with the front-month option decaying far faster than the more expensive longer-term option. Losses are limited to the initial trade price.

Sometimes excessive fear is expressed by extremely steep skew, when out-of-the-money puts display increasingly higher implied volatilities than at-money options. Traders who use vertical spreads can capitalize on this phenomenon. Those who are bearish can buy an at-money put while selling an out-of-the-money put. This allows the purchaser to defray some of the cost of a high priced option, though it caps the trade's profits if the stock declines below the lower strike. On the other hand, those who believe the market is excessively bearish can sell an out-of-the-money put while buying an even lower strike put. Although the trader is buying the higher volatility option, it allows him to make money as long as the stock stays above the higher strike price, while capping his loss at the difference between the two strikes.

This article is provided for information only and is not intended as a recommendation or a solicitation to buy or sell securities. Option trading can involve significant risk. Before trading options read the "Characteristics and Risks of Standardized Options." Customers are solely responsible for their own trading decisions. 

Option Strategy Lab

General overview of the Option Strategy Lab

Considerations for Exercising Call Options Prior to Expiration

INTRODUCTION

Exercising an equity call option prior to expiration ordinarily provides no economic benefit as:

  • It results in a forfeiture of any remaining option time value;
  • Requires a greater commitment of capital for the payment or financing of the stock delivery; and
  • May expose the option holder to greater risk of loss on the stock relative to the option premium.

Nonetheless, for account holders who have the capacity to meet an increased capital or borrowing requirement and potentially greater downside market risk, it can be economically beneficial to request early exercise of an American Style call option in order to capture an upcoming dividend.

BACKGROUND

As background, the owner of a call option is not entitled to receive a dividend on the underlying stock as this dividend only accrues to the holders of stock as of its dividend Record Date. All other things being equal, the price of the stock should decline by an amount equal to the dividend on the Ex-Dividend date. While option pricing theory suggests that the call price will reflect the discounted value of expected dividends paid throughout its duration, it may decline as well on the Ex-Dividend date.  The conditions which make this scenario most likely and the early exercise decision favorable are as follows:

1. The option is deep-in-the-money and has a delta of 100;

2. The option has little or no time value;

3. The dividend is relatively high and its Ex-Date precedes the option expiration date. 

EXAMPLES

To illustrate the impact of these conditions upon the early exercise decision, consider an account maintaining a long cash balance of $9,000 and a long call position in hypothetical stock “ABC” having a strike price of $90.00 and time to expiration of 10 days. ABC, currently trading at $100.00, has declared a dividend of $2.00 per share with tomorrow being the Ex-Dividend date. Also assume that the option price and stock price behave similarly and decline by the dividend amount on the Ex-Date.

Here, we will review the exercise decision with the intent of maintaining the 100 share delta position and maximizing total equity using two option price assumptions, one in which the option is selling at parity and another above parity.

SCENARIO 1: Option Price At Parity - $10.00
In the case of an option trading at parity, early exercise will serve to maintain the position delta and avoid the loss of value in long option when the stock trades ex-dividend, to preserve equity. Here the cash proceeds are applied in their entirety to buy the stock at the strike, the option premium is forfeited and the stock (net of dividend) and dividend receivable are credited to the account.  If you aim for the same end result by selling the option prior to the Ex-Dividend date and purchasing the stock, remember to factor in commissions/spreads:

SCENARIO 1

Account

Components

Beginning

Balance

Early

Exercise

No

Action

Sell Option &

Buy Stock

Cash $9,000 $0 $9,000 $0
Option $1,000 $0 $800 $0
Stock $0 $9,800 $0 $9,800
Dividend Receivable $0 $200 $0 $200
Total Equity $10,000 $10,000 $9,800 $10,000 less commissions/spreads

 

SCENARIO 2: Option Price Above Parity - $11.00
In the case of an option trading above parity, early exercise to capture the dividend may not be economically beneficial. In this scenario, early exercise would result in a loss of $100 in option time value, while selling the option and buying the stock, after commissions, may be less beneficial than taking no action. In this scenario, the preferable action would be No Action.

SCENARIO 2

Account

Components

Beginning

Balance

Early

Exercise

No

Action

Sell Option &

Buy Stock

Cash $9,000 $0 $9,000 $100
Option $1,100 $0 $1,100 $0
Stock $0 $9,800 $0 $9,800
Dividend Receivable $0 $200 $0 $200
Total Equity $10,100 $10,000 $10,100 $10,100 less commissions/spreads

  

NOTE: Account holders holding a long call position as part of a spread should pay particular attention to the risks of not exercising the long leg given the likelihood of being assigned on the short leg.  Note that the assignment of a short call results in a short stock position and holders of short stock positions as of a dividend Record Date are obligated to pay the dividend to the lender of the shares. In addition, the clearinghouse processing cycle for exercise notices does not accommodate submission of exercise notices in response to assignment.

As example, consider a credit call (bear) spread on the SPDR S&P 500 ETF Trust (SPY) consisting of 100 short contracts in the March '13 $146 strike and 100 long contracts in the March '13 $147 strike.  On 3/14/13, with the SPY Trust declared a dividend of $0.69372 per share, payable 4/30/13 to shareholders of record as of 3/19/13. Given the 3 business day settlement time frame for U.S. stocks, one would have had to buy the stock or exercise the call no later than 3/14/13 in order receive the dividend, as the next day the stock began trading Ex-Dividend. 

On 3/14/13, with one trading day left prior to expiration, the two option contracts traded at parity, suggesting maximum risk of $100 per contract or $10,000 on the 100 contract position. However, the failure to exercise the long contract in order to capture the dividend and protect against the likely assignment on the short contracts by others seeking the dividend created an additional risk of $67.372 per contract or $6,737.20 on the position representing the dividend obligation were all short calls assigned.  As reflected on the table below, had the short option leg not been assigned, the maximum risk when the final contract settlement prices were determined on 3/15/13 would have remained at $100 per contract.

Date SPY Close March '13 $146 Call March '13 $147 Call
March 14, 2013 $156.73 $10.73 $9.83
March 15, 2013 $155.83   $9.73 $8.83

Please note that if your account is subject to tax withholding requirements of the US Treasure rule 871(m), it may be beneficial to close a long option position before the ex-dividend date and re-open the position after ex-dividend.

For information regarding how to submit an early exercise notice please click here

The above article is provided for information purposes only as is not intended as a recommendation, trading advice nor does it constitute a conclusion that early exercise will be successful or appropriate for all customers or trades. Account holders should consult with a tax specialist to determine what, if any, tax consequences may result from early exercise and should pay particular attention to the potential risks of substituting a long option position with a long stock position.

Equity & Index Option Position Limits

Overview: 

Equity option exchanges define position limits for designated equity options classes.  These limits define position quantity limitations in terms of the equivalent number of underlying shares (described below) which cannot be exceeded at any time on either the bullish or bearish side of the market.  Account positions in excess of defined position limits may be subject to trade restriction or liquidation at any time without prior notification.

Background: 

Position limits are defined on regulatory websites and may change periodically.  Some contracts also have near-term limit requirements (near-term position limits are applied to the side of the market for those contracts that are in the closest expiring month issued).  Traders are responsible for monitoring their positions as well as the defined limit quantities to ensure compliance.  The following information defines how position limits are calculated;

 

Option position limits are determined as follows:

  • Bullish market direction -- long call & short put positions are aggregated and quantified in terms of equivalent shares of stock.
  • Bearish market direction -- long put & short call positions are aggregated and quantified in terms of equivalent shares of stock.

The following examples, using the 25,000 option contract limit, illustrate the operation of position limits:

  • Customer A, who is long 25,000 XYZ calls, may at the same time be short 25,000 XYZ calls, since long and short positions in the same class of options (i.e., in calls only or in puts only) are on opposite sides of the market and are not aggregated
  • Customer B, who is long 25,000 XYZ calls, may at the same time be long 25,000 XYZ puts. Rule 4.11 does not require the aggregation of long call and long put (or short call and short put) positions, since they are on opposite sides of the market.
  • Customer C, who is long 20,000 XYZ calls, may not at the same time be short more than 5,000 XYZ puts, since the 25,000 contract limit applies to the aggregate position of long calls and short puts in options covering the same underlying security. Similarly, if Customer C is also short 20,000 XYZ calls, he may not at the same time have a long position of more than 5,000 XYZ puts, since the 25,000 contract limit applies separately to the aggregation of short call and long put positions in options covering the same underlying security.

 

Notifications and restrictions:

 

IB will send notifications to customers regarding the option position limits at the following times:

  • When a client exceeds 85% of the allowed limit IB will send a notification indicating this threshold has been exceeded
  • When a client exceeds 95% of the allowed limit IB will place the account in closing only. This state will be maintained until the account falls below 85% of the allowed limit. New orders placed that would increase the position will be rejected.

 

Notes:

Position limits are set on the long and short side of the market separately (and not netted out).
Traders can use an underlying stock position as a "hedge" if they are over the limit on the long or short side (index options are reviewed on a case by case basis for purposes of determining which securities constitute a hedge).
Position information is aggregated across related accounts and accounts under common control.

 

Definition of related accounts:

IB considers related accounts to be any account in which an individual may be viewed as having influence over trading decisions. This includes, but is not limited to, aggregating an advisor sub-account with the advisor's account (and accounts under common control), joint accounts with individual accounts for the joint parties and organization accounts (where an individual is listed as an officer or trader) with other accounts for that individual.

 

Position limit exceptions:

Regulations permit clients to exceed a position limit if the positions under common control are hedged positions as specified by the relevant exchange. In general the hedges permitted by the US regulators that are recognized in the IB system include outright stock position hedges, conversions, reverse conversions and box spreads. Currently collar and reverse collar strategies are not supported hedges in the IB system. For more detail about the permissible hedge exemptions refer to the rules of the self regulatory organization for the relevant product.

OCC posts position limits defined by the option exchanges.   They can be found here.
http://www.optionsclearing.com/webapps/position-limits

Where can I receive additional information on options?

The Options Clearing Corporation (OCC), the central clearinghouse for all US exchange traded securities option, operates a call center to serve the educational needs of individual investors and retail securities brokers. The resource will address the following questions and issues related to OCC cleared options products:

- Options Industry Council information regarding seminars, video and educational materials;

- Basic options-related questions such as definition of terms and product information;

- Responses to strategic and operational questions including specific trade positions and strategies.

The call center can be reached by dialing 1-800-OPTIONS. The hours of operation are Monday through Thursday from 8 a.m. to 5 p.m. (CST) and Friday from 8 a.m. to 4 p.m. (CST). Hours for the monthly expiration Friday will be extended to 5 p.m. (CST).

What is the margin on a Butterfly option strategy?

Overview: 

In order for the software utilized by IB to recognize a position as a Butterfly, it must match the definition of a Butterfly exactly.  These are the 3 different types of Butterfly spreads recognized by IBKR, and the margin calculation on each:

Background: 

Long Butterfly:

Two short options of the same series (class, multiplier, strike price, expiration) offset by one long option of the same type (put or call) with a higher strike price, and one long option of the same type with a lower strike price.  All component options must have the same expiration, same underlying, and intervals between exercise prices must be equal. 

There is no margin requirement on this position.  The long option cost is subtracted from cash and the short option proceeds are applied to cash.

Short Butterfly Put:

Two long put options of the same series offset by one short put option with a higher strike price and one short put option with a lower strike price.  All component options must have the same expiration, same underlying, and intervals between exercise prices must be equal. 

The margin requirement for this position is (Aggregate put option highest exercise price - aggregate put option second highest exercise price). Long put cost is subtracted from cash and short put proceeds are applied to cash.

Short Butterfly Call:

Two long call options of the same series offset by one short call option with a higher strike price and one short call option with a lower strike price. All component options must have the same expiration, same underlying, and intervals between exercise prices must be equal.

The margin requirement for this position is (Aggregate call option second lowest exercise price - aggregate call option lowest exercise price). Long option cost is subtracted from cash and short option proceeds are applied to cash.

*Please note that Interactive Brokers utilizes option margin optimization software to try to create the minimum margin requirement. However, due to the system requirements required to determine the optimal solution, we cannot always guarantee the optimal combination in all cases.  Other option positions in the account could cause the software to create a strategy you didn't originally intend, and therefore would be subject to a different margin equation. 

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