{"id":3464,"date":"2026-05-19T07:50:00","date_gmt":"2026-05-18T23:50:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=3464"},"modified":"2026-05-12T17:02:18","modified_gmt":"2026-05-12T09:02:18","slug":"%e5%85%a8%e7%90%83%e9%a1%b6%e7%ba%a7%e9%87%8f%e5%8c%96%e6%9c%ba%e6%9e%84%e7%9a%84%e9%9a%90%e7%a7%98%e6%ad%a6%e5%99%a8%ef%bc%9a%e6%b3%a2%e5%8a%a8%e7%8e%87%e6%94%b6%e5%89%b2%e6%9c%af%e5%85%a8%e8%a7%a3","status":"publish","type":"post","link":"https:\/\/blog.laoyulaoyu.top\/index.php\/2026\/05\/19\/%e5%85%a8%e7%90%83%e9%a1%b6%e7%ba%a7%e9%87%8f%e5%8c%96%e6%9c%ba%e6%9e%84%e7%9a%84%e9%9a%90%e7%a7%98%e6%ad%a6%e5%99%a8%ef%bc%9a%e6%b3%a2%e5%8a%a8%e7%8e%87%e6%94%b6%e5%89%b2%e6%9c%af%e5%85%a8%e8%a7%a3\/","title":{"rendered":"\u5168\u7403\u9876\u7ea7\u91cf\u5316\u673a\u6784\u7684\u9690\u79d8\u6b66\u5668\uff1a\u6ce2\u52a8\u7387\u6536\u5272\u672f\u5168\u89e3\u5bc6"},"content":{"rendered":"\n

\u4f5c \u8005\uff1a\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n

\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\n
\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u4eca\u5929\u5e26\u4f60\u62c6\u89e3\u5168\u7403\u671f\u6743\u5e02\u573a\u6700\u6838\u5fc3\u7684\u5b9a\u4ef7\u516c\u5f0f\uff1aDelta\u5bf9\u51b2\u635f\u76ca\u65b9\u7a0b\u3002<\/mark>\u4ece\u7b80\u885743\u4ebf\u7f8e\u5143\u5370\u5ea6\u4ea4\u6613\u5230LJM\u4e24\u5929\u5f52\u96f6\uff0c\u4eceGameStop\u7684Gamma\u6324\u538b\u52300DTE\u7684\u8303\u5f0f\u8f6c\u53d8\uff0c\u4e00\u6587\u8bb2\u900f\u6ce2\u52a8\u7387\u6ea2\u4ef7\u7684\u6536\u5272\u4e0e\u53cd\u566c\u3002<\/pre>\n<\/blockquote>\n\n\n\n
\u6bcf\u4e00\u4e2a\u4ea4\u6613\u65e5\uff0c\u5168\u7403\u6700\u5927\u7684\u91d1\u878d\u673a\u6784\u90fd\u5728\u4e3a\u4e00\u4e2a\u9690\u79d8\u7684\u4ef7\u5dee\u800c\u6218\uff1a\u5b83\u4eec\u5fc3\u7518\u60c5\u613f\u5730\u4e3a”\u4fdd\u62a4”\u591a\u4ed8\u94b1\uff0c\u800c\u5bf9\u624b\u65b9\u5fc3\u77e5\u809a\u660e\u5730\u6536\u4e0b\u8fd9\u4efd\u6ea2\u4ef7\u3002\u8fd9\u4e2a\u4ef7\u5dee\uff0c\u5c31\u662f\u9690\u542b\u6ce2\u52a8\u7387\u4e0e\u5b9e\u9645\u6ce2\u52a8\u7387\u4e4b\u95f4\u7684\u5dee\u8ddd\uff0c\u5b83\u662f\u5168\u7403\u91d1\u878d\u5e02\u573a\u4e2d\u8bb0\u5f55\u6700\u5b8c\u6574\u3001\u6301\u7eed\u6027\u6700\u5f3a\u3001\u53ef\u7cbe\u786e\u63d0\u53d6\u7684\u6ea2\u4ef7\u4e4b\u4e00\u3002<\/p>\n\n\n\n
\u4eca\u5929\uff0c\u6211\u5c06\u5e26\u4f60\u4eceBlack-Scholes\u504f\u5fae\u5206\u65b9\u7a0b\u51fa\u53d1\uff0c\u6cbf\u7740Delta\u5bf9\u51b2\u635f\u76ca\u516c\u5f0f\u7684\u8109\u7edc\uff0c\u9010\u5c42\u62c6\u89e3\u8fd9\u4e2a”\u6ce2\u52a8\u7387\u6ea2\u4ef7”\u7684\u6570\u5b66\u672c\u8d28\u3001\u6536\u5272\u673a\u5236\u548c\u5d29\u584c\u77ac\u95f4\uff1a\u4eceCapstone\u57282020\u5e74Q1\u7684280%<\/strong>\u56de\u62a5\uff0c\u5230\u7b80\u8857\uff08Jane Street\uff09\u5728\u5370\u5ea6\u5e02\u573a\u72c2\u8d5a43\u4ebf\u7f8e\u5143<\/strong>\u7684SEBI\u6848\u4ef6\uff0c\u4eceCitadel Securities\u521b\u7eaa\u5f55\u7684\u5355\u5b63\u8425\u6536\uff0c\u5230GameStop\u7684Gamma\u6324\u538b\uff0c\u518d\u5230LJM\u57fa\u91d1\u4e24\u5929\u84b8\u53d110\u4ebf\u7f8e\u5143<\/strong>\u7684\u672b\u65e5\u60e8\u5267\u3002<\/p>\n\n\n\n
\u8fd9\u4e0d\u662f\u4e00\u7bc7\u5165\u95e8\u79d1\u666e\u3002\u8fd9\u662f\u4e00\u4efd\u6cd5\u533b\u7ea7\u522b\u7684\u201c\u89e3\u5256\u201d\u62a5\u544a\u3002<\/p>\n\n\n\n
\u4e00\u3001\u90a3\u4e2a\u7edf\u6cbb\u5168\u7403\u671f\u6743\u4ea4\u6613\u53f0\u7684\u516c\u5f0f<\/strong><\/h2>\n\n\n\n
\u5168\u7403\u6bcf\u4e00\u7b14Delta\u5bf9\u51b2\u8fc7\u7684\u671f\u6743\u5934\u5bf8\uff0c\u6700\u7ec8\u90fd\u5f52\u7ed3\u4e3a\u540c\u4e00\u4e2a\u635f\u76ca\u65b9\u7a0b\u3002\u5b83\u4e0d\u662f\u7406\u8bba\u63a8\u6f14\u3002\u5b83\u662fCitadel Securities\u3001Capstone\u3001\u7b80\u8857\u548c\u5168\u7403\u6bcf\u4e00\u4e2a\u6210\u719f\u671f\u6743\u8d26\u7c3f\u4e0a\u5b9e\u65f6\u8fd0\u884c\u7684\u4f1a\u8ba1\u6052\u7b49\u5f0f\u3002\u8fd9\u4e2a\u516c\u5f0f\u76f4\u63a5\u7531Black-Scholes\u504f\u5fae\u5206\u65b9\u7a0b\u63a8\u5bfc\u800c\u6765\uff1a<\/p>\n\n\n\n
Delta\u5bf9\u51b2\u635f\u76ca\u516c\u5f0f\uff08Black-Scholes\u63a8\u5bfc\uff09<\/strong>\nP&L \u2248 \u00bd \u00b7 \u0393 \u00b7 (\u0394S)\u00b2 \u2212 \u0398 \u00b7 \u0394t\n     = \u00bd \u00b7 \u0393 \u00b7 S\u00b2 \u00b7 \u0394t \u00b7 (\u03c3\u5b9e\u9645<\/sub>\u00b2 \u2212 \u03c3\u9690\u542b<\/sub>\u00b2)\n\n\u0393<\/strong>          = Gamma\uff1a\u671f\u6743\u4ef7\u503c\u5bf9\u6807\u7684\u8d44\u4ea7\u4ef7\u683c\u7684\u4e8c\u9636\u5bfc\u6570\uff08\u2202\u00b2C\/\u2202S\u00b2\uff09\n\u0394S<\/strong>        = \u6807\u7684\u8d44\u4ea7\u5728\u0394t\u65f6\u95f4\u5185\u7684\u4ef7\u683c\u53d8\u52a8\n\u03c3<\/strong>\u5b9e\u9645<\/strong><\/sub>     = \u6807\u7684\u8d44\u4ea7\u5b9e\u9645\u4ea4\u4ed8\u7684\u5e74\u5316\u6ce2\u52a8\u7387\n\u03c3<\/strong>\u9690\u542b<\/strong><\/sub>     = \u671f\u6743\u4ef7\u683c\u4e2d\u5d4c\u5165\u7684\u9690\u542b\u6ce2\u52a8\u7387\n\u00bd\u00b7\u0393\u00b7S\u00b2\u00b7\u0394t<\/strong> = \"\u51f8\u6027\u7ea2\u5229\"\u2014\u2014\u6301\u6709\u66f2\u7387\u83b7\u5f97\u7684\u7ed3\u6784\u6027\u56de\u62a5\n\n\u76c8\u5229\u6761\u4ef6\uff1a<\/strong>\u5f53\u4e14\u4ec5\u5f53 \u03c3\u5b9e\u9645<\/sub> > \u03c3\u9690\u542b<\/sub> \u65f6\uff0cP&L\u4e3a\u6b63\n\u8def\u5f84\u4f9d\u8d56\uff1a<\/strong>\u635f\u76ca\u7531Gamma\u5728\u6ce2\u52a8\u8def\u5f84\u4e0a\u7684\u52a0\u6743\u5206\u5e03\u51b3\u5b9a\u2014\u2014\u4e0d\u662f\u770b\u5e73\u5747\u503c<\/code><\/pre>\n\n\n\n
\u516c\u5f0f\u7684\u7b2c\u4e00\u9879 \u00bd\u0393S\u00b2\u0394t \u00b7 \u03c3\u5b9e\u9645\u00b2<\/code> \u6355\u6349\u7684\u662f\u5934\u5bf8\u4ece\u6807\u7684\u4ef7\u683c\u5b9e\u9645\u8fd0\u52a8\u4e2d\u8d5a\u5230\u7684\u90e8\u5206\u3002\u7b2c\u4e8c\u9879\u51cf\u53bb\u7684\u662f\u4f60\u4e3a\u8fd9\u4e2a\u8fd0\u52a8\u4ed8\u51fa\u7684\u6bcf\u65e5”\u79df\u91d1”\uff1a\u5373\u671f\u6743\u8d39\u4e2d\u6309\u7167\u9690\u542b\u6ce2\u52a8\u7387\u5b9a\u4ef7\u7684\u6bcf\u65e5\u65f6\u95f4\u635f\u8017\uff08Theta\uff09\u3002\u4e24\u8005\u4e4b\u5dee\uff0c\u4e58\u4ee5\u51f8\u6027\u7cfb\u6570\uff0c\u5c31\u662f\u4f60\u6bcf\u4e00\u8f6e\u5012\u4e09\u89d2\u4ea4\u6613\u7684\u51c0\u635f\u76ca\u3002<\/p>\n\n\n\n
\u8fd9\u91cc\u6709\u4e00\u4e2a\u5f88\u591a\u901a\u4fd7\u89e3\u8bfb\u90fd\u4f1a\u5ffd\u7565\u7684\u5173\u952e\u70b9\uff1a\u635f\u76ca\u7684\u8def\u5f84\u4f9d\u8d56\u6027\u3002\u4e00\u4e2a\u7a7a\u5934Gamma\u7684\u6301\u4ed3\uff0c\u53ef\u80fd\u5728\u671f\u6743\u5b58\u7eed\u671f\u7684\u5927\u90e8\u5206\u65f6\u95f4\u91cc\u90fd\u662f\u76c8\u5229\u7684\uff0c\u53ea\u8981\u5b9e\u9645\u6ce2\u52a8\u7387\u4fdd\u6301\u4f4e\u4f4d\u3002\u4f46\u5230\u671f\u524d\u51e0\u5468\uff0cGamma\u5728\u5e73\u503c\u9644\u8fd1\u6025\u5267\u98d9\u5347\uff0c\u800c\u5b9e\u9645\u6ce2\u52a8\u7387\u54ea\u6015\u53ea\u662f\u77ed\u6682\u5730\u8df3\u5347\u4e00\u4e0b\uff0c\u90fd\u53ef\u80fd\u9020\u6210\u707e\u96be\u6027\u635f\u5931\u3002\u635f\u76ca\u4e0d\u662f\u7531\u671f\u6743\u5b58\u7eed\u671f\u5185\u7684\u5e73\u5747\u6ce2\u52a8\u7387\u51b3\u5b9a\u7684\uff0c\u800c\u662f\u7531Gamma\u52a0\u6743\u540e\u7684\u6ce2\u52a8\u7387\u8def\u5f84\u51b3\u5b9a\u7684\uff0cGamma\u5728\u5e73\u503c\u4e14\u4e34\u8fd1\u5230\u671f\u65f6\u6700\u5927\u3002\u8fd9\u610f\u5473\u7740\uff0c\u540c\u6837\u7684\u5b9e\u9645\u6ce2\u52a8\u7387\u7ed3\u679c\uff0c\u5982\u679c\u5927\u7684\u6ce2\u52a8\u53d1\u751f\u5728\u4e0d\u540c\u65f6\u70b9\uff0c\u53ef\u4ee5\u4ea7\u751f\u622a\u7136\u4e0d\u540c\u7684\u635f\u76ca\u3002<\/p>\n\n\n\n
\n
\u6838\u5fc3\u8ba4\u77e5\uff1a<\/strong>\u6ce2\u52a8\u7387\u6ea2\u4ef7\u7684\u6536\u5272\u4e0d\u662f”\u4f4e\u4e70\u9ad8\u5356”\u90a3\u4e48\u7b80\u5355\u3002\u8def\u5f84\u51b3\u5b9a\u4e86\u7ed3\u5c40\u2014\u2014\u540c\u6837\u7684\u7ec8\u70b9\uff0c\u4e0d\u540c\u7684\u8def\u5f84\uff0c\u76c8\u4e8f\u5929\u5dee\u5730\u522b\u3002\u8fd9\u5c31\u597d\u6bd4\u540c\u6837\u662f\u722c\u5c71\uff0c\u4f60\u662f\u7f13\u6b65\u800c\u4e0a\u8fd8\u662f\u5728\u60ac\u5d16\u8fb9\u8e66\u6781\uff0c\u4f53\u9a8c\u5b8c\u5168\u4e0d\u540c\u3002<\/p>\n<\/blockquote>\n\n\n\n
\u4e8c\u3001\u6ce2\u52a8\u7387\u6ea2\u4ef7\uff1a\u4e3a\u4ec0\u4e48\u8fd9\u4e2a\u7ed3\u6784\u6027\u4f18\u52bf\u65e0\u6cd5\u88ab\u5957\u5229\u6d88\u9664<\/strong><\/h2>\n\n\n\n
\u6ce2\u52a8\u7387\u6ea2\u4ef7\uff08Volatility Risk Premium\uff0c\u7b80\u79f0VRP\uff09\uff0c\u5373\u9690\u542b\u6ce2\u52a8\u7387\u7cfb\u7edf\u6027\u5730\u9ad8\u4e8e\u5b9e\u9645\u6ce2\u52a8\u7387\u7684\u90a3\u4e2a\u4ef7\u5dee\uff0c\u4e4b\u6240\u4ee5\u80fd\u591f\u6301\u7eed\u5b58\u5728\uff0c\u5e76\u975e\u5e02\u573a\u5931\u7075\u3002\u5b83\u662f\u5bf9\u4e00\u79cd\u7ed3\u6784\u6027\u670d\u52a1\u7684\u6709\u610f\u8865\u507f\u3002\u517b\u8001\u91d1\u3001\u4fdd\u9669\u516c\u53f8\u548c\u6350\u8d60\u57fa\u91d1\u5728\u914d\u7f6e\u671f\u6743\u65f6\u4e0d\u662f\u5728\u6295\u673a\uff0c\u5b83\u4eec\u662f\u5728\u8d2d\u4e70\u4fdd\u9669\uff0c\u800c\u548c\u6240\u6709\u4fdd\u9669\u4e70\u5bb6\u4e00\u6837\uff0c\u5b83\u4eec\u652f\u4ed8\u7684\u4ef7\u683c\u9ad8\u4e8e\u7cbe\u7b97\u4ef7\u503c\u3002<\/p>\n\n\n\n
\u6307\u6807<\/strong><\/th>\u6570\u636e<\/strong><\/th><\/tr><\/thead>
\u81ea1990\u5e74\u4ee5\u6765\u6807\u666e500\u9690\u542b\u6ce2\u52a8\u7387\u9ad8\u4e8e\u5b9e\u9645\u6ce2\u52a8\u7387\u7684\u6708\u4efd\u5360\u6bd4<\/td>~85%<\/strong><\/td><\/tr>
\u6807\u666e500\u957f\u671f\u5e73\u5747\u9690\u542b-\u5b9e\u9645\u6ce2\u52a8\u7387\u4ef7\u5dee<\/td>~4\u4e2a\u6ce2\u52a8\u7387\u70b9<\/strong><\/td><\/tr>
\u7cfb\u7edf\u6027VRP\u7b56\u7565\u7684\u590f\u666e\u6bd4\u7387\uff08\u8de8\u8d44\u4ea7\u7c7b\u522b\uff09<\/td>~1.0<\/strong><\/td><\/tr>
Capstone 2007-2021\u5e74\u5e74\u5316\u56de\u62a5<\/td>~7%<\/strong><\/td><\/tr>
\u6807\u666e500\u671f\u6743\u5e02\u573a\u9690\u542b\u7684\u6708\u5ea610%+\u8dcc\u5e45\u6982\u7387<\/td>~13%<\/strong><\/td><\/tr>
\u5386\u53f2\u4e0a\u6708\u5ea610%+\u8dcc\u5e45\u7684\u5b9e\u9645\u53d1\u751f\u9891\u7387<\/td>~4%<\/strong><\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
\u6b63\u5982CAIA\u534f\u4f1a\u7684\u5206\u6790\u6240\u8bb0\u5f55\u7684\uff0c\u6807\u666e500\u671f\u6743\u5e02\u573a\u6301\u7eed\u5b9a\u4ef7\u4e2d\u9690\u542b\u4e86\u5927\u7ea613%\u7684\u6708\u5ea610%\u4ee5\u4e0a\u8dcc\u5e45\u6982\u7387\uff0c\u800c\u8fd9\u79cd\u4e8b\u4ef6\u7684\u5386\u53f2\u5b9e\u9645\u53d1\u751f\u9891\u7387\u53ea\u6709\u7ea64%\u3002\u8fd99\u4e2a\u767e\u5206\u70b9\u7684\u9519\u914d\u4e0d\u662f\u975e\u7406\u6027\uff0c\u5b83\u53cd\u6620\u4e86\u5927\u578b\u673a\u6784\u914d\u7f6e\u8005\u5728\u5c3e\u90e8\u4e8b\u4ef6\u4e2d\u672a\u88ab\u5bf9\u51b2\u7684\u4e0d\u5bf9\u79f0\u6210\u672c\uff0c\u800c\u8fd9\u6b63\u662fGamma\u5012\u4e09\u89d2\u7b56\u7565\u6301\u7eed\u83b7\u5f97\u6536\u76ca\u7684\u7ecf\u6d4e\u5f15\u64ce\u3002<\/p>\n\n\n\n
\u6253\u4e2a\u6bd4\u65b9\uff1a\u4f60\u6bcf\u5e74\u82b15000\u5757\u94b1\u4e70\u8f66\u9669\uff0c\u4f46\u4f60\u5b9e\u9645\u51fa\u9669\u7684\u671f\u671b\u635f\u5931\u53ef\u80fd\u53ea\u67092000\u5757\u3002\u90a3\u591a\u51fa\u76843000\u5757\u4e0d\u662f\u4fdd\u9669\u516c\u53f8\u9a97\u4f60\uff0c\u800c\u662f\u4f60\u4e3a”\u4e07\u4e00\u51fa\u5927\u4e8b”\u8fd9\u4e8b\u513f\u613f\u610f\u652f\u4ed8\u7684\u4ee3\u4ef7\u3002\u6ce2\u52a8\u7387\u6ea2\u4ef7\u7684\u903b\u8f91\u5b8c\u5168\u4e00\u6837\uff0c\u671f\u6743\u5356\u65b9\u6536\u5230\u7684\u90a3\u4e2a\u6ea2\u4ef7\uff0c\u672c\u8d28\u4e0a\u5c31\u662f”\u4fdd\u9669\u8d39”\u4e2d\u8d85\u51fa\u7cbe\u7b97\u4ef7\u503c\u7684\u90e8\u5206\u3002<\/p>\n\n\n\n
\n
\u5173\u952e\u6d1e\u5bdf\uff1a<\/strong>\u6ce2\u52a8\u7387\u6ea2\u4ef7\u4e0d\u662f\u5e02\u573abug\uff0c\u800c\u662ffeature\u3002\u5b83\u662f\u98ce\u9669\u538c\u6076\u8005\u5411\u98ce\u9669\u627f\u53d7\u8005\u652f\u4ed8\u7684”\u4fdd\u62a4\u8d39”\u3002\u53ea\u8981\u5927\u578b\u673a\u6784\u8fd8\u9700\u8981\u4e70\u4fdd\u9669\uff0c\u8fd9\u4e2a\u6ea2\u4ef7\u5c31\u4f1a\u6301\u7eed\u5b58\u5728\u2014\u2014\u8fd9\u548c\u8f66\u9669\u4e0d\u53ef\u80fd\u6309\u6210\u672c\u4ef7\u5356\u7ed9\u4f60\u662f\u4e00\u4e2a\u9053\u7406\u3002<\/p>\n<\/blockquote>\n\n\n\n
\u4e09\u3001Capstone\u6295\u8d44\u987e\u95ee\uff1a\u5de5\u4e1a\u5316\u89c4\u6a21\u7684\u6ce2\u52a8\u7387\u6536\u5272<\/strong><\/h2>\n\n\n\n
\u6ca1\u6709\u54ea\u5bb6\u516c\u53f8\u6bd4Capstone\u6295\u8d44\u987e\u95ee\u66f4\u80fd\u6e05\u6670\u5730\u5c55\u793a\u8fd9\u4e2a\u7b56\u7565\u7684\u5de5\u4e1a\u5316\u843d\u5730\u4e86\u3002Capstone\u7531Paul Britton\u4e8e2004\u5e74\u521b\u7acb\uff0c\u622a\u81f32025\u5e746\u670830\u65e5\u7ba1\u7406\u89c4\u6a21\u7ea6110\u4ebf\u7f8e\u5143<\/strong>\uff0c\u662f\u5168\u7403\u6700\u4e13\u4e1a\u7684\u7eaf\u6ce2\u52a8\u7387\u5e73\u53f0\u4e4b\u4e00\uff0c\u540c\u65f6\u5728\u80a1\u7968\u3001\u56fa\u6536\u3001\u5916\u6c47\u548c\u5927\u5b97\u5546\u54c1\u5e02\u573a\u8fdb\u884c\u4ea4\u6613\u3002<\/p>\n\n\n\n
Britton\u7684\u5c65\u5386\u672c\u8eab\u5c31\u5f88\u6709\u610f\u601d\uff1a\u4ed6\u57281990\u5e74\u4ee3\u4e2d\u671f\u4ee5\u5b9e\u4e60\u751f\u8eab\u4efd\u8fdb\u5165\u4f26\u6566\u56fd\u9645\u91d1\u878d\u671f\u8d27\u671f\u6743\u4ea4\u6613\u6240\uff08LIFFE\uff09\u7684Saratoga Limited\uff0c1999\u5e74\u8054\u5408\u521b\u7acb\u4e86Mako Global Derivatives\uff0c\u968f\u540e\u5c06Capstone\u6253\u9020\u6210\u4e86\u5168\u7403\u6700\u4e13\u4e1a\u7684\u7eaf\u6ce2\u52a8\u7387\u5e73\u53f0\u4e4b\u4e00\u3002<\/p>\n\n\n\n
\u6838\u5fc3\u7b56\u7565\uff1a\u53cc\u8f68\u5236\u7684\u6ce2\u52a8\u7387\u6536\u5272<\/strong><\/h3>\n\n\n\n
Capstone\u7684\u6838\u5fc3\u4ea7\u54c1\uff1aCapstone Volatility Master\uff08CVM\uff09\u3002\u8fd0\u884c\u7740\u5728\u5176ADV\u76d1\u7ba1\u6587\u4ef6\u4e2d\u88ab\u63cf\u8ff0\u4e3a”\u591a\u7b56\u7565\u6ce2\u52a8\u7387\u7b56\u7565”\u7684\u7ec4\u5408\uff0c\u65e8\u5728”\u6355\u6349\u76ee\u6807\u884d\u751f\u54c1\u5e02\u573a\u4e2d\u6ce2\u52a8\u7387\u5b9a\u4ef7\u7684\u611f\u77e5\u4f4e\u6548”\u3002\u5b83\u7684\u4e24\u4e2a\u7b56\u7565\u8f68\u9053\uff0c”Risk-on”\u548c”Risk-off”\uff0c\u5c31\u662f\u524d\u8ff0\u516c\u5f0f\u7684\u5de5\u4e1a\u5316\u6267\u884c\uff1a<\/p>\n\n\n\n
    \n
  • 1<\/strong>\u4f4e\u6ce2\u52a8\u7387\u73af\u5883\uff08Risk-on\u8f68\u9053\uff09\uff1a<\/strong>\u5356\u51faDelta\u5bf9\u51b2\u8fc7\u7684\u671f\u6743\uff0c\u6536\u5272\u9690\u542b\u6ce2\u52a8\u7387\u9ad8\u4e8e\u5b9e\u9645\u6ce2\u52a8\u7387\u7684\u6ea2\u4ef7\u2014\u2014\u8d5a\u53d6”\u4fdd\u9669\u8d39”\u4e2d\u8d85\u51fa\u7cbe\u7b97\u4ef7\u503c\u7684\u90e8\u5206<\/li>\n\n\n\n
  • 2<\/strong>\u9ad8\u6ce2\u52a8\u7387\u73af\u5883\uff08Risk-off\u8f68\u9053\uff09\uff1a<\/strong>\u505a\u591aGamma\uff0c\u4ece\u5b9e\u9645\u6ce2\u52a8\u7387\u7206\u53d1\u8d85\u8fc7\u5df2\u9ad8\u4f01\u7684\u9690\u542b\u6ce2\u52a8\u7387\u4e2d\u83b7\u5229\u2014\u2014\u5728\u98ce\u66b4\u4e2d\u6536\u5272\u51f8\u6027<\/li>\n<\/ul>\n\n\n\n
    \u4e1a\u7ee9\u9a8c\u8bc1\u4e86\u8fd9\u4e2a\u516c\u5f0f\u7a7f\u8d8a\u5b8c\u6574\u5e02\u573a\u5468\u671f\u7684\u6709\u6548\u6027\u3002\u6839\u636e\u300a\u91d1\u878d\u65f6\u62a5\u300b\u5f15\u7528\u7684\u6570\u636e\uff0c\u4ece2007\u5e74\u52302021\u5e74\uff0cCapstone\u5e74\u5316\u56de\u62a57%<\/strong>\uff0c\u6b63\u5e38\u5e02\u573a\u4e2d\u7684\u7a33\u5065\u6ea2\u4ef7\u6536\u5272\u3002\u4f46\u771f\u6b63\u7684\u8003\u9a8c\u57282020\u5e74Q1\uff1a\u516c\u53f8\u7684\u5c3e\u7aef\u98ce\u9669\u57fa\u91d1\u5728COVID\u66b4\u8dcc\u4e2d\u56de\u62a5280%<\/strong>\uff0cCBOE Eurekahedge\u5c3e\u7aef\u98ce\u9669\u5bf9\u51b2\u57fa\u91d1\u6307\u6570\u540c\u671f\u56de\u62a551.64%\u3002<\/p>\n\n\n\n
    \u5728\u505a\u591aGamma\u7684\u5934\u5bf8\u4e0a\uff0c\u516c\u5f0f\u5151\u73b0\u4e86\u5b83\u627f\u8bfa\u7684\u51f8\u6027\u56de\u62a5\uff1a\u5f532020\u5e743\u6708\u03c3\u5b9e\u9645<\/sub>\u98d9\u8fc7\u6bcf\u4e00\u4e2a\u9690\u542b\u6ce2\u52a8\u7387\u951a\u5b9a\u65f6\uff0c\u00bd\u0393\u9879\u4ea7\u751f\u4e86\u4efb\u4f55\u65b9\u5411\u6027\u6301\u4ed3\u90fd\u65e0\u6cd5\u5339\u654c\u7684\u56de\u62a5\u3002<\/p>\n\n\n\n
    \n
    “\u6211\u4eec\u8fd0\u8425\u7740\u4e00\u4e2a\u5305\u542b\u8bb8\u591a\u4e0d\u540c\u7b56\u7565\u7684\u5927\u578b\u590d\u6742\u7ec4\u5408\uff0c\u5f53\u6211\u4eec\u5206\u6790\u5e76\u5224\u65ad\u53ef\u80fd\u7684\u7ed3\u679c\u65f6\uff0c\u6211\u4eec\u5f97\u51fa\u7684\u7ed3\u8bba\u90fd\u662f\u4e00\u6837\u7684\u2014\u2014\u5982\u679c\u7f8e\u8054\u50a8\u4e0d\u518d\u50cf\u8fc7\u53bb\u90a3\u6837\u8fc5\u901f\u5e72\u9884\uff0c\u90a3\u4e48\u4f60\u9762\u4e34\u7684\u6ce2\u52a8\u7387\u6c34\u5e73\u5c31\u4f1a\u66f4\u9ad8\u3002”<\/p>\n\n\n\n
    \u2014\u2014 Paul Britton\uff0cCapstone\u6295\u8d44\u987e\u95eeCEO\uff0cCNBC\uff0c2022\u5e748\u6708<\/strong><\/p>\n<\/blockquote>\n\n\n\n
    \u8fd9\u6bb5\u8bdd\u7ffb\u8bd1\u6210\u516c\u5f0f\u8bed\u8a00\u5c31\u662f\uff1aCapstone\u5728\u7ed3\u6784\u6027\u6761\u4ef6\uff08\u592e\u884c\u6258\u5e95\u64a4\u9664\uff09\u8868\u660e\u5b9e\u9645\u6ce2\u52a8\u7387\u5c06\u8d85\u8fc7\u5f53\u524d\u5e02\u573a\u9690\u542b\u6ce2\u52a8\u7387\u65f6\uff0c\u4f1a\u505a\u591aGamma\u5e03\u5c40\u3002\u8fd9\u548c”\u4f4e\u6ce2\u52a8\u7387\u6536\u4fdd\u8d39\uff0c\u9ad8\u6ce2\u52a8\u7387\u6361\u4fbf\u5b9c”\u7684\u601d\u8def\u5b8c\u5168\u4e00\u81f4\u2014\u2014\u5173\u952e\u662f\u5224\u65ad\u4f60\u6240\u5904\u7684”\u6ce2\u52a8\u7387\u4f53\u5236”\u3002<\/p>\n\n\n\n
    \u56db\u3001Gamma\u5012\u4e09\u89d2\u7684\u6267\u884c\u529b\u5b66\uff1a\u4e00\u7b14\u771f\u5b9e\u4ea4\u6613\u7684\u9010\u7b14\u62c6\u89e3<\/strong><\/h2>\n\n\n\n
    \u7406\u89e3\u516c\u5f0f\u662f\u4e00\u56de\u4e8b\uff0c\u5728\u673a\u6784\u89c4\u6a21\u4e0a\u6267\u884c\u5b83\u662f\u53e6\u4e00\u56de\u4e8b\u3002\u8ba9\u6211\u4eec\u6765\u770b\u770b\u4e00\u7b14Gamma\u5012\u4e09\u89d2\u4ea4\u6613\u5230\u5e95\u662f\u600e\u4e48\u4e00\u6b65\u4e00\u6b65\u5b8c\u6210\u7684\uff1a<\/p>\n\n\n\n
    \u6b65\u9aa4<\/strong><\/th>\u64cd\u4f5c<\/strong><\/th>\u5e0c\u814a\u5b57\u6bcd\u72b6\u6001<\/strong><\/th>\u635f\u76ca\u5f52\u56e0<\/strong><\/th><\/tr><\/thead>
    1. \u5165\u573a<\/td>\u4e70\u516510\u5f20\u5e73\u503c\u8de8\u5f0f\u7ec4\u5408\uff0c\u9690\u542b\u6ce2\u52a8\u738716%\u3002\u505a\u7a7a\u6807\u7684\u8d44\u4ea7\u4f7f\u51c0Delta\u5f52\u96f6<\/td>\u0394=0\uff0c\u0393=+\u591a\u5934\uff0c\u0398=\u2212$X\/\u5929<\/td>Delta\u4e2d\u6027\u3002\u6301\u6709\u51f8\u6027\u3002\u6bcf\u5929\u652f\u4ed8Theta\u79df\u91d1<\/td><\/tr>
    2. \u6807\u7684+1%<\/td>\u770b\u6da8\u671f\u6743Delta\u4e0a\u5347\u3002\u5934\u5bf8\u73b0\u5728\u591a\u4e86\u7ea630\u0394\u3002\u5356\u51fa\u6807\u7684\u8d44\u4ea7\u91cd\u65b0\u5c55\u5e73<\/td>Gamma\u5c06Delta\u5411\u4e0a”\u62c9”<\/td>\u5012\u4e09\u89d2\u6536\u76ca = \u0393\u00b7\u0394S\u00b2\u3002\u5356\u5728\u9ad8\u70b9\u3002\u9501\u5b9a\u51f8\u6027\u6536\u76ca<\/td><\/tr>
    3. \u53cd\u8f6c\u22121%<\/td>Delta\u56de\u843d\u81f3\u63a5\u8fd1\u96f6\u3002\u4e70\u5165\u6807\u7684\u8d44\u4ea7\u91cd\u65b0\u4e2d\u6027\u5316<\/td>\u7b2c\u4e8c\u6b21\u5012\u4e09\u89d2\uff1a\u4e70\u5728\u4f4e\u70b9<\/td>\u6bcf\u8f6e\u632f\u8361\u4ea7\u751f\u4e00\u6b21\u6536\u5272\u3002\u5f80\u8fd4\u51c0\u6536\u76ca = 2\u00d7\u00bd\u0393\u00b7\u0394S\u00b2 \u2212 Theta\u6210\u672c<\/td><\/tr>
    4. \u5230\u671f\u7ed3\u7b97<\/td>\u6c47\u603b\u6240\u6709\u5012\u4e09\u89d2\u6536\u76ca vs. \u603bTheta\u652f\u51fa<\/td>\u5224\u65ad\u95e8\uff1a\u03c3\u5b9e\u9645<\/sub> > \u03c3\u9690\u542b<\/sub><\/td>\u82e5\u5b9e\u9645\u6ce2\u52a8\u7387 > 16%\u9690\u542b\u5165\u573a\u4ef7\uff1a\u51c0\u6b63\u6536\u76ca\u3002\u5426\u5219\uff1a\u51c0\u4e8f\u635f<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    \u6700\u5173\u952e\u7684\u89c2\u5bdf\u662f\uff1a\u5012\u4e09\u89d2\u4ea4\u6613\u8005\u5728\u4e0a\u6da8\u65f6\u5356\u51fa\u3001\u5728\u4e0b\u8dcc\u65f6\u4e70\u5165\u3002<\/strong>\u8fd9\u548c\u8d8b\u52bf\u8ddf\u8e2a\u662f\u6570\u5b66\u4e0a\u7684\u53cd\u9762\u3002\u8fd9\u4e0d\u662f\u98ce\u683c\u9009\u62e9\uff0c\u800c\u662f\u591a\u5934Gamma\u7684\u673a\u68b0\u7ed3\u679c\u3002\u5f53\u6807\u7684\u4e0a\u6da8\u65f6\uff0c\u6b63Gamma\u610f\u5473\u7740\u4f60\u7684\u591a\u5934Delta\u589e\u957f\u5230\u4e2d\u6027\u4e4b\u4e0a\uff0c\u4f60\u5fc5\u987b\u5356\u51fa\u624d\u80fd\u91cd\u65b0\u5c55\u5e73\u3002\u5f53\u5b83\u4e0b\u8dcc\u65f6\uff0c\u4f60\u5fc5\u987b\u4e70\u5165\u3002\u6bcf\u4e00\u6b21\u8d85\u8fc7\u76c8\u4e8f\u5e73\u8861\u70b9\u7684\u632f\u8361\u90fd\u4f1a\u4ea7\u751f\u51c0\u6b63\u635f\u76ca\u3002<\/p>\n\n\n\n
    Citadel Securities\u3001\u7b80\u8857\u548cSIG\u7b49\u4e13\u4e1a\u4ea4\u6613\u53f0\u901a\u5e38\u6bcf\u5929\u91cd\u65b0\u5bf9\u51b24-8\u6b21<\/strong>\uff0c\u4f7f\u7528\u9608\u503c\u89e6\u53d1\u800c\u975e\u56fa\u5b9a\u65f6\u95f4\u95f4\u9694\u3002\u7814\u7a76\u8868\u660e\uff0c\u56fa\u5b9aDelta\u9608\u503c\u5728\u8d8b\u52bf\u884c\u60c5\u4e2d\u4f18\u4e8e\u56fa\u5b9a\u65f6\u95f4\u95f4\u9694\uff0c\u56e0\u4e3a\u5b83\u80fd\u5728\u91cd\u7f6e\u524d\u6355\u6349\u66f4\u5927\u7684\u6ce2\u52a8\u3002\u5927\u591a\u6570\u673a\u6784\u4ea4\u6613\u53f0\u91c7\u7528\u6df7\u5408\u7cfb\u7edf\uff1a\u56fa\u5b9a\u95f4\u9694\u4e3a\u57fa\u51c6\uff0c\u5927\u6ce2\u52a8\u65f6\u9608\u503c\u89e6\u53d1\u8986\u76d6\u3002<\/p>\n\n\n\n
    \n
    \u901a\u4fd7\u7406\u89e3\uff1a<\/strong>\u60f3\u8c61\u4f60\u7ad9\u5728\u4e00\u6761\u6643\u52a8\u7684\u7532\u677f\u4e0a\u3002\u591a\u5934Gamma\u5c31\u50cf\u4e00\u4e2a\u81ea\u52a8\u5e73\u8861\u5668\u2014\u2014\u7532\u677f\u5f80\u5de6\u503e\u659c\uff0c\u4f60\u81ea\u52a8\u5f80\u53f3\u79fb\uff1b\u5f80\u53f3\u503e\u659c\uff0c\u4f60\u5f80\u5de6\u79fb\u3002\u6bcf\u6b21\u6446\u52a8\u4f60\u90fd\u80fd”\u8d5a\u4e00\u7b14”\u2014\u2014\u524d\u63d0\u662f\u7532\u677f\u6643\u52a8\u5f97\u8db3\u591f\u5267\u70c8\uff0c\u8db3\u4ee5\u8986\u76d6\u4f60”\u7ad9\u5728\u8fd9\u8258\u8239\u4e0a\u7684\u8239\u7968\u94b1”\uff08Theta\uff09\u3002\u7532\u677f\u6643\u5f97\u8d8a\u5389\u5bb3\uff0c\u4f60\u8d5a\u5f97\u8d8a\u591a\uff1b\u7532\u677f\u7eb9\u4e1d\u4e0d\u52a8\uff0c\u4f60\u5c31\u4e00\u76f4\u4e8f\u8239\u7968\u94b1\u3002<\/p>\n<\/blockquote>\n\n\n\n
    \u4e94\u3001True Partner Capital\uff1a\u4e00\u7ebf\u5b9e\u8df5\u8005\u7684\u771f\u5b9e\u544a\u767d<\/strong><\/h2>\n\n\n\n
    True Partner Capital\u662f\u4e00\u5bb6\u4e13\u6ce8\u4e8e\u6ce2\u52a8\u7387\u5957\u5229\u7684\u57fa\u91d1\uff0c\u5176\u8054\u5408\u521b\u59cb\u4eba\u5728\u671f\u6743\u505a\u5e02\u9886\u57df\u6df1\u8015\u8fd1\u4e09\u5341\u5e74\uff0c\u5305\u62ecGovert Heijboer\u5728\u963f\u59c6\u65af\u7279\u4e39Saen Options\u7684\u5de5\u4f5c\u7ecf\u5386\uff1a2003\u5e74\u4ee5\u4ea4\u6613\u5458\/\u7814\u7a76\u5458\u8eab\u4efd\u52a0\u5165\uff0c2007\u5e74\u5347\u4efb\u884d\u751f\u54c1\u4ea4\u6613\u603b\u76d1\uff0c2008\u5e74\u8d74\u9999\u6e2f\u521b\u5efaSaen Options\u4e9a\u6d32\u4e1a\u52a1\u3002<\/p>\n\n\n\n
    \u5728\u300a\u5bf9\u51b2\u57fa\u91d1\u6742\u5fd7\u300b\u7684\u4e13\u8bbf\u4e2d\uff0c\u8054\u5408\u521b\u59cb\u4ebaTobias Hekster\u7528\u6700\u76f4\u767d\u7684\u65b9\u5f0f\u9053\u51fa\u4e86\u8fd9\u4e2a\u7b56\u7565\u7684\u6838\u5fc3\u601d\u7ef4\u6a21\u5f0f\uff1a<\/p>\n\n\n\n
    \n
    “\u6211\u4eec\u59cb\u7ec8\u5728\u4f30\u7b97\u4ec0\u4e48\u662f\u5df2\u7ecf\u5b9a\u4ef7\u7684\uff0c\u4ee5\u53ca\u9690\u542b\u6ce2\u52a8\u7387\u548c\u5b9e\u9645\u6ce2\u52a8\u7387\u4e4b\u95f4\u7684\u5173\u7cfb\u4e2d\u4ec0\u4e48\u662f\u504f\u8d35\u6216\u504f\u4fbf\u5b9c\u7684\u3002\u9ab0\u5b50\u4e00\u76f4\u5728\u6d17\uff0c\u5b9e\u9645\u6ce2\u52a8\u7387\u5e94\u8be5\u548c\u9690\u542b\u6ce2\u52a8\u7387\u76f8\u5173\u8054\uff0c\u4f46\u6211\u4eec\u59cb\u7ec8\u5728\u6743\u8861\u90a3\u4e9b\u53ef\u80fd\u6253\u7834\u8fd9\u79cd\u5173\u8054\u7684\u56e0\u7d20\u3002”<\/p>\n\n\n\n
    \u2014\u2014 Tobias Hekster\uff0cTrue Partner Capital\u8054\u5408\u521b\u59cb\u4eba<\/strong><\/p>\n<\/blockquote>\n\n\n\n
    \u8fd9\u6bb5\u8bdd\u63ed\u793a\u4e86\u6ce2\u52a8\u7387\u4ea4\u6613\u7684\u6838\u5fc3\u77db\u76fe\uff1a\u7406\u8bba\u544a\u8bc9\u4f60\u9690\u542b\u6ce2\u52a8\u7387\u548c\u5b9e\u9645\u6ce2\u52a8\u7387\u5e94\u8be5\u8d8b\u540c\uff0c\u4f46\u771f\u5b9e\u5e02\u573a\u4e2d\u603b\u6709\u4ec0\u4e48\u4e1c\u897f\u4f1a\u8ba9\u5b83\u4eec\u80cc\u79bb\uff0c\u800c\u4f60\u7684\u5de5\u4f5c\u5c31\u662f\u627e\u51fa\u90a3\u4e9b”\u4ec0\u4e48\u4e1c\u897f”\uff0c\u5e76\u5224\u65ad\u80cc\u79bb\u7684\u65b9\u5411\u3002\u7b56\u7565\u901a\u8fc7Delta\u5bf9\u51b2\u6765\u6d88\u9664\u65b9\u5411\u6027\u655e\u53e3\uff0c\u4fdd\u6301\u63a5\u8fd1\u96f6\u7684\u51c0Vega\uff0c\u4ece\u6ce2\u52a8\u7387\u66f2\u9762\u5185\u90e8\u548c\u4e4b\u95f4\u7684\u76f8\u5bf9\u5173\u7cfb\u53d8\u5316\u4e2d\u4ea7\u751f\u635f\u76ca\uff0c\u6b63\u662f\u516c\u5f0f\u5728\u9690\u542b\u6ce2\u52a8\u7387\u548c\u5b9e\u9645\u6ce2\u52a8\u7387\u540c\u65f6\u8de8\u5e02\u573a\u80cc\u79bb\u65f6\u521b\u9020\u7684\u4ea4\u53c9Gamma\u548c\u4ea4\u53c9Vega\u673a\u4f1a\u3002<\/p>\n\n\n\n
    \u8be5\u56e2\u961f”\u5168\u5929\u50195\/24\u4ea4\u6613\uff0c\u7b56\u7565\u8986\u76d6\u7f8e\u56fd\u3001\u6b27\u6d32\u548c\u4e9a\u6d32\u5e02\u573a\u7684\u6807\u51c6\u548c\u76d8\u540e\u4ea4\u6613\u65f6\u6bb5”\uff0c\u8fd9\u662f\u6301\u7eed\u6536\u5272\u4e00\u4e2a\u4e0d\u5c0a\u91cd\u65f6\u533a\u7684\u6ce2\u52a8\u7387\u6ea2\u4ef7\u7684\u552f\u4e00\u65b9\u5f0f\u3002<\/p>\n\n\n\n
    \u516d\u3001\u7b80\u8857\u3001SEBI\u4e0e43\u4ebf\u7f8e\u5143\uff1a\u6700\u6df1\u5ea6\u7684\u673a\u6784\u5b9e\u76d8\u5256\u6790<\/strong><\/h2>\n\n\n\n
    \u5173\u4e8e\u6210\u719f\u6ce2\u52a8\u7387\u7b56\u7565\u5b9e\u9645\u5982\u4f55\u6267\u884c\uff0c\u6700\u4e30\u5bcc\u7684\u516c\u5f00\u8bc1\u636e\u6765\u81ea\u4e00\u4e2a\u610f\u60f3\u4e0d\u5230\u7684\u6765\u6e90\uff1a\u4e00\u4efd105\u9875\u7684SEBI\uff08\u5370\u5ea6\u8bc1\u5238\u4ea4\u6613\u59d4\u5458\u4f1a\uff09\u4e34\u65f6\u547d\u4ee4\u548c\u4e00\u6869\u66fc\u54c8\u987f\u8054\u90a6\u6cd5\u9662\u8bc9\u8bbc\u6848\u2014\u2014\u5b83\u4eec\u5171\u540c\u63d0\u4f9b\u4e86\u5bf9\u4e00\u4e2a43\u4ebf\u7f8e\u5143\u671f\u6743\u64cd\u4f5c\u7684\u53f2\u65e0\u524d\u4f8b\u7684\u5b9e\u76d8\u89e3\u5256\u3002<\/p>\n\n\n\n
    \u6848\u4ef6\u80cc\u666f<\/strong><\/h3>\n\n\n\n
    2024\u5e744\u6708\uff0c\u7b80\u8857\u8d77\u8bc9Millennium Management\uff0c\u6307\u63a7\u4e24\u540d\u4ea4\u6613\u5458\uff1aDouglas Schadewald\u548cDaniel Spottiswood\uff0c\u5e26\u8d70\u4e86\u4e00\u4e2a\u4ef7\u503c10\u4ebf\u7f8e\u5143\u7684\u671f\u6743\u7b56\u7565\uff08\u4ec52023\u5e74\u5229\u6da6\u5c31\u8fbe10\u4ebf\u7f8e\u5143\uff09\u3002Millennium\u8fa9\u79f0\u8be5\u7b56\u7565\u662f”\u6559\u79d1\u4e66\u7ea7\u522b\u7684\u5e38\u89c4\u64cd\u4f5c”\uff0c\u4e0d\u6784\u6210\u5546\u4e1a\u79d8\u5bc6\u3002\u7b80\u8857\u5219\u5f15\u7528\u4e86Schadewald\u5165\u804c\u524d\u7684\u804a\u5929\u8bb0\u5f55\u4f5c\u4e3a\u53cd\u51fb\uff1a”\u90a3\u4e9b\u4eba\uff08\u5728Millennium\uff09\u8d5a\u4e0d\u5230\u94b1\uff0c\u56e0\u4e3a\u4ed6\u4eec\u90fd\u5728\u505a\u540c\u6837\u611a\u8822\u7684\u7b56\u7565\u3002<\/em>“\u6848\u4ef6\u4e8e2024\u5e7412\u6708\u548c\u89e3\u3002<\/p>\n\n\n\n
    \u8fd9\u6869\u8bc9\u8bbc\u5f15\u8d77\u4e86SEBI\u5bf9\u7b80\u8857\u5370\u5ea6\u4e1a\u52a1\u7684\u5173\u6ce8\u30022023\u5e741\u6708\u81f32025\u5e743\u6708\u671f\u95f4\uff0c\u7b80\u8857\u5728\u5370\u5ea6\u884d\u751f\u54c1\u5e02\u573a\u7d2f\u8ba1\u83b7\u5229\u7ea63650\u4ebf\u5362\u6bd4\uff0843\u4ebf\u7f8e\u5143\uff09<\/strong>\u30022025\u5e747\u6708\uff0cSEBI\u53d1\u5e03105\u9875\u4e34\u65f6\u547d\u4ee4\uff0c\u4ee5\u64cd\u7eb5\u6307\u6570\u4e3a\u7531\u6682\u65f6\u7981\u6b62\u7b80\u8857\u8fdb\u5165\u5370\u5ea6\u5e02\u573a\uff0c\u540c\u65f6\u8981\u6c42\u5176\u5c06484\u4ebf\u5362\u6bd4\uff08\u7ea65.7\u4ebf\u7f8e\u5143\uff09<\/strong>\u7684”\u975e\u6cd5\u6240\u5f97”\u5b58\u5165\u6258\u7ba1\u8d26\u6237\u3002<\/p>\n\n\n\n
    2024\u5e741\u670817\u65e5\uff1a\u7b80\u8857\u5355\u65e5\u6700\u5927\u83b7\u5229\u65e5<\/strong><\/h3>\n\n\n\n
    SEBI\u547d\u4ee4\u62ab\u9732\u7684\u6267\u884c\u7ec6\u8282\u8fbe\u5230\u4e86\u6cd5\u533b\u7ea7\u522b\u7684\u7cbe\u5ea6\uff1a<\/p>\n\n\n\n
      \n
    • 1<\/strong>\u4e0a\u5348\u65f6\u6bb5\uff0809:15-11:47\uff09\uff1a<\/strong>\u7b80\u8857\u6210\u4e3aBank Nifty\u6210\u5206\u80a1\u548c\u671f\u8d27\u7684\u6700\u5927\u51c0\u4e70\u5165\u65b9\uff0c\u5408\u8ba1\u8d2d\u51654370\u4ebf\u5362\u6bd4\uff0c\u652f\u6491\u6307\u6570\u4e0a\u884c\u3002\u540c\u65f6<\/strong>\uff0c\u4ed6\u4eec\u5927\u89c4\u6a21\u6784\u5efa\u770b\u8dcc\u671f\u6743\u5934\u5bf8\uff08\u4e70\u5165\u8ba4\u6cbd\u3001\u5356\u51fa\u8ba4\u8d2d\uff09\uff0c\u73b0\u91d1\u7b49\u503c\u655e\u53e332115\u4ebf\u5362\u6bd4\uff0c\u5728\u81ea\u8eab\u4e0a\u5348\u63a8\u9ad8\u7684\u4ef7\u683c\u6c34\u5e73\u4e0a\u505a\u7a7a\u3002<\/li>\n\n\n\n
    • 2<\/strong>\u5348\u540e\u65f6\u6bb5\uff0811:49-15:30\uff09\uff1a<\/strong>\u4ed6\u4eec\u53cd\u8f6c\u64cd\u4f5c\uff0c\u629b\u51fa\u4e0a\u5348\u7684\u80a1\u7968\u548c\u671f\u8d27\u6301\u4ed3\uff0c\u63a8\u52a8\u6307\u6570\u4e0b\u884c\u3002<\/li>\n\n\n\n
    • 3<\/strong>\u7ed3\u7b97\uff1a<\/strong>\u73b0\u91d1\u4ea4\u6613\u51c0\u4e8f\u635f61.6\u4ebf\u5362\u6bd4\uff1b\u671f\u6743\u5934\u5bf8\u51c0\u83b7\u5229734.93\u4ebf\u5362\u6bd4\uff1b\u5355\u65e5\u51c0\u5229\u6da6\u7ea68450\u4e07\u7f8e\u5143\u3002<\/strong><\/li>\n<\/ul>\n\n\n\n
      SEBI\u53d1\u73b0\uff0c\u7b80\u8857\u7684\u671f\u6743\u5934\u5bf8\u5728Delta\u7b49\u503c\u65b9\u9762\u662f\u5176\u80a1\u7968\u548c\u671f\u8d27\u5934\u5bf8\u76847.3\u500d<\/strong>\uff0c\u5bf9\u4e8e\u7eafDelta\u4e2d\u6027\u5957\u5229\u800c\u8a00\u6781\u4e0d\u5bfb\u5e38\u3002<\/p>\n\n\n\n
      \n
      \u91cd\u8981\u80cc\u666f\uff1a<\/strong>\u7b80\u8857\u5df2\u5bf9SEBI\u7684\u5168\u90e8\u6307\u63a7\u63d0\u51fa\u5f02\u8bae\uff0c\u5e76\u53d1\u5e03\u5185\u90e8\u4fe1\u5426\u8ba4\u64cd\u7eb5\u5e02\u573a\uff0c\u79f0\u516c\u53f8\u58f0\u8a89\u88ab”\u9519\u8bef\u6216\u6beb\u65e0\u4f9d\u636e\u7684\u62a5\u544a\u6240\u73b7\u6c61”\u3002\u7b80\u8857\u5728NPR\u7684Planet Money\u8282\u76ee\u4e2d\u5c06\u81ea\u8eab\u6d3b\u52a8\u5b9a\u6027\u4e3a\u5408\u6cd5\u5957\u5229\uff1a”\u5982\u679c\u6ca1\u6709\u50cf\u7b80\u8857\u8fd9\u6837\u7684\u53c2\u4e0e\u8005\uff0c\u5370\u5ea6\u884d\u751f\u54c1\u5e02\u573a\u548c\u5e95\u5c42\u7ecf\u6d4e\u4e4b\u95f4\u5c06\u4e0d\u5b58\u5728\u7ecf\u6d4e\u8054\u7cfb\u3002”\u6848\u4ef6\u4ecd\u5728\u5ba1\u7406\u4e2d\uff0c\u7b80\u8857\u5df2\u4e8e2025\u5e747\u6708\u6309\u8981\u6c42\u5c065.7\u4ebf\u7f8e\u5143\u5b58\u5165\u6258\u7ba1\u8d26\u6237\u540e\u83b7\u51c6\u6062\u590d\u5370\u5ea6\u5e02\u573a\u4ea4\u6613\u3002<\/p>\n<\/blockquote>\n\n\n\n
      \u65e0\u8bba\u4f60\u5c06\u8fd9\u7b14\u4ea4\u6613\u8bfb\u4f5c\u5957\u5229\u8fd8\u662f\u64cd\u7eb5\uff0c\u5176\u6267\u884c\u673a\u5236\u90fd\u7cbe\u786e\u5730\u5c55\u793a\u4e86\u516c\u5f0f\u5728\u673a\u6784\u89c4\u6a21\u4e0a\u7684\u8fd0\u4f5c\u65b9\u5f0f\uff1a\u671f\u6743\u5934\u5bf8\u5c06\u6307\u6570\u6ce2\u52a8\u8d27\u5e01\u5316\uff0c\u5f53\u5929\u7684\u03c3\u5b9e\u9645<\/sub>\u8fdc\u8d85\u4efb\u4f55\u9690\u542b\u65e5\u5ea6\u6ce2\u52a8\uff0c\u800c\u6807\u7684\u80a1\u7968\u5e02\u573a\u7684Delta\u5bf9\u51b2\u662f\u5efa\u7acbDelta\u4e2d\u6027\u4ea4\u6613\u7684\u5de5\u5177\u30027.3:1\u7684\u6bd4\u4f8b\u5728SEBI\u770b\u6765\u8868\u660eDelta\u5bf9\u51b2\u4e0e\u771f\u6b63\u7684\u4e2d\u6027\u9700\u6c42\u4e0d\u76f8\u79f0\u3002\u4f46\u5373\u4fbfSEBI\u81ea\u5df1\u7684\u6570\u636e\u4e5f\u5c55\u793a\u4e86\u57fa\u672c\u7684Gamma\u5012\u4e09\u89d2\u7ed3\u6784\uff1a\u65b9\u5411\u6027\u6807\u7684\u4e0a\u4e8f\u94b1\uff0c\u671f\u6743\u51f8\u6027\u4e0a\u5927\u8d5a\u3002<\/p>\n\n\n\n
      \u66f4\u5b8f\u89c2\u7684\u80cc\u666f\u540c\u6837\u89e6\u76ee\u60ca\u5fc3\uff1a\u5728\u8fd9\u4e00\u5e02\u573a\u4e2d\uff0c\u5916\u56fd\u57fa\u91d1\u548c\u672c\u5730\u81ea\u8425\u516c\u53f8\u622a\u81f32024\u5e743\u6708\u768412\u4e2a\u6708\u5185\u96c6\u4f53\u83b7\u522970\u4ebf\u7f8e\u5143\uff0c\u800c\u6563\u6237\u540c\u671f\u5728\u671f\u8d27\u548c\u671f\u6743\u4ea4\u6613\u4e2d\u4e8f\u635f\u7ea6210\u4ebf\u7f8e\u5143<\/strong>\u3002\u8fd9\u5c31\u662f\u6ce2\u52a8\u7387\u6ea2\u4ef7\u96f6\u548c\u6570\u5b66\u6700\u8d64\u88f8\u7684\u5448\u73b0\u3002<\/p>\n\n\n\n
      \u4e03\u3001Citadel Securities\uff1a\u89c4\u6a21\u672c\u8eab\u5c31\u662f\u6b66\u5668<\/strong><\/h2>\n\n\n\n
      Ken Griffin\u65d7\u4e0b\u7684\u505a\u5e02\u4e1a\u52a1\u662fDelta\u5bf9\u51b2\u635f\u76ca\u516c\u5f0f\u5728\u5de5\u4e1a\u89c4\u6a21\u4e0a\u6700\u663e\u773c\u7684\u8fd0\u8425\u5546\u30022021\u5e742\u670818\u65e5\uff0cGriffin\u5728\u7f8e\u56fd\u4f17\u8bae\u9662\u91d1\u878d\u670d\u52a1\u59d4\u5458\u4f1a\u4f5c\u8bc1\u65f6\u62ab\u9732\uff0cCitadel Securities\u6267\u884c\u4e86\u7f8e\u56fd\u7ea640%<\/strong>\u7684\u96f6\u552e\u80a1\u7968\u4ea4\u6613\u91cf\u3002\u4ec52021\u5e741\u670827\u65e5\u4e00\u5929\u5c31\u5904\u7406\u4e8674\u4ebf\u80a1\uff0c\u8d85\u8fc7\u4e862019\u5e74\u7f8e\u56fd\u6574\u4e2a\u80a1\u7968\u5e02\u573a\u7684\u65e5\u5747\u6210\u4ea4\u91cf\u3002<\/p>\n\n\n\n
      \u6b63\u5982Alexis Goldstein\u5728\u56fd\u4f1a\u8bc1\u8bcd\u4e2d\u6240\u89e3\u91ca\u7684\uff0c\u505a\u5e02\u5546\u7684\u6d41\u91cf\u4ea4\u6613\u53f0”\u5bf9\u4ef7\u683c\u8d70\u52bf\u57fa\u672c\u65e0\u611f\uff1b\u5b83\u4eec\u4ece\u6210\u4ea4\u91cf\u548c\u5e02\u573a\u6ce2\u52a8\u4e2d\u83b7\u5229”\uff0c\u8fd9\u6070\u6070\u662fDelta\u5bf9\u51b2\u8d26\u7c3f\u6700\u76c8\u5229\u7684\u8fd0\u8425\u6761\u4ef6\u30022025\u5e74Q1\uff0cCitadel Securities\u62a5\u544a\u51c0\u4ea4\u6613\u6536\u516534\u4ebf\u7f8e\u5143<\/strong>\uff0c\u540c\u6bd4\u589e\u957f45%<\/strong>\uff0c\u4e3b\u8981\u9a71\u52a8\u529b\u5c31\u662f\u6574\u4e2a\u5b63\u5ea6\u504f\u9ad8\u7684\u5b9e\u9645\u6ce2\u52a8\u7387\u3002<\/p>\n\n\n\n
      \u8fd9\u91cc\u9762\u7684\u903b\u8f91\u94fe\u6761\u975e\u5e38\u6e05\u6670\uff1a\u505a\u5e02\u5546\u7684\u6d41\u91cf\u4ea4\u6613\u53f0\u5bf9\u4ef7\u683c\u65b9\u5411\u4e0d\u654f\u611f\uff0c\u5b83\u4eec\u4ece\u6210\u4ea4\u91cf\u548c\u5e02\u573a\u6ce2\u52a8\u4e2d\u83b7\u5229\u3002\u5f53\u5e02\u573a\u6ce2\u52a8\u52a0\u5267\uff0c\u671f\u6743\u4ea4\u6613\u91cf\u98d9\u5347\uff0c\u505a\u5e02\u5546\u7684Delta\u5bf9\u51b2\u9891\u7387\u968f\u4e4b\u63d0\u9ad8\uff0c\u6bcf\u4e00\u6b21\u5bf9\u51b2\u90fd\u662f\u4e00\u6b21\u5fae\u5c0f\u7684\u5229\u6da6\u6355\u83b7\u2014\u2014\u800c\u5b83\u4eec\u81ea\u5df1\u5c31\u662f\u4e70\u5356\u4ef7\u5dee\u7684\u5236\u5b9a\u8005\uff0c\u4e0d\u9700\u8981\u4e3a\u5bf9\u51b2\u652f\u4ed8\u4ef7\u5dee\u6210\u672c\u3002\u89c4\u6a21\u8d8a\u5927\uff0c\u5bf9\u51b2\u6210\u672c\u8d8a\u4f4e\uff0c\u5229\u6da6\u8d8a\u539a\u3002\u8fd9\u5c31\u662f\u4e3a\u4ec0\u4e48Citadel Securities\u80fd\u5728\u6ce2\u52a8\u7387\u98d9\u5347\u7684\u5b63\u5ea6\u91cc\u8f7b\u677e\u5b9e\u73b0\u521b\u7eaa\u5f55\u7684\u6536\u5165\u3002<\/p>\n\n\n\n
      \u516b\u3001GameStop\u7684Gamma\u6324\u538b\uff1a\u5f53Delta\u5bf9\u51b2\u6210\u4e3a\u5e02\u573a\u66b4\u529b<\/strong><\/h2>\n\n\n\n
      2021\u5e741\u6708\u7684\u4e8b\u4ef6\u63d0\u4f9b\u4e86\u6700\u620f\u5267\u6027\u7684\u516c\u5f00\u6f14\u793a\u2014\u2014\u5f53\u5f3a\u5236\u7684Delta\u5bf9\u51b2\u6d41\u52a8\u538b\u5012\u4e86\u6b63\u5e38\u7684\u5e02\u573a\u529f\u80fd\uff0c\u4f1a\u53d1\u751f\u4ec0\u4e48\u3002<\/p>\n\n\n\n
      Alexis Goldstein\u5728\u7f8e\u56fd\u4f17\u8bae\u9662\u91d1\u878d\u670d\u52a1\u59d4\u5458\u4f1a\u7684\u8bc1\u8bcd\u4e2d\u6e05\u6670\u5730\u89e3\u91ca\u4e86\u673a\u5236\uff1a<\/p>\n\n\n\n
      \n
      “\u5728\u4ea4\u6613\u671f\u6743\u65f6\uff0c\u8bb8\u591a\u534e\u5c14\u8857\u6d41\u91cf\u4ea4\u6613\u53f0\u91c7\u7528\u4e00\u79cd\u88ab\u79f0\u4e3aDelta\u5bf9\u51b2\u7684\u6280\u672f\u2014\u2014\u671f\u6743\u4ea4\u6613\u5458\u8bd5\u56fe\u4f7f\u5176\u6295\u8d44\u7ec4\u5408\u7684\u4ef7\u503c\u514d\u53d7\u80a1\u7968\u4ef7\u683c\u4e0a\u4e0b\u6ce2\u52a8\u7684\u5f71\u54cd\uff1b\u4ed6\u4eec\u901a\u8fc7\u9488\u5bf9\u6240\u4ea4\u6613\u7684\u671f\u6743\u4e70\u5165\u6216\u5356\u51fa\u80a1\u7968\u6765\u5b9e\u73b0\u8fd9\u4e00\u70b9\u3002”<\/p>\n\n\n\n
      \u2014\u2014 Alexis Goldstein\uff0c\u7f8e\u56fd\u91d1\u878d\u6539\u9769\u7ec4\u7ec7\uff0c2021\u5e742\u670818\u65e5\u56fd\u4f1a\u8bc1\u8bcd<\/strong><\/p>\n<\/blockquote>\n\n\n\n
      \u6574\u4e2a\u673a\u5236\u5c31\u662f\u4e00\u4e2a\u6559\u79d1\u4e66\u5f0f\u7684\u6b63\u53cd\u9988Gamma\u6324\u538b\u5faa\u73af\uff1a<\/p>\n\n\n\n
        \n
      • 1<\/strong>\u6563\u6237\u5927\u91cf\u4e70\u5165\u770b\u6da8\u671f\u6743<\/strong>\u2014\u2014GME\u7684\u770b\u6da8\u671f\u6743\u9700\u6c42\u66b4\u589e\u3002<\/li>\n\n\n\n
      • 2<\/strong>\u505a\u5e02\u5546\u5356\u51fa\u770b\u6da8\u671f\u6743\u540e\u53d8\u6210\u7a7a\u5934Gamma<\/strong>\u2014\u2014\u5fc5\u987b\u5728\u80a1\u4ef7\u4e0a\u6da8\u65f6\u4e70\u5165\u80a1\u7968\u6765\u7ef4\u6301Delta\u4e2d\u6027\u3002<\/li>\n\n\n\n
      • 3<\/strong>\u4e70\u5165\u63a8\u9ad8\u80a1\u4ef7<\/strong>\u2014\u2014\u770b\u6da8\u671f\u6743\u7684Delta\u8fdb\u4e00\u6b65\u54111.0\u9760\u62e2\u3002<\/li>\n\n\n\n
      • 4<\/strong>\u9700\u8981\u4e70\u5165\u66f4\u591a\u80a1\u7968<\/strong>\u2014\u2014\u4e0d\u65ad\u5347\u7ea7\u7684\u6b63\u53cd\u9988\u5faa\u73af\u3002<\/li>\n<\/ul>\n\n\n\n
        \u516c\u5f0f\u544a\u8bc9\u4f60\u8fd9\u4f1a\u8d70\u5411\u4f55\u65b9\uff1a\u5bf9\u4e8e\u7a7a\u5934Gamma\u7684\u4ea4\u6613\u53f0\uff0c(\u0394S)\u00b2<\/code>\u65e0\u9650\u589e\u957f\uff0c\u800c\u2212\u00bd\u0393<\/code>\u65e0\u8bba\u65b9\u5411\u5982\u4f55\u90fd\u4ea7\u751f\u590d\u5229\u4e8f\u635f\u3002GME\u4ece2020\u5e7412\u670831\u65e5\u7684$18.84<\/strong>\u98d9\u5347\u81f32021\u5e741\u670828\u65e5\u7684\u76d8\u4e2d\u9ad8\u70b9$483<\/strong>\uff0c\u56db\u5468\u5185\u4e0a\u6da8\u4e862,465%<\/strong>\u3002<\/p>\n\n\n\n
        \u53e6\u4e00\u65b9\u9762\uff0c\u4ee5\u4f4e\u9690\u542b\u6ce2\u52a8\u7387\u63d0\u524d\u5165\u573a\u505a\u591aGamma\u7684\u5934\u5bf8\uff0c\u5728\u5b9e\u9645\u6ce2\u52a8\u7387\u6467\u6bc1\u4e00\u5207\u9690\u542b\u6ce2\u52a8\u7387\u4f30\u8ba1\u7684\u8fc7\u7a0b\u4e2d\uff0c\u83b7\u5f97\u4e86\u60ca\u4eba\u7684Gamma\u5012\u4e09\u89d2\u5229\u6da6\u3002\u800c\u7ad9\u5728\u5bf9\u9762\u7684Melvin Capital\uff0c\u57282021\u5e741\u6708\u4e8f\u635f\u8d85\u8fc750%\u540e\uff0c\u9700\u8981Citadel LLC\u6ce8\u516520\u4ebf\u7f8e\u5143<\/strong>\u7684\u7d27\u6025\u8d44\u91d1\u624d\u5f97\u4ee5\u5b58\u6d3b\u3002<\/p>\n\n\n\n
        \n
        \u6df1\u523b\u6559\u8bad\uff1a<\/strong>Gamma\u6324\u538b\u7684\u6838\u5fc3\u4e0d\u5728\u4e8e”\u6563\u6237\u5927\u6218\u534e\u5c14\u8857”\u7684\u53d9\u4e8b\u2014\u2014\u800c\u5728\u4e8eDelta\u5bf9\u51b2\u7684\u673a\u68b0\u6027\u5f3a\u5236\u3002\u5f53\u7a7a\u5934Gamma\u88ab\u8feb\u884c\u52a8\u65f6\uff0c\u5b83\u4eec\u7684\u65b9\u5411\u4e0e\u4ef7\u683c\u8d70\u52bf\u76f8\u540c\uff1a\u6da8\u7684\u65f6\u5019\u4e0d\u5f97\u4e0d\u8ffd\u7740\u4e70\uff0c\u8dcc\u7684\u65f6\u5019\u4e0d\u5f97\u4e0d\u8ffd\u7740\u5356\u3002\u8fd9\u4e0d\u662f\u9009\u62e9\uff0c\u800c\u662f\u6570\u5b66\u3002\u8fd9\u5c31\u662f\u6b63\u53cd\u9988\u7684\u53ef\u6015\u4e4b\u5904\u2014\u2014\u5b83\u53ef\u4ee5\u8ba9\u4ef7\u683c\u5728\u77ed\u671f\u5185\u8131\u79bb\u4e00\u5207\u57fa\u672c\u9762\u903b\u8f91\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u4e5d\u3001LJM\u7684\u672b\u65e5\uff1a\u7a7a\u5934\u6ce2\u52a8\u7387\u7b56\u7565\u5982\u4f55\u4e24\u5929\u84b8\u53d110\u4ebf\u7f8e\u5143<\/strong><\/h2>\n\n\n\n
        \u5982\u679c\u8bf4GameStop\u5c55\u793a\u4e86Gamma\u6324\u538b\u7684\u5a01\u529b\uff0c\u90a3\u4e48LJM\u57fa\u91d1\u7684\u5d29\u584c\u5219\u63d0\u4f9b\u4e86\u6700\u8be6\u5c3d\u7684\u6cd5\u533b\u7ea7\u6848\u4f8b\uff1a\u65e0\u7ea6\u675f\u7684\u7a7a\u5934Gamma\u5982\u4f55\u5728\u6781\u7aef\u884c\u60c5\u4e2d\u5f7b\u5e95\u5931\u63a7\u3002<\/p>\n\n\n\n
        \u80cc\u666f\uff1a\u6e29\u6c34\u716e\u9752\u86d9<\/strong><\/h3>\n\n\n\n
        LJM\u8fd0\u884c\u7740SEC\u8bc9\u8bbc\u6587\u4ef6\u4e2d\u6240\u63cf\u8ff0\u7684”\u7a7a\u5934\u6ce2\u52a8\u7387\u7b56\u7565”\uff0c\u4f7f\u7528\u4fdd\u8bc1\u91d1\u5356\u51fa\u6807\u666e500\u671f\u8d27\u7684\u865a\u503c\u770b\u6da8\u548c\u770b\u8dcc\u671f\u6743\u3002\u4ece2016\u5e742\u6708\u52302018\u5e742\u6708\uff0cLJM\u7684\u7ba1\u7406\u89c4\u6a21\u4ece\u7ea64.5\u4ebf\u7f8e\u5143<\/strong>\u589e\u957f\u5230\u7ea613\u4ebf\u7f8e\u5143<\/strong>\u3002\u6070\u6070\u56e0\u4e3a\u7a7a\u5934\u6ce2\u52a8\u7387\u7684\u6536\u76ca\u7a33\u5b9a\uff0c\u6295\u8d44\u8005\u8d8a\u6765\u8d8a\u653e\u5fc3\u3002\u57fa\u91d1\u7ecf\u7406Anthony Caine\u548cAnish Parvataneni\u58f0\u79f0\u6700\u5dee\u5355\u65e5\u4e8f\u635f\u4e0d\u8d85\u8fc720%\u3002SEC\u540e\u6765\u67e5\u660e\uff0c\u4ed6\u4eec\u5f97\u51fa\u8fd9\u4e2a\u6570\u5b57\u7684\u65b9\u5f0f\u662f\uff1a\u53d6\u5386\u53f2\u4e0a\u6700\u5dee\u5355\u65e5\u4e8f\u635f\u7ea69%\uff0c\u7ffb\u500d\uff0c\u7136\u540e\u56db\u820d\u4e94\u5165\u3002<\/p>\n\n\n\n
        \u4f60\u6ca1\u770b\u9519\uff1a\u4ed6\u4eec\u7684\u98ce\u9669\u6a21\u578b\u5c31\u662f\u628a\u5386\u53f2\u6700\u5dee\u503c\u7ffb\u4e2a\u500d\u5c31\u5b8c\u4e8b\u4e86\u3002\u8fd9\u5c31\u50cf\u4f60\u8eab\u9ad81\u7c737\uff0c\u7136\u540e\u9884\u6d4b\u4f60\u6700\u591a\u80fd\u957f\u52303\u7c734\uff0c\u9664\u4e86\u6570\u5b66\u4e0a\u4e58\u4e86\u4e2a2\uff0c\u6ca1\u6709\u4efb\u4f55\u4f9d\u636e\u3002<\/p>\n\n\n\n
        2018\u5e742\u67085\u65e5\uff1a\u6ce2\u52a8\u7387\u672b\u65e5\uff08Volmageddon\uff09<\/strong><\/h3>\n\n\n\n
        2018\u5e742\u67085\u65e5\uff0cVIX\u4ece17.31\u98d9\u5347\u81f3\u6536\u76d8\u768437.32\uff0c\u5355\u65e5\u6da8\u5e45115%<\/strong>\uff0cVIX\u5386\u53f2\u4e0a\u6700\u5927\u5355\u65e5\u6da8\u5e45\uff1a\u76d8\u540e\u4e00\u5ea6\u7a81\u783450\u3002<\/p>\n\n\n\n
        LJM\u7684CEO Anthony Caine\u57282\u67089\u65e5\u5199\u7ed9\u5ba2\u6237\u7684\u4fe1\u4e2d\u627f\u8ba4\uff1a<\/p>\n\n\n\n
        \n
        “\u6ce2\u52a8\u7387\u548c\u671f\u6743\u5e02\u573a\u7ecf\u5386\u4e86\u4e00\u4e2a\u6781\u7aef\u7684\u5f02\u5e38\u4e8b\u4ef6\u2026\u2026\u5468\u4e00\u7684\u4e8f\u635f\u5982\u6b64\u4e25\u91cd\uff0c\u662f\u56e0\u4e3a\u6ce2\u52a8\u7387\u5728\u4e0b\u5348\u5448\u6307\u6570\u7ea7\u98d9\u5347\uff0c\u5e02\u573a\u7684\u4e25\u91cd\u6d41\u52a8\u6027\u4e0d\u8db3\u6781\u5927\u5730\u9650\u5236\u4e86LJM\u964d\u4f4e\u98ce\u9669\u7684\u80fd\u529b\u3002”<\/p>\n\n\n\n
        \u2014\u2014 Anthony Caine\uff0cLJM CEO\uff0c2018\u5e742\u67089\u65e5\u6295\u8d44\u8005\u4fe1<\/strong><\/p>\n<\/blockquote>\n\n\n\n
        \u6839\u636e\u6ce2\u52a8\u7387\u4e13\u5bb6Harel Jacobson\u7684\u8bb0\u5f55\uff0cLJM\u57282\u67085\u65e5\u4e8f\u635f\u8d85\u8fc750%\u3002SEC\u7684\u8bc9\u8bbc\u786e\u8ba4\uff0c\u8d85\u8fc780%\u7684\u603b\u6e05\u96f6\u53d1\u751f\u5728\u77ed\u77ed\u4e24\u4e2a\u4ea4\u6613\u65e5<\/strong>\u2014\u20142\u67085\u65e5\u548c6\u65e5\u2014\u2014\u56e0\u4e3a2\u67086\u65e5\u5728\u6781\u5176\u4e0d\u5229\u7684\u4ef7\u683c\u4e0a\u7684\u5f3a\u5236\u6e05\u76d8\u52a0\u5267\u4e86\u521d\u59cb\u7206\u4ed3\u7684\u635f\u5931\u3002\u6240\u6709LJM\u57fa\u91d1\u7684\u6295\u8d44\u8005\u603b\u4e8f\u635f\u8d85\u8fc710\u4ebf\u7f8e\u5143<\/strong>\u3002SEC\u548cCFTC\u968f\u540e\u63d0\u8d77\u4e86\u8bc9\u8bbc\uff0c\u9996\u5e2d\u98ce\u9669\u5b98\u6700\u7ec8\u548c\u89e3\u3002<\/p>\n\n\n\n
        \u7528\u516c\u5f0f\u89e3\u5256LJM\u7684\u6b7b\u4ea1<\/strong><\/h3>\n\n\n\n
        LJM\u7684\u6301\u4ed3\u57282\u67085\u65e5\u8fdb\u5165\u65f6\u7684\u72b6\u6001\uff1a**\u8d1fGamma**\uff08\u5356\u51fa\u671f\u6743\uff09\u3001**\u03c3\u9690\u542b \u2248 10-12%**\uff08\u6807\u666e500\u5165\u573a\u65f6\u7684\u6ce2\u52a8\u7387\uff09\u3001**\u03c3\u5b9e\u9645 \u2248 100%+**\uff08\u5f53\u5929\u5e74\u5316\u7b49\u503c\uff09\u3002\u4ee3\u5165\u635f\u76ca\u516c\u5f0f\uff1a<\/p>\n\n\n\n
        LJM\u7684\u516c\u5f0f\u6b7b\u4ea1\u8ba1\u7b97<\/strong>\n\u00bd\u0393 \u00b7 S\u00b2 \u00b7 \u0394t \u00b7 (\u03c3\u5b9e\u9645<\/sub>\u00b2 \u2212 \u03c3\u9690\u542b<\/sub>\u00b2)\n= [\u8d1f\u6570] \u00b7 [\u5de8\u5927] \u00b7 (100\u00b2 \u2212 12\u00b2)\n= [\u8d1f\u6570] \u00b7 [\u5de8\u5927] \u00b7 (10000 \u2212 144)\n= \u707e\u96be\u6027\u7684\u8d1f\u635f\u76ca\uff0c\u4e14\u6ca1\u6709\u786c\u6027\u4e0b\u9650<\/strong>\n\n\u00bd\u0393\u9879\u672c\u8eab\u5c31\u662f\u8d1f\u6570(\u03c3\u5b9e\u9645<\/sub>\u00b2 \u2212 \u03c3\u9690\u542b<\/sub>\u00b2) = (10000 \u2212 144) \u2014\u2014 \u4e00\u4e2a\u5929\u6587\u6570\u5b57\n\u4e24\u8005\u7684\u4e58\u79ef\u4ea7\u751f\u4e86\u6ca1\u6709\u5e95\u7ebf\u7684\u52a0\u901f\u4e8f\u635f<\/strong><\/code><\/pre>\n\n\n\n
        \u8fd9\u5c31\u662f\u6bcf\u4e00\u4e2a\u6760\u6746\u7a7a\u5934Gamma\u8d26\u7c3f\u4e2d\u5185\u7f6e\u7684\u7ed3\u6784\u6027\u5fc5\u7136\u3002\u516c\u5f0f\u4e0d\u4f1a\u8ddf\u4f60\u5546\u91cf\uff0c\u4e5f\u4e0d\u4f1a\u7ed9\u4f60\u7b2c\u4e8c\u6b21\u673a\u4f1a\u3002\u5f53\u03c3\u5b9e\u9645<\/sub>\u00b2\u98d9\u5347\u5230\u03c3\u9690\u542b<\/sub>\u00b2\u7684\u8fd1\u767e\u500d\u65f6\uff0c\u8d1fGamma\u4e58\u4ee5\u5de8\u5927\u7684\u6ce2\u52a8\u7387\u5dee\u503c\u2014\u2014\u4e8f\u635f\u52a0\u901f\uff0c\u6ca1\u6709\u5e95\u7ebf\u3002<\/p>\n\n\n\n
        \n
        \u8840\u6cea\u6559\u8bad\uff1a<\/strong>LJM\u7684\u98ce\u9669\u7ba1\u7406\u672c\u8d28\u4e0a\u662f\u7528\u540e\u89c6\u955c\u5f00\u8f66\uff1a\u53ea\u770b\u5386\u53f2\u6700\u5dee\u60c5\u51b5\u6765\u4f30\u7b97\u672a\u6765\u6700\u5927\u98ce\u9669\u3002\u4f46\u91d1\u878d\u5e02\u573a\u7684\u81f4\u547d\u6253\u51fb\u4ece\u6765\u4e0d\u662f\u5386\u53f2\u7684\u91cd\u590d\uff0c\u800c\u662f\u5386\u53f2\u7684\u65ad\u88c2\u3002\u5f53\u4f60\u5356\u51fa\u671f\u6743\u3001\u6536\u53d6\u4fdd\u8d39\u65f6\uff0c\u4f60\u6bcf\u5929\u7684\u6536\u76ca\u662f\u6709\u9650\u4e14\u56fa\u5b9a\u7684\uff0c\u4f46\u4f60\u53ef\u80fd\u7684\u4e8f\u635f\u662f\u6ca1\u6709\u4e0a\u9650\u7684\u3002\u8fd9\u4e0d\u662f\u6982\u7387\u95ee\u9898\uff0c\u8fd9\u662f\u7ed3\u6784\u95ee\u9898\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u5341\u3001\u591a\u5934Gamma vs \u7a7a\u5934Gamma\uff1a\u4e0d\u5bf9\u79f0\u7684\u56de\u62a5\u67b6\u6784<\/strong><\/h2>\n\n\n\n
        \u7406\u89e3\u4e86\u516c\u5f0f\u548c\u6848\u4f8b\uff0c\u8ba9\u6211\u4eec\u628a\u591a\u5934Gamma\u548c\u7a7a\u5934Gamma\u653e\u5728\u4e00\u8d77\u505a\u4e00\u4e2a\u7cfb\u7edf\u6027\u5bf9\u6bd4\uff0c\u8fd9\u662f\u7406\u89e3\u6574\u4e2a\u6ce2\u52a8\u7387\u4ea4\u6613\u751f\u6001\u7684\u5173\u952e\uff1a<\/p>\n\n\n\n
        \"\"<\/figure>\n\n\n\n
        \u5bf9\u6bd4\u7ef4\u5ea6<\/strong><\/th>\u591a\u5934Gamma<\/strong><\/th>\u7a7a\u5934Gamma<\/strong><\/th><\/tr><\/thead>
        \u65e5\u5e38\u72b6\u6001<\/td>\u6301\u7eed\u4e8f\u635f\uff08\u652f\u4ed8Theta\uff09<\/td>\u6301\u7eed\u76c8\u5229\uff08\u6536\u53d6\u6743\u5229\u91d1\uff09<\/td><\/tr>
        \u6781\u7aef\u884c\u60c5<\/td>\u5229\u6da6\u52a0\u901f\uff0c\u7406\u8bba\u4e0a\u65e0\u4e0a\u9650<\/td>\u4e8f\u635f\u52a0\u901f\uff0c\u7406\u8bba\u4e0a\u65e0\u4e0b\u9650<\/td><\/tr>
        \u6700\u5927\u4e8f\u635f<\/td>\u5df2\u652f\u4ed8\u7684\u6743\u5229\u91d1<\/td>\u53ef\u80fd\u8fdc\u8d85\u6536\u53d6\u7684\u6743\u5229\u91d1<\/td><\/tr>
        \u56de\u62a5\u504f\u6001<\/td>\u6b63\u504f\u6001\uff08\u5c0f\u4e8f\u5927\u8d5a\uff09<\/td>\u8d1f\u504f\u6001\uff08\u5c0f\u8d5a\u5927\u4e8f\uff09<\/td><\/tr>
        \u9002\u5408\u73af\u5883<\/td>\u9ad8\u6ce2\u52a8\u7387\u4f53\u5236<\/td>\u4f4e\u6ce2\u52a8\u7387\u4f53\u5236<\/td><\/tr>
        \u5fc3\u7406\u96be\u5ea6<\/td>\u71ac\u5f97\u4f4f\u65e5\u5e38\u4e8f\u635f<\/td>\u625b\u5f97\u4f4f\u6781\u7aef\u51b2\u51fb<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
        \n
        \u8001\u4f59\u7684\u7406\u89e3\uff1a<\/strong>\u591a\u5934Gamma\u548c\u7a7a\u5934Gamma\u4e0d\u662f\u975e\u6b64\u5373\u5f7c\u7684\u9009\u62e9\u2014\u2014\u6210\u719f\u7684\u6ce2\u52a8\u7387\u7b56\u7565\u662f\u53cc\u8f68\u5236\u7684\u3002Capstone\u7684CVM\u57fa\u91d1\u5c31\u662f\u6700\u597d\u7684\u4f8b\u5b50\uff1a\u4f4e\u6ce2\u52a8\u7387\u65f6\u5356\u671f\u6743\u6536\u4fdd\u8d39\uff0c\u9ad8\u6ce2\u52a8\u7387\u65f6\u4e70\u671f\u6743\u6536\u5272\u51f8\u6027\u3002\u5173\u952e\u4e0d\u662f\u9009\u8fb9\u7ad9\uff0c\u800c\u662f\u5224\u65ad\u4f60\u6240\u5904\u7684”\u6ce2\u52a8\u7387\u4f53\u5236”\uff0c\u5e76\u5728\u6b63\u786e\u7684\u4f53\u5236\u4e2d\u8fd0\u884c\u6b63\u786e\u7684\u8f68\u9053\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u5341\u4e00\u3001\u5b66\u672f\u8bc1\u636e\uff1a10958\u53ea\u57fa\u91d1\u5230\u5e95\u5728\u5e72\u4ec0\u4e48<\/strong><\/h2>\n\n\n\n
        \u6700\u4e25\u8c28\u7684\u91cf\u5316\u9a8c\u8bc1\u6765\u81eaFays\u3001H\u00fcbner\u548cLambert\u7684\u8bba\u6587\u300a\u5bf9\u51b2\u57fa\u91d1\u4e2d\u7684Gamma\u4ea4\u6613\u6280\u80fd\u300b\uff0c\u4f7f\u7528\u4e86\u6db5\u76d62000-2016\u5e74\u95f410,958\u53ea<\/strong>\u5bf9\u51b2\u57fa\u91d1\u3001632,154\u4e2a<\/strong>\u57fa\u91d1-\u65f6\u6bb5\u89c2\u6d4b\u503c\u7684\u6570\u636e\u5e93\u3002\u6838\u5fc3\u53d1\u73b0\u5982\u4e0b\uff1a<\/p>\n\n\n\n
        \u53d1\u73b0<\/strong><\/th>\u6570\u636e<\/strong><\/th><\/tr><\/thead>
        \u4efb\u4e00\u5e74\u4efd\u4e2d\uff0c\u5bf9\u51b2\u57fa\u91d1\u56de\u62a5\u53ef\u7531\u7b80\u5355\u5e73\u503c\u671f\u6743\u7ec4\u5408\u590d\u5236\u7684\u6bd4\u4f8b<\/td>45%-80%<\/strong><\/td><\/tr>
        \u7ecf\u671f\u6743\u57fa\u51c6\u8c03\u6574\u540e\uff0c\u65e0\u771f\u6b63\u9009\u80a1\u6280\u80fd\u7684\u590d\u5236\u57fa\u91d1\u5360\u6bd4<\/td>30%<\/strong><\/td><\/tr>
        “\u6280\u80fd\u578b”Gamma\uff08\u901a\u8fc7\u591a\u5934\u51f8\u6027\u4ea4\u6613\u7684\u6b63\u5411\u5e02\u573a\u62e9\u65f6\uff09\u4e0e\u672a\u6765\u8d85\u989d\u56de\u62a5\u7684\u5173\u7cfb<\/td>\u5355\u8c03\u6b63\u5411\uff0c\u7edf\u8ba1\u663e\u8457<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
        \u8fd9\u4e09\u6761\u53d1\u73b0\u7684\u542b\u4e49\u975e\u5e38\u6df1\u523b\uff1a\u5927\u91cf\u5bf9\u51b2\u57fa\u91d1\u6240\u8c13\u7684”\u8d85\u989d\u6536\u76ca”\u4e0d\u8fc7\u662f\u672a\u88ab\u8bc6\u522b\u7684Gamma\u655e\u53e3\u3002\u5b83\u4eec\u53ea\u662f\u627f\u62c5\u4e86\u6ce2\u52a8\u7387\u98ce\u9669\uff0c\u5e76\u6ca1\u6709\u5c55\u73b0\u51fa\u771f\u6b63\u7684\u9009\u80a1\u80fd\u529b\u3002\u4e00\u65e6\u7528\u671f\u6743\u57fa\u51c6\u8c03\u6574\u4e1a\u7ee9\uff0c30%\u7684\u57fa\u91d1\u6ca1\u6709\u4efb\u4f55\u8bc1\u636e\u8868\u660e\u5177\u5907\u771f\u6b63\u7684\u9009\u62e9\u6280\u80fd\u3002\u800c”\u6280\u80fd\u578b”Gamma\u2014\u2014\u901a\u8fc7\u591a\u5934\u51f8\u6027\u4ea4\u6613\u8fdb\u884c\u7684\u6b63\u5411\u5e02\u573a\u62e9\u65f6\u2014\u2014\u786e\u5b9e\u80fd\u9884\u6d4b\u672a\u6765\u7684\u4f18\u5f02\u8868\u73b0\uff0c\u800c\u4e14\u8fd9\u79cd\u5173\u7cfb\u662f\u5355\u8c03\u7684\u3001\u7edf\u8ba1\u663e\u8457\u7684\u3002<\/p>\n\n\n\n
        \u65b9\u5dee\u4e92\u6362\uff08Variance Swap\uff09\u2014\u2014\u03c3\u5b9e\u9645<\/sub>\u00b2\u5bf9\u03c3\u9690\u542b<\/sub>\u00b2\u4ea4\u6613\u7684\u7eaf\u5316\u5f62\u5f0f\u2014\u2014\u8ba9\u516c\u5f0f\u53d8\u5f97\u66f4\u52a0\u900f\u660e\u3002\u6b63\u5982Peter Carr\u5728NYU\u5173\u4e8e\u65b9\u5dee\u884d\u751f\u54c1\u7684\u6743\u5a01\u7efc\u8ff0\u4e2d\u6240\u8bb0\u8f7d\u7684\uff0c\u65b9\u5dee\u4e92\u6362\u57281998\u5e74\u51fa\u73b0\uff0c\u90e8\u5206\u539f\u56e0\u5c31\u662f\u5bf9\u51b2\u57fa\u91d1\u53d1\u73b0\u4ee5\u8d85\u8fc7\u8ba1\u91cf\u7ecf\u6d4e\u5b66\u9884\u6d4b\u8fdc\u671f\u5b9e\u9645\u6ce2\u52a8\u7387\u5f88\u5927\u5e45\u5ea6\u7684\u8d39\u7387\u5356\u51fa\u5b9e\u9645\u65b9\u5dee\u662f\u6709\u5438\u5f15\u529b\u7684\u3002\u7b2c\u4e00\u7b14\u6709\u8bb0\u5f55\u7684\u65b9\u5dee\u4e92\u6362\u7531\u745e\u94f6\u5728\u5bcc\u65f6100\u6307\u6570\u4e0a\u6267\u884c\uff0c\u6bcf\u6ce2\u52a8\u7387\u70b9100\u4e07\u82f1\u9551\u2014\u2014\u8fd9\u4e00\u7ed3\u6784\u8ba9\u94f6\u884c\u5bf9\u51b2\u65b9\u5dee\u98ce\u9669\uff0c\u540c\u65f6\u8ba9\u5bf9\u51b2\u57fa\u91d1\u4ee5\u6700\u7eaf\u7cb9\u7684\u5f62\u5f0f\u6536\u53d6\u6301\u7eed\u7684\u9690\u542b\u6ce2\u52a8\u7387\u9ad8\u4e8e\u5b9e\u9645\u6ce2\u52a8\u7387\u7684\u6ea2\u4ef7\u3002<\/p>\n\n\n\n
        \n
        \u6838\u5fc3\u7ed3\u8bba\uff1a<\/strong>\u5f88\u591a\u4f60\u4ee5\u4e3a\u7684”\u8d85\u989d\u6536\u76ca”\u5176\u5b9e\u662f\u6ce2\u52a8\u7387\u98ce\u9669\u8865\u507f\u3002\u5728\u5224\u65ad\u4e00\u4e2a\u7b56\u7565\u662f\u5426\u6709\u771f\u6b63\u7684\u6280\u80fd\u6210\u5206\u65f6\uff0c\u9996\u5148\u8981\u95ee\uff1a\u8fd9\u4efd\u56de\u62a5\u662f\u4e0d\u662f\u6765\u81eaGamma\u655e\u53e3\uff1f\u5982\u679c\u662f\uff0c\u90a3\u5b83\u4e0d\u662f”\u8d85\u989d”\uff0c\u800c\u662f”\u4fdd\u9669\u8d39”\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u5341\u4e8c\u3001\u4e09\u9053\u65e0\u6cd5\u903e\u8d8a\u7684\u673a\u6784\u62a4\u57ce\u6cb3<\/strong><\/h2>\n\n\n\n
        \u516c\u5f0f\u662f\u516c\u5f00\u7684\u3002\u7b56\u7565\u662f\u88ab\u8bb0\u5f55\u7684\u3002\u90a3\u4e3a\u4ec0\u4e48\u4e0d\u662f\u6bcf\u4e2a\u53c2\u4e0e\u8005\u90fd\u80fd\u6709\u5229\u53ef\u56fe\u5730\u6267\u884c\u5b83\uff1f\u4e09\u9053\u7ed3\u6784\u6027\u58c1\u5792\u5bf9\u666e\u901a\u53c2\u4e0e\u8005\u6765\u8bf4\u51e0\u4e4e\u662f\u4e0d\u53ef\u903e\u8d8a\u7684\uff1a<\/p>\n\n\n\n
        \u62a4\u57ce\u6cb3\u4e00\uff1a\u4ea4\u6613\u6210\u672c\u7684\u4e0d\u5bf9\u79f0\u6027<\/strong><\/h3>\n\n\n\n
        \u5728\u4e00\u4e2a\u5178\u578b\u76843\u5929\u5230\u671f\u5468\u671f\u4e2d\uff0c\u9700\u8981\u8fdb\u884c50-100\u6b21<\/strong>\u5bf9\u51b2\u8c03\u6574\uff0c\u4ea4\u6613\u6210\u672c\u53ef\u80fd\u6d88\u8017\u6389\u7406\u8bbaGamma\u5229\u6da6\u768410%-20%<\/strong>\u3002\u800cCitadel Securities\u3001\u7b80\u8857\u548cOptiver\u4ee5\u4e2d\u95f4\u4ef7\u6216\u63a5\u8fd1\u4e2d\u95f4\u4ef7\u6267\u884c\u81ea\u5df1\u7684\u5bf9\u51b2\uff0c\u5b83\u4eec\u672c\u8eab\u5c31\u662f\u4e70\u5356\u4ef7\u5dee\uff0c\u800c\u4e0d\u662f\u652f\u4ed8\u4ef7\u5dee\u7684\u90a3\u4e00\u65b9\u3002<\/p>\n\n\n\n
        \u6253\u4e2a\u6bd4\u65b9\uff1a\u4f60\u5728\u83dc\u5e02\u573a\u4e70\u83dc\uff0c\u666e\u901a\u4eba\u662f”\u4e70\u5bb6”\uff0c\u8981\u4ed85\u6bdb\u94b1\u7684\u6ea2\u4ef7\uff1b\u800c\u673a\u6784\u662f”\u83dc\u644a\u8001\u677f”\uff0c\u5b83\u5356\u7ed9\u522b\u4eba\u8d5a5\u6bdb\uff0c\u81ea\u5df1\u7684\u83dc\u4e0d\u9700\u8981\u4ed8\u6ea2\u4ef7\u3002\u4e00\u6765\u4e00\u56de\uff0c\u540c\u6837\u4e00\u68f5\u767d\u83dc\uff0c\u4f60\u7684\u6210\u672c\u6bd4\u673a\u6784\u9ad81\u5757\u94b1\u300250-100\u6b21\u5bf9\u51b2\u4e0b\u6765\uff0c\u8fd9\u4e2a\u5dee\u8ddd\u8db3\u4ee5\u628a\u7406\u8bba\u4e0a\u7684\u6b63\u6536\u76ca\u53d8\u6210\u5b9e\u9645\u4e8f\u635f\u3002<\/p>\n\n\n\n
        \u62a4\u57ce\u6cb3\u4e8c\uff1a\u505a\u5e02\u5546Gamma\u6301\u4ed3\u60c5\u62a5<\/strong><\/h3>\n\n\n\n
        \u6210\u719f\u673a\u6784\u5b9e\u65f6\u76d1\u63a7\u603b\u91cf\u51c0Gamma\u655e\u53e3\uff08GEX\uff09\u3002\u5f53\u505a\u5e02\u5546\u7fa4\u4f53\u6574\u4f53\u591a\u5934Gamma\u65f6\uff0c\u5b83\u4eec\u7684Delta\u5bf9\u51b2\u4f1a\u6291\u5236\u5b9e\u9645\u6ce2\u52a8\u7387\uff1a\u56e0\u4e3a\u5b83\u4eec\u5728\u4e0a\u6da8\u65f6\u5356\u51fa\u3001\u4e0b\u8dcc\u65f6\u4e70\u5165\uff0c\u63d0\u4f9b\u4e86”\u7a33\u5b9a\u5668”\u6548\u679c\u3002\u5f53\u505a\u5e02\u5546\u7ffb\u8f6c\u4e3a\u51c0\u7a7a\u5934Gamma\u65f6\uff0c\u5b83\u4eec\u7684\u5f3a\u5236\u5bf9\u51b2\u4f1a\u653e\u5927\u6ce2\u52a8\u3002\u56e0\u4e3a\u5b83\u4eec\u5728\u4e0a\u6da8\u65f6\u8ffd\u4e70\u3001\u4e0b\u8dcc\u65f6\u8ffd\u5356\uff0c\u53d8\u6210\u4e86”\u52a0\u901f\u5668”\u3002<\/p>\n\n\n\n
        \u6839\u636eGEXBoard\u7684\u5206\u6790\uff0c1%\u7684SPY\u6ce2\u52a8<\/strong>\u53ef\u80fd\u89e6\u53d110-50\u4ebf\u7f8e\u5143<\/strong>\u7684\u505a\u5e02\u5546\u5bf9\u51b2\u6d41\u52a8\u3002\u77e5\u9053\u6574\u4e2a\u5e02\u573a\u662f”\u7a33\u5b9a\u5668\u6a21\u5f0f”\u8fd8\u662f”\u52a0\u901f\u5668\u6a21\u5f0f”\uff0c\u5c31\u7b49\u4e8e\u5728\u6253\u724c\u65f6\u77e5\u9053\u5bf9\u624b\u7684\u5e95\u724c\u3002<\/p>\n\n\n\n
        \u62a4\u57ce\u6cb3\u4e09\uff1aGamma\u6536\u76ca\u7684\u89c4\u6a21\u6548\u5e94<\/strong><\/h3>\n\n\n\n
        Gamma\u635f\u76ca\u4e0e\u0393S\u00b2<\/code>\u6210\u6b63\u6bd4\uff1a\u6240\u4ee5\u540d\u4e49\u672c\u91d1\u7ffb\u500d\uff0c\u6bcf\u4e2a\u6ce2\u52a8\u7387\u70b9\u6536\u5272\u7684\u7f8e\u5143\u4ef7\u503c\u7ffb\u56db\u500d\uff0c\u800c\u4ea4\u6613\u6210\u672c\u53ea\u7ebf\u6027\u589e\u957f\u3002\u7b80\u8857\u5370\u5ea6\u6848\u4f8b\u8bc1\u660e\uff0c\u4e00\u4e2a\u5728\u5355\u4e00\u6307\u6570\u5e02\u573a\u4e2d\u5e74\u8d5a10\u4ebf\u7f8e\u5143\u7684\u7b56\u7565\u9700\u898132000+\u4ebf\u5362\u6bd4\u7684\u671f\u6743\u540d\u4e49\u672c\u91d1\u3002\u673a\u6784Gamma\u5012\u4e09\u89d2\u662f\u4e00\u4e2a\u89c4\u6a21\u6536\u76ca\u9012\u589e\u7684\u751f\u610f\u3002<\/p>\n\n\n\n
        \u62a4\u57ce\u6cb3<\/strong><\/th>\u673a\u6784\u4f18\u52bf<\/strong><\/th>\u666e\u901a\u53c2\u4e0e\u8005\u52a3\u52bf<\/strong><\/th><\/tr><\/thead>
        \u4ea4\u6613\u6210\u672c<\/td>\u81ea\u5df1\u5c31\u662f\u4ef7\u5dee\uff0c\u5bf9\u51b2\u8fd1\u4e2d\u95f4\u4ef7<\/td>\u6bcf\u6b21\u5bf9\u51b2\u652f\u4ed8\u4e70\u5356\u4ef7\u5dee\uff0c50-100\u6b21\u540e\u5229\u6da6\u88ab\u541e\u566c<\/td><\/tr>
        \u4fe1\u606f\u4f18\u52bf<\/td>\u5b9e\u65f6GEX\u6570\u636e\uff0c\u77e5\u9053\u5e02\u573a\u662f”\u7a33\u5b9a\u5668”\u8fd8\u662f”\u52a0\u901f\u5668”<\/td>\u65e0\u6cd5\u83b7\u53d6\u603b\u91cfGamma\u6570\u636e\uff0c\u5728\u9ed1\u6697\u4e2d\u64cd\u4f5c<\/td><\/tr>
        \u89c4\u6a21\u6548\u5e94<\/td>\u540d\u4e49\u7ffb\u500d\u2192\u5229\u6da6\u7ffb\u56db\u500d\uff0c\u6210\u672c\u53ea\u7ffb\u4e00\u500d<\/td>\u5c0f\u8d44\u91d1\u65e0\u6cd5\u96c6\u4e2d\u8db3\u591fGamma\u6765\u8986\u76d6\u56fa\u5b9a\u6210\u672c<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
        \n
        \u6e05\u9192\u8ba4\u77e5\uff1a<\/strong>\u8fd9\u4e09\u4e2a\u62a4\u57ce\u6cb3\u610f\u5473\u7740\uff1a\u5373\u4f7f\u4f60\u5b8c\u5168\u7406\u89e3\u516c\u5f0f\uff0c\u5373\u4f7f\u4f60\u5224\u65ad\u5bf9\u4e86\u6ce2\u52a8\u7387\u4f53\u5236\uff0c\u5373\u4f7f\u4f60\u8bbe\u8ba1\u4e86\u5b8c\u7f8e\u7684\u5bf9\u51b2\u9891\u7387\uff0c\u4f60\u4ecd\u7136\u5f88\u53ef\u80fd\u65e0\u6cd5\u76c8\u5229\u3002\u56e0\u4e3a\u4f60\u7684\u4ea4\u6613\u6210\u672c\u662f\u673a\u6784\u7684\u6570\u500d\uff0c\u4f60\u7684\u4fe1\u606f\u662f\u6ede\u540e\u7684\uff0c\u4f60\u7684\u89c4\u6a21\u662f\u4e0d\u8db3\u7684\u3002\u8fd9\u4e0d\u662f\u667a\u5546\u95ee\u9898\uff0c\u800c\u662f\u751f\u6001\u4f4d\u95ee\u9898\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u5341\u4e09\u30010DTE\u7684\u8303\u5f0f\u8f6c\u53d8\u4e0eGamma\u5012\u4e09\u89d2\u5229\u6da6\u7684\u538b\u7f29<\/strong><\/h2>\n\n\n\n
        \u96f6\u65e5\u5230\u671f\u671f\u6743\uff080DTE\uff09\u7684\u666e\u53ca\u5df2\u7ecf\u5b9e\u8d28\u6027\u5730\u6539\u53d8\u4e86\u5e02\u573a\u683c\u5c40\u3002\u6743\u5229\u91d1\u5356\u65b9\u73b0\u5728\u6d8c\u5165\u5230\u671f\u7a97\u53e3\u9644\u8fd1\u7684\u5e73\u503c\u884c\u6743\u4ef7\uff0c\u63a8\u4f4e\u9690\u542b\u6ce2\u52a8\u7387\uff0c\u538b\u7f29\u5012\u4e09\u89d2\u5229\u5dee\u3002\u505a\u5e02\u5546Gamma\u6301\u4ed3\u53d8\u5f97\u66f4\u52a0\u52a8\u6001\uff1a\u6563\u6237\u6d41\u91cf\u5728\u5348\u95f4\u6fc0\u589e\uff0c\u800c\u951a\u5b9a\u70b9\u5728SPX\u3001SPY\u4ee5\u53ca0DTE\u4e0e\u5468\u5ea6\u4e0e\u6708\u5ea6\u5230\u671f\u4e4b\u95f4\u7684\u53ef\u9884\u6d4b\u6027\u964d\u4f4e\u4e86\u3002<\/p>\n\n\n\n
        \u6e2f\u4ea4\u6240\u636e\u62a5\u4e5f\u5c06\u4e8e2026\u5e74\u4e0a\u534a\u5e74\u63a8\u51fa\u6052\u751f\u6307\u6570\u96f6\u65e5\u671f\u6743\u5408\u7ea6\u2014\u2014\u8fd9\u610f\u5473\u77400DTE\u7684\u6d6a\u6f6e\u6b63\u5728\u4ece\u7f8e\u56fd\u5411\u5168\u7403\u8513\u5ef6\u3002\u52302024\u5e74\u7b2c\u56db\u5b63\u5ea6\uff0c0DTE\u4ea4\u6613\u91cf\u5df2\u5360\u6807\u666e500\u6307\u6570\u671f\u6743\u603b\u4ea4\u6613\u91cf\u7684\u4e00\u534a\u4ee5\u4e0a\u3002<\/p>\n\n\n\n
        2024\u5e748\u67085\u65e5\u7684VIX\u98d9\u5347\uff1a\u62e5\u6324\u4ea4\u6613\u7684\u8b66\u793a<\/strong><\/h3>\n\n\n\n
        2024\u5e748\u67085\u65e5\uff0cVIX\u6307\u6570\u76d8\u4e2d\u4e00\u5ea6\u8fbe\u523065<\/strong>\u3002\u8fd9\u4e00\u98d9\u5347\u90e8\u5206\u88ab\u5f52\u56e0\u4e8e\u8fd0\u884c\u76f8\u5173\u7a7a\u5934\u6ce2\u52a8\u7387\u7b56\u7565\u7684\u591a\u7b56\u7565\u57fa\u91d1\u7684\u540c\u6b65\u53bb\u6760\u6746\u3002\u5f53\u62e5\u6324\u7684\u4ea4\u6613\u8f6c\u5411\u65f6\uff0c\u521b\u9020\u5229\u6da6\u7684\u89c4\u6a21\u672c\u8eab\u5c31\u53d8\u6210\u4e86\u7206\u4ed3\u7684\u673a\u5236\u3002<\/p>\n\n\n\n
        0DTE\u5bf9Gamma\u5012\u4e09\u89d2\u7684\u5177\u4f53\u5f71\u54cd<\/strong><\/h3>\n\n\n\n
        \u7ef4\u5ea6<\/strong><\/th>0DTE\u4e4b\u524d<\/strong><\/th>0DTE\u4e4b\u540e<\/strong><\/th><\/tr><\/thead>
        \u9690\u542b\u6ce2\u52a8\u7387\u6c34\u5e73<\/td>\u76f8\u5bf9\u8f83\u9ad8\uff0c\u6ea2\u4ef7\u7a7a\u95f4\u5145\u8db3<\/td>\u5356\u65b9\u6d8c\u5165\u63a8\u4f4e\u9690\u542b\u6ce2\u52a8\u7387\uff0c\u6ea2\u4ef7\u88ab\u538b\u7f29<\/td><\/tr>
        Gamma\u6301\u4ed3\u52a8\u6001<\/td>\u5468\u5ea6\/\u6708\u5ea6\u5230\u671f\uff0c\u8f83\u53ef\u9884\u6d4b<\/td>\u6bcf\u65e5\u591a\u6b21\u5230\u671f\uff0c\u6781\u4e0d\u53ef\u9884\u6d4b<\/td><\/tr>
        \u5bf9\u51b2\u9891\u7387<\/td>\u6bcf\u59294-8\u6b21<\/td>0DTE\u5230\u671f\u65e5\u53ef\u80fd\u9700\u8981\u66f4\u9ad8\u9891\u7387<\/td><\/tr>
        \u5c3e\u90e8\u98ce\u9669<\/td>\u76f8\u5bf9\u53ef\u63a7<\/td>\u6469\u6839\u5927\u901a\u8b66\u544a\uff1a\u6781\u7aef\u60c5\u51b5\u4e0b0DTE\u53ef\u80fd\u5bfc\u81f4\u6807\u666e500\u76d8\u4e2d\u66b4\u8dcc25%<\/td><\/tr>
        \u6563\u6237\u53c2\u4e0e<\/td>\u95e8\u69db\u8f83\u9ad8<\/td>\u95e8\u69db\u964d\u4f4e\uff0c\u5927\u91cf\u96f6\u552e\u8d44\u91d1\u6d8c\u5165<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
        \u6469\u6839\u5927\u901a\u7684\u5206\u6790\u5e08\u66fe\u53d1\u51fa\u4e25\u5389\u8b66\u544a\uff1a\u5728\u6781\u5176\u7cdf\u7cd5\u7684\u60c5\u51b5\u4e0b\uff0c0DTE\u671f\u6743\u53ef\u80fd\u5bfc\u81f4\u6807\u666e500\u6307\u6570\u76d8\u4e2d5%\u7684\u8dcc\u5e45\u6269\u5927\u81f325%\u2014\u2014\u8fd9\u5c06\u662f1987\u5e74”\u9ed1\u8272\u661f\u671f\u4e00”\u4ee5\u6765\u4ece\u672a\u89c1\u8fc7\u7684\u8dcc\u5e45\u30020DTE\u7684\u65e5\u540d\u4e49\u4ea4\u6613\u4ef7\u503c\u5df2\u589e\u81f3\u7ea61\u4e07\u4ebf\u7f8e\u5143<\/strong>\u3002\u5f53\u8fd9\u6837\u7684\u4f53\u91cf\u5728\u6781\u7aef\u884c\u60c5\u4e2d\u540c\u6b65\u5e73\u4ed3\uff0c\u5176\u53cd\u5c04\u6027\u51b2\u51fb\u53ef\u80fd\u8fdc\u8d85\u521d\u59cb\u7684\u5e02\u573a\u51b2\u51fb\u3002<\/p>\n\n\n\n
        \u5341\u56db\u3001\u6700\u672c\u8d28\u7684\u4e00\u53e5\u8bdd<\/strong><\/h2>\n\n\n\n
        \u62e5\u670925\u5e74\u884d\u751f\u54c1\u4ece\u4e1a\u7ecf\u9a8c\u7684Gontran de Quillacq\u5728\u4ed6\u7684\u6df1\u5ea6\u7814\u7a76\u4e2d\uff0c\u7528\u4e34\u5e8a\u7ea7\u522b\u7684\u7cbe\u786e\u5ea6\u9053\u51fa\u4e86\u6574\u4e2a\u7b56\u7565\u7684\u6839\u672c\u903b\u8f91\uff1a<\/p>\n\n\n\n
        \n
        “\u5047\u8bbe\u4f60\u5356\u51fa\u4e00\u5f20\u9690\u542b2%\u65e5\u5ea6\u6ce2\u52a8\uff0832%\u5e74\u5316\u9690\u542b\u6ce2\u52a8\u7387\uff09\u7684\u671f\u6743\uff0c\u800c\u8be5\u80a1\u7968\u5728\u671f\u6743\u5b58\u7eed\u671f\u5185\u5e73\u5747\u6bcf\u5929\u53ea\u6ce2\u52a81.75%\uff0828%\u5e74\u5316\u5b9e\u9645\u6ce2\u52a8\u7387\uff09\u2014\u2014\u6bcf\u4e00\u5929\uff0cGamma\/Theta\u6548\u5e94\u90fd\u4f1a\u7565\u5fae\u5bf9\u4f60\u6709\u5229\u3002\u80a1\u7968\u5e73\u5747\u800c\u8a00\u4e0d\u4f1a\u8fbe\u5230\u629b\u7269\u7ebf\u7684\u76c8\u4e8f\u5e73\u8861\u70b9\uff0c\u4f60\u6bcf\u5929\u90fd\u4f1a\u4fdd\u7559\u4e00\u5c0f\u7b14\u94b1\u3002”<\/p>\n\n\n\n
        \u2014\u2014 Gontran de Quillacq\uff0c25\u5e74\u884d\u751f\u54c1\u8d44\u6df1\u4ece\u4e1a\u8005<\/strong><\/p>\n<\/blockquote>\n\n\n\n
        \u90a30.25%\u7684\u65e5\u5ea6\u6ce2\u52a8\u7387\u5dee\u503c\u2014\u201432%\u9690\u542b\u51cf28%\u5b9e\u9645\u2014\u2014\u5c31\u662f\u6574\u4e2a\u7b56\u7565\u7684\u5168\u90e8\u5229\u6da6\u6765\u6e90\uff0c\u6bcf\u5929\u590d\u5229\uff0c\u6a2a\u8de8\u5730\u7403\u4e0a\u6bcf\u4e00\u4e2a\u6d41\u52a8\u6027\u671f\u6743\u5e02\u573a\u3002<\/p>\n\n\n\n
        \u4f46\u8bf7\u8bb0\u4f4f\u6700\u540e\u4e00\u53e5\u8bdd\uff1a<\/p>\n\n\n\n
        \n
        \u5168\u6587\u6838\u5fc3\u547d\u9898<\/strong><\/p>\n\n\n\n
        \u4ea4\u6613\u4e0d\u662f\u516c\u5f0f\u3002\u4ea4\u6613\u662f\u5728\u4e00\u5343\u6b21\u5bf9\u51b2\u4e2d\u3001\u5728\u6b63\u786e\u7684\u4f53\u5236\u4e0b\u3001\u4ee5\u6b63\u786e\u7684\u4ed3\u4f4d\u89c4\u6a21\u3001\u4e14\u62e5\u6709\u5728\u03c3\u5b9e\u9645<\/sub>\u98d9\u5347\u8d85\u8fc7\u6570\u636e\u96c6\u4e2d\u6240\u6709\u5148\u524d\u89c2\u6d4b\u503c\u65f6\uff0c\u4ecd\u80fd\u5b58\u6d3b\u7684\u9000\u51fa\u57fa\u7840\u8bbe\u65bd\u4e0a\u6b63\u786e\u8fd0\u884c\u516c\u5f0f\u7684\u7eaa\u5f8b\u3002<\/p>\n<\/blockquote>\n\n\n\n
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        \n
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