Optionsstrategien

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Market Bullish

Volatilität

Bullish Neutral Bearish

Optionen

Option Volatility and Pricing
Option Volatility
& Pricing

Buy Call
Buy Two By One Ratio Call  Spread
Buy Volatility Trade
Buy Call Spread:
-Buy ATM Call
-Sell OTM Call

Sell Put Spread:
-Buy ATM Put
-Sell ITM Put

Sell ITM Call Butterfly
Sell OTM Put Butterfly
Sell ITM Call Condor
Sell OTM Put Condor
Sell Call Ladder
Buy Underlying
Sell Put
Buy Call
Buy Call Spread:
-Buy ITM
-Call Sell OTM Call

Sell Put Spread:
-Buy OTM Put
-Sell ITM Put
Buy OTM Call Butterfly
Buy ITM Put Butterfly
Buy OTM Call Condor
Sell ITM Put Condor
Sell Combo
Sell Put
Sell Two By One Ratio Put Spread
Sell Put Volatility Trade
Buy Call Spread:
-Buy ITM Call
-Sell ATM Call
Sell Put Spread:
-Buy OTM Put
-Sell ATM Put
Buy OTM Call Butterfly
Buy ITM Put Butterfly
Buy OTM Call Condor
Sell ITM Put Condor
Buy Put Ladder
Delta
Gamma
Theta
Vega
+
+
-
+
+
0
0
0
+
-
+
-

Aufbau der Strategien

Market Neutral

Volatilität

Bullish Neutral Bearish

Optionen

Optionen, Futures und andere Derivative
Optionen, Futures und andere Derivate

Sell ATM Put/Call Butterfly
Buy ATM Iron Butterfly
Sell ATM Put/Call Condor
Buy ATM Calender Spread
Buy ATM Straddle Calender Spread
Buy Put/Call Volatility Trade
Buy Straddle
Buy Strangle
Buy Guts
Scalp
Arbitrage:
Box
Conversion / Reversal

Buy ATM Put/Call Butterfly
Sell ATM Iron Butterfly
Buy ATM Put/Call Condor
Sell ATM Calender Spread
Sell ATM Straddle Calender Spread
Sell Put/Call Volatility Trade
Sell Straddle
Sell Strangle
Sell Guts

Delta
Gamma
Theta
Vega
0
+
-
+
0
0
0
0
0
-
+
-

Aufbau der Strategien

Market Bearish

Volatilität

Bullish Neutral Bearish

Optionen

Option As a Strategic Investment
Options As a Strategic Investment

Buy Put
Buy Two by One Ratio Put Spread
Buy Volatility Trade
Sell Call Spread:
-Sell ITM Call
-Buy ATM Call
Buy Put Spread:
-Sell OTM Put
-Buy ATM Put
Sell OTM Call Butterfly
Buy ITM Put Butterfly
Sell OTM Call Condor
Sell ITM Put Condor
Sell Put Ladder

Sell Underlying
Sell Call
Buy Put
Sell Call Spread:
-Sell ITM Call
-Buy OTM Call
Buy Put Spread:
-Sell OTM Put
-Buy ITM Put
Buy ITM Call Butterfly
Buy OTM Put Butterfly
Buy ITM Call Condor
Sell OTM Put Condor
Buy Combo

Sell Call
Sell Two By One Ratio Call Spread
Sell Call Volatility Trade
Sell Call Spread:
-Sell ATM Call
-Buy OTM Call
Buy Put Spread:
-Sell ATM Put
-Buy ITM Put
Buy ITM Call Butterlfy
Buy OTM Put Butterfly
Buy ITM Call Condor
Sell OTM Put Condor
Buy Call Ladder

Delta
Gamma
Theta
Vega
-
+
-
+
-
0
0
0
-
-
+
-

Aufbau der Strategien (hier Kauf der entsprechende Strategie)

Ladder Buy Call, sell call at a higher strike, sell call at yet higher strike
(Sell put, sell put at higher strike, buy put at yet higher strike)
Straddle Calender Spread Sell Straddle in near month, buy Straddle in far month at same strike
Diagonal Straddle Calender Spread Sell Straddle in near month, buy Straddle in far month at different strike
Conversion Sell call, buy put at same strike, buy future
Reversal Buy call, sell put at same strike, sell future
Straddle Buy put, buy call at same strike
Volatility Trade Buy puts, buy appropriate number of futures to give zero net delta
Buy calls, sell appropritate number of futures to give zero net deltla
Condor Buy put (call), sell put (call) at two equally higher strikes, buy put (call) at yet higher strike
Box Buy Call and sell put, buy put and sell call at higher strike
Butterfly Buy put (call), sell two puts (calls) at higher strike, buy put (call) at equally higher strike
Call (Put) Spread Buy Call, sell call at higher strike
(Buy put, sell put at lower strike)
Calender Spread Sell near put (call), buy far put (call)
Diagonal Calender Spread Sell near put (call), buy far put (call) at a different strike
Guts Buy call, buy put at a higher strike
Two by One Ration Call (Put) Spread Sell call, buy two calls at higher strike
(Sell put, buy two puts at lower strike)
Iron Butterfly Buy Straddle, sell Straddle (eg sell put, buy put and call at higher strike, sell call at equally higher strike)
Combo Sell call, buy put at lower strike
Strangle Buy put, buy call at higher strike
Einführung
[ Strategien ]
exotische Optionen

Bücher

Einführung in Futures- und Optionsmärkte
Einführung in Futures-
und Optionsmärkte

Option und Futures verstehen
Optionen und Futures verstehen

[ ...mehr Bücher ]

Erläuterungen

OTM out of the money
ATM at the money
ITM in the money
Delta mißt die Änderung des Optionspreises unter der Annahme einer kleinen Änderung im Preis des
Basiswertes
Gamma zeigt die erwartete Änderung im Delta bei einer kleinen Änderung im Basiswert
Theta mißt Änderung des Optionspreises im Zeitablauf
Vega mißt, wie eine Veränderung der Volatilität den Optionspreis verändert

Links

Common Strategies
Applications of Strategies
FAQ
Aufbau einer BOX
Quelle: LIFFE Option Strategiser

Stand: 17.02.2002