Time Spread Option Strategy

跨期价差期权策略

Time spread means selling an option and buying an option with the same strike price and a longer expiration date.

  • Since the loss of time value of recent options is faster than that of forward options, the spread widens when the recent options expire and profits are obtained.

For example,

  • X stock 30 call option expired in Jan which is three months away from expiration is worth $4, and X stock 30 call option expired in April is worth $6 now.
  • Buying the January 30 call option and selling the April 30 call option will receive a premium of $2.
  • When the January option expires, if the X stock price is still 30, then the X stock 30 call option expired in April will depreciate to $4, and the spread originally worth $2 becomes $4, and investors can profit $2 from this spread.

Risk

  • When stocks fall sharply or rise, the option spread will narrow and cause losses
  • The maximum loss is the amount paid to purchase this spread strategy

时间价差(time spread)即为卖出一个期权同时买入一个相同行权价到期日更远期的期权

  • 由于近期期权的时间价值流失速度比远期期权快,使得近期期权到期时价差变宽得到利润

例如,

  • 此时离到期还有三个月的1月X股票30看涨期权价值4元,4月X股票30看涨期权价值6元,买入1月30看涨期权并卖出4月30看涨期权将得到2元的权利金。
  • 当1月期权到期之时,如果X股票价格依然为30,那么4月X股票30看涨期权贬值到了4元,价差有2变成了4,投资者可以获利这2元的价差。

风险

  1. 当股票大幅下跌或者上涨时,期权价差会缩小导致亏损
  2. 最大亏损为购买此价差策略所支付的金额
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