股票期货突破技术分析(英文原版)-第29章

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BERNIE　SCHAEFFER　
Equity　options。have　e　a　long　way　since　they　were　first　listed　on　exchanges。in　1973。　Beyond　the　explosive　growth　in　the　volume　of　options。trading　during　this。period；　which　speaks。for　itself；　options。have　bee　a　risk…management　tool　as。well　as。a　tool　for　speculation　for　a　broad　spectrum　of　market　players；　from　modestly　capitalized　individual　investors。to　hedge　funds。　
In　basic。terms；　the　world　of　listed　optionsnsists。of　call　options。and　put　options。　The　buyer　of　an　equity　call　option　has。the　right　but　not　the　obligation　to　buy　shares。of　a　pany；　referred　to　as。the　underlying　stork；　at　a　specified　price　（called　the　strike　price）　for　a　specific。period　of　time；　at　the　end　of　which　the　option　“expires”。　The　call　option　buyers。are　bullish—they're　hoping　to　profit　from　a　rise　in　the　stock。price　over　the　life　of　the　option。　

Why　Options？　
Why　would　a　bullish　investor　choose　to　pay　for　a　call　option　with　a　limited　life　instead　of　buying　the　underlying　stock？　The　short　answer　is。leverage—the　ability　to　participate　in　the　upside　movement　in　the　underlying　stock。for　a　relatively　small　initial　investment。　The　price　of　a　call　option　is。most　dependent　on　the　price　of　the　underlying　stock。relative　to　the　strike　price；　the　stock's。volatility；　and　the　amount　of　time　remaining　until　the　option　expires。　But　in　all　cases；　the　call　option　price　will　be　a　fraction　of　the　stock。price；　and　in　many　cases；　this　fraction　will　be　very　small　indeed。　
To　illustrate；　lets。assume　Stock　A；　which　does。not　pay　a　dividend；　is。currently　trading　for　50　and　an　investor　is。expecting　the　stock。to　move　to　60　during　the　next　three　months。　If　the　annualized　volatility　of　the　stock　is。25　percent—typical　of　many　of　the　blue　chips—a　three…month　call　option　with　a　strike　price　of　50　will　trade　for　about　5　percent　of　the　share　price；　or　2。50　in　this。case。　If　the　stock。should　in　fact　reach　60　by　the　time　this。call　option　expires。in　three　months；　the　50…strike　call　option　will　have　a　value　of　10　in　the　listed　options。market。　
So；　in　this。case；　the　call　option　will　have　quadrupled　from　2。50　to　10　on　a　move　by。the　underlying　from　50　to　60；　and　thus。a　gain　of　300　percent　could　have　been　realized　by　the　option　buyer　on　just　a　20　percent　gain　in　the　stock。　And　the　leverage　in　this。case　would　have　been　15　to　1　（300　percent/20　percent）。　Put　another　way；　the　option　holder　achieved　a　profit　of　7。50　with　an　investment　of　just　2。50；　whereas。the　10　gain　realized　by　the　stock。holder　required　a　50　investment。　
Needless。to　say；　the　scenario　described　above　was。on　the　best…case　end　of　the　spectrum　for　the　call　option　buyer。　Note；　for　example；　that　if　the　stock。does。not　rise　above　50　during　the　life　of　the　option　and　the　position　is。held　until　expiration；　the　call　buyer　will　lose　100　percent　of　his。investment。　And　in　the　case　of　the　on…the…money　option—when　the　stock。price　is。equal　to　the　strike　price—such　total　losses。can　be　expected　to　occur　50　percent　of　the　time。　
Based　on　this。quick。risk…reward　profile；　one　can　reasonably　conclude　that　call　option　buyers。（those　who　are　said　to　have　long　call…option　positions）　are　rather　aggressively　bullish　in　the　pursuit　of　leveraged　profits—bullish　enough　to　be　risking　a　total　loss。of　their　investment　if　they're　wrong。　
The　buyer　of　an　equity　put　option；　however；　has。the　right　but　not　the　obligation　to　sell　a　stock。at　a　specified　price　（the　strike　price）　for　a　specific。period　（at　the　end　of　which　the　option　expires）。　The　put　option　buyer　is。as。aggressively　bearish　as。the　call　option　buyer　is。aggressively　bullish。　
So　in　its。purest　form；　the　options。world　consists。of　two　constituencies：　the　aggressively。bullish　call　option　buyer　and　the　aggressively。bearish　put　option　buyer。　In　addition；　the　listed　options。market　provides。a　treasure　trove　of　information　about　the　activity　of　call　and　put　buyers。in　each　of　the　thousands。of　underlying　stocks。on　which　options。are　traded。　Trading　volume　data　are　available　for　calls。and　for　puts；　as。well　as。option　open　interest；　which　represents。the　number　of　option　contracts。open　at　any　time。　
Gauging。Investor　Sentiment　
It　should　be　no　surprise；　therefore；　that　technical　and　quantitative　analysts。have　made　ongoing　efforts。over　the　years。to　measure　the　relative　intensity　of　put　and　call　activity　as　a　gauge　of　the　sentiment　of　aggressive　investors。　Stocks。on　which　these　investors。are　very。bullish—as。indicated　by　greater　call　activity　than　put　activity—could　be　deemed　byntrarians　to　be　vulnerable。　An　excess。of　bullish　options。sentiment　could　be　an　indication　of　investor　exuberance　and　overmitment；　and　the　resulting　dearth　of　sideline　buying　power　could　pave　the　way　for　a　major　pullback。　Similarly；　stocks。on　which　investors。are　very。bearish—as。indicated　by　greater　put　activity　than　call　activity—could　have　significant　upside　potential。　An　excess。of　bearish　options。sentiment　could　indicate　investor　pessimism　and　capitulation；　and　the　resulting　buildup　of　sideline　buying　power　could　pave　the　way。for　a　major　rally。　
Surprisingly；　the　focus　on　put　and　call　option　activity　over　the　years。has。been　pretty　well　restricted　to：　
1。　
Aggregate　options。data　across。all　equities。rather　than　an　equity…by…equity。analysis。　A　seriesmonly　quoted　by　analysts。is。the　“CBOE　Equity　Put/Call　ratio”　which　represents。the　trading　volume　of　all　puts　and　calls　listed　on　the　Chicago　Board　Options　Exchange。　This。aggregation　of　equity　options　data　may　have　made　sense　decades。ago；　when　few　individual　equities。had　robust　markets。in　their　options。　But　these　days。there　are　many　equities。with　options。that　trade　thousands。of　contracts。each　day　and　with　option　open　interest　equivalent　to　millions。of　shares。of　stock。　

2。　
Option　volume；　as　opposed　to　open　interest。　Option　open　interest　is。a　much　more　stable　series。than　option　volume。　Option　volume　can　vary　very　significantly　from　day　to　day；　whereas。open　interest　adjusts。incrementally　each　day　based　on　the　number　of　positions　that　were　opened　or　closed　the　day　before。　In　addition；　option　volume　can　be　subject　to　all　manner　of　intraday　〃noise〃；　including　the　activities。of　day　traders　who　hold　no　position　at　the　end　of　the　day。　


Schaeffer's　Open。Interest　Ratio　
Schaeffer's。Investment　Research　has。attacked　the　deficiencies。of　traditional　put/call　ratio　analysis。on　each　of　these　two　fronts。by　developing　a　ratio　of　put　open　interest　to　call　open　interest　for　even　optionable　stock。　This。ratio　is。referred　to　as。the　SOIR　（Schaeffer's　Open　Interest　Ratio）；　and　it　is。updated　daily　in　the　data　presented　on　SchaeffersResearch；　as。well　as。for　the　pany's。internal　analysis。　A　graph　of　the　SOIR　can　tell　a　very。interesting　story　of　the　option　trader　sentiment　toward　a　particular　equity；　and　this。unique　perspective　can　add　considerable　value　to　an　analysis。of　a　stock's。technical　picture。　Before　delving　into　some　pelling　examples。of　SOIR　analysis；　consider　the　potential　pitfalls。of　this。approach。　
Again；　in　its。purest　form　the　options。world　consists。of　two　constituencies：　the　aggressively　bullish　call　option　buyer　and　the　aggressively　bearish　put　option　buyer。　For　purposes。of　maximizing　the　value　to　contrarians。of　put/call　ratio　analysis；　there　would　be　another　element　to　this。〃purity；〃　namely；　the　participants。in　the　options。market　would　be　confined　to　relatively　unsophisticated　individual　investors。　In　such　a　pure　options。world；　we　would　know　that　heavy　call　activity　（or　heavy　put　activity）　would　be　the　result　of　a　strongly。
bullish　（or　strongly　bearish）　view　held　by　the　unsophisticated　crowd；　and；　as。such；　traders　should　consider　taking　the　contrarian　approach　of　fading　this。activity。　But　the　real　world　of　options。differs。significantly　from　this。pure　world　that　would　delight　the　contrarian。　
1。　
Options。market　participants。include　professionals。stub　as。large　money　managers　and；　particularly　in　recent　years；　hedge　funds。that　trade　very。actively。　Many　of　these　larger　investors。are　quite　sophisticated　and　have　access。to　valuable　information　well　beyond　the　scope　of　the　smaller　individual　investor。　To　automatically　take　a　position　counter　to　the　option　activity　of　thisntingent　would　be　foolish　indeed。　

2。　
Option　activity。is。by。no　means。always。initiated　by　buyers