外汇期权市场对现货市场的影响.pdf

The Effects of FX Options Trading on the Spot Market Mark Stafford, FX Options Trading September 2004 DB FX Options Trading Agenda  If I don’t trade options, why do I need to look at the FX Options Markets?  What should we look at?  What is the best way of looking? 2 DB FX Options Trading Why Should We look at the FX Options Markets?  From time to time the options market dominates the spot market – Question:  Options are derivative contracts so how can they affect the underlying? – Answer:  Options users often trade spot to hedge some of their risks  Moves in spot cause changes in risk of an option portfolio  Some of these new risks are hedged with spot – feedback mechanism  If a small move in spot creates a large change in risk the effect can be greater than the cause The DB FX options desk is the 3rd biggest customer of the DB spot desk by volume 3 What should we look at? Short-dated Options and Barriers – How Dynamic Delta Hedging Can Drive the Spot Market DB FX Options Trading How options are used: Different market participants trade options in different ways  Static:  Dynamic Delta Hedging: – Corporates – Options desks (market makers) - Hedging - Dynamically delta hedge: – Investors/speculators - Trade spot daily to rebalance portfolio - Hedging to a net flat spot position - Express directional views – No net spot position at inception or