Deribit期权Delta动态对冲策略
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Deribit期权Delta动态对冲策略
本次FMZ量化带来的策略是Deribit期权Delta动态对冲策略,简称DDH(dynamic delta hedging)策略。
对于期权交易的学习,我们通常要掌握这几个方面的概念:
期权定价模型,B-S模型,期权价格根据【标的物价格】、【行权价】、【到期剩余时间】、【(隐含)波动率】、【无风险利率】确定价格。期权的风险敞口:
1、Delta — 期权的方向风险。如果Delta为+0.50,那这个期权,在标的价格涨跌时的盈亏表现,可视为0.50个现货。
2、Gamma — 方向风险的加速度。比如看涨期权,由于Gamma的作用,从标的价格位于行权价开始,价格不断上涨的过程中,Delta会从+0.50逐渐向+1.00靠拢。
3、Theta— 时间敞口。当你买入期权时,如果标的价格不动,每过一天,你会支付Theta金额所示的费用(Deribit以USD计价)。
当你卖出期权时,如果标的价格不动,每过一天,你会收到Theta金额所示的费用。
4、Vega — 波动率敞口。当你买入期权时,Vega为正,即做多波动率。隐含波动率提高时,你会在Vega敞口获得收益。反之亦然,当你卖出期权时,隐含波动率降低,你会获得收益。
DDH策略讲解:
DDH 原理讲解
通过配平期权和期货的Delta,达到交易方向的风险中性。由于期权的Delta是会跟随标的物价格变动而变动的,期货和现货的Delta是不变的。在持有期权合约仓位,并用期货对冲配平Delta之后,随着标的物价格变动,总体Delta会再次出现不平衡的状态。对于期权仓位和期货仓位这样的组合就需要持续的动态对冲配平Delta。
举个例子:
当我们买入了一张看涨期权,此时就持有了一个看多方向的头寸。此时需要做空期货来对冲期权的Delta,达到总体Delta中性(0或者接近于0)。我们先不考虑期权合约到期剩余时间、波动率等因素。
情况1:
标的物价格上涨,期权部分的Delta增大,总体Delta向正数移动,需要期货再次对冲,开一部分空头仓继续做空期货,使总体Delta再次平衡。(再次平衡前,此时期权的Delta大,期货的Delta相对小,看涨期权的边际盈利超过合约空头的边际损失,整个组合会出现收益)
情况2:
标的物价格下跌,期权部分的Delta减小,总体Delta向负数移动,平仓一部分空头的期货持仓,使总体Delta再次平衡。(再次平衡前,此时期权的Delta小,期货的Delta相对大,看涨期权的边际损失小于合约空头的边际盈利,整个组合还是会出现收益)。所以理想状态,标的物涨跌都会带来收益,只要市场有波动即可。然而还需要考虑的因素还有:时间价值、交易成本等因素。所以引用知乎大牛的解释:
Gamma Scalping 的关注点并不是delta,dynamic delta hedging 只是过程中规避underlying价格风险的一种做法而已。
Gamma Scalping 关注的是Alpha,此Alpha不是选股的Alpha,这里的Alpha = Gamma/Theta也就是单位Theta的时间损耗换来多少Gamma,
这个是关注的点。可以构建出上涨和下跌都浮盈的组合,但一定伴随时间损耗,那问题就在于性价比了。
作者:许哲
链接:https://www.zhihu.com/question/51630805/answer/128096385
DDH 策略设计讲解
- 聚合行情接口封装,框架设计
- 策略UI设计
- 策略交互设计
- 自动对冲功能设计
源码:
// 构造函数
function createManager(e, subscribeList, msg) {
var self = {}
self.supportList = ["Futures_Binance", "Huobi", "Futures_Deribit"] // 支持的交易所的
// 对象属性
self.e = e
self.msg = msg
self.name = e.GetName()
self.type = self.name.includes("Futures_") ? "Futures" : "Spot"
self.label = e.GetLabel()
self.quoteCurrency = ""
self.subscribeList = subscribeList // subscribeList : [strSymbol1, strSymbol2, ...]
self.tickers = [] // 接口获取的所有行情数据,定义数据格式:{bid1: 123, ask1: 123, symbol: "xxx"}}
self.subscribeTickers = [] // 需要的行情数据,定义数据格式:{bid1: 123, ask1: 123, symbol: "xxx"}}
self.accData = null
self.pos = null
// 初始化函数
self.init = function() {
// 判断是否支持该交易所
if (!_.contains(self.supportList, self.name)) {
throw "not support"
}
}
self.setBase = function(base) {
// 切换基地址,用于切换为模拟盘
self.e.SetBase(base)
Log(self.name, self.label, "切换为模拟盘:", base)
}
// 判断数据精度
self.judgePrecision = function (p) {
var arr = p.toString().split(".")
if (arr.length != 2) {
if (arr.length == 1) {
return 0
}
throw "judgePrecision error, p:" + String(p)
}
return arr[1].length
}
// 更新资产
self.updateAcc = function(callBackFuncGetAcc) {
var ret = callBackFuncGetAcc(self)
if (!ret) {
return false
}
self.accData = ret
return true
}
// 更新持仓
self.updatePos = function(httpMethod, url, params) {
var pos = self.e.IO("api", httpMethod, url, params)
var ret = []
if (!pos) {
return false
} else {
// 整理数据
// {"jsonrpc":"2.0","result":[],"usIn":1616484238870404,"usOut":1616484238870970,"usDiff":566,"testnet":true}
try {
_.each(pos.result, function(ele) {
ret.push(ele)
})
} catch(err) {
Log("错误:", err)
return false
}
self.pos = ret
}
return true
}
// 更新行情数据
self.updateTicker = function(url, callBackFuncGetArr, callBackFuncGetTicker) {
var tickers = []
var subscribeTickers = []
var ret = self.httpQuery(url)
if (!ret) {
return false
}
// Log("测试", ret)// 测试
try {
_.each(callBackFuncGetArr(ret), function(ele) {
var ticker = callBackFuncGetTicker(ele)
tickers.push(ticker)
if (self.subscribeList.length == 0) {
subscribeTickers.push(ticker)
} else {
for (var i = 0 ; i < self.subscribeList.length ; i++) {
if (self.subscribeList[i] == ticker.symbol) {
subscribeTickers.push(ticker)
}
}
}
})
} catch(err) {
Log("错误:", err)
return false
}
self.tickers = tickers
self.subscribeTickers = subscribeTickers
return true
}
self.getTicker = function(symbol) {
var ret = null
_.each(self.subscribeTickers, function(ticker) {
if (ticker.symbol == symbol) {
ret = ticker
}
})
return ret
}
self.httpQuery = function(url) {
var ret = null
try {
var retHttpQuery = HttpQuery(url)
ret = JSON.parse(retHttpQuery)
} catch (err) {
// Log("错误:", err)
ret = null
}
return ret
}
self.returnTickersTbl = function() {
var tickersTbl = {
type : "table",
title : "tickers",
cols : ["symbol", "ask1", "bid1"],
rows : []
}
_.each(self.subscribeTickers, function(ticker) {
tickersTbl.rows.push([ticker.symbol, ticker.ask1, ticker.bid1])
})
return tickersTbl
}
// 返回持仓表格
self.returnPosTbl = function() {
var posTbl = {
type : "table",
title : "pos|" + self.msg,
cols : ["instrument_name", "mark_price", "direction", "size", "delta", "index_price", "average_price", "settlement_price", "average_price_usd", "total_profit_loss"],
rows : []
}
/* 接口返回的持仓数据格式
{
"mark_price":0.1401105,"maintenance_margin":0,"instrument_name":"BTC-25JUN21-28000-P","direction":"buy",
"vega":5.66031,"total_profit_loss":0.01226105,"size":0.1,"realized_profit_loss":0,"delta":-0.01166,"kind":"option",
"initial_margin":0,"index_price":54151.77,"floating_profit_loss_usd":664,"floating_profit_loss":0.000035976,
"average_price_usd":947.22,"average_price":0.0175,"theta":-7.39514,"settlement_price":0.13975074,"open_orders_margin":0,"gamma":0
}
*/
_.each(self.pos, function(ele) {
if(ele.direction != "zero") {
posTbl.rows.push([ele.instrument_name, ele.mark_price, ele.direction, ele.size, ele.delta, ele.index_price, ele.average_price, ele.settlement_price, ele.average_price_usd, ele.total_profit_loss])
}
})
return posTbl
}
self.returnOptionTickersTbls = function() {
var arr = []
var arrDeliveryDate = []
_.each(self.subscribeTickers, function(ticker) {
if (self.name == "Futures_Deribit") {
var arrInstrument_name = ticker.symbol.split("-")
var currency = arrInstrument_name[0]
var deliveryDate = arrInstrument_name[1]
var deliveryPrice = arrInstrument_name[2]
var optionType = arrInstrument_name[3]
if (!_.contains(arrDeliveryDate, deliveryDate)) {
arr.push({
type : "table",
title : arrInstrument_name[1],
cols : ["PUT symbol", "ask1", "bid1", "mark_price", "underlying_price", "CALL symbol", "ask1", "bid1", "mark_price", "underlying_price"],
rows : []
})
arrDeliveryDate.push(arrInstrument_name[1])
}
// 遍历arr
_.each(arr, function(tbl) {
if (tbl.title == deliveryDate) {
if (tbl.rows.length == 0 && optionType == "P") {
tbl.rows.push([ticker.symbol, ticker.ask1, ticker.bid1, ticker.mark_price, ticker.underlying_price, "", "", "", "", ""])
return
} else if (tbl.rows.length == 0 && optionType == "C") {
tbl.rows.push(["", "", "", "", "", ticker.symbol, ticker.ask1, ticker.bid1, ticker.mark_price, ticker.underlying_price])
return
}
for (var i = 0 ; i < tbl.rows.length ; i++) {
if (tbl.rows[i][0] == "" && optionType == "P") {
tbl.rows[i][0] = ticker.symbol
tbl.rows[i][1] = ticker.ask1
tbl.rows[i][2] = ticker.bid1
tbl.rows[i][3] = ticker.mark_price
tbl.rows[i][4] = ticker.underlying_price
return
} else if(tbl.rows[i][5] == "" && optionType == "C") {
tbl.rows[i][5] = ticker.symbol
tbl.rows[i][6] = ticker.ask1
tbl.rows[i][7] = ticker.bid1
tbl.rows[i][8] = ticker.mark_price
tbl.rows[i][9] = ticker.underlying_price
return
}
}
if (optionType == "P") {
tbl.rows.push([ticker.symbol, ticker.ask1, ticker.bid1, ticker.mark_price, ticker.underlying_price, "", "", "", "", ""])
} else if(optionType == "C") {
tbl.rows.push(["", "", "", "", "", ticker.symbol, ticker.ask1, ticker.bid1, ticker.mark_price, ticker.underlying_price])
}
}
})
}
})
return arr
}
// 初始化
self.init()
return self
}
function main() {
// 初始化,清空日志
if(isResetLog) {
LogReset(1)
}
var m1 = createManager(exchanges[0], [], "option")
var m2 = createManager(exchanges[1], ["BTC-PERPETUAL"], "future")
// 切换为模拟盘
var base = "https://www.deribit.com"
if (isTestNet) {
m1.setBase(testNetBase)
m2.setBase(testNetBase)
base = testNetBase
}
while(true) {
// 期权
var ticker1GetSucc = m1.updateTicker(base + "/api/v2/public/get_book_summary_by_currency?currency=BTC&kind=option",
function(data) {return data.result},
function(ele) {return {bid1: ele.bid_price, ask1: ele.ask_price, symbol: ele.instrument_name, underlying_price: ele.underlying_price, mark_price: ele.mark_price}})
// 永续期货
var ticker2GetSucc = m2.updateTicker(base + "/api/v2/public/get_book_summary_by_currency?currency=BTC&kind=future",
function(data) {return data.result},
function(ele) {return {bid1: ele.bid_price, ask1: ele.ask_price, symbol: ele.instrument_name}})
if (!ticker1GetSucc || !ticker2GetSucc) {
Sleep(5000)
continue
}
// 更新持仓
var pos1GetSucc = m1.updatePos("GET", "/api/v2/private/get_positions", "currency=BTC&kind=option")
var pos2GetSucc = m2.updatePos("GET", "/api/v2/private/get_positions", "currency=BTC&kind=future")
if (!pos1GetSucc || !pos2GetSucc) {
Sleep(5000)
continue
}
// 交互
var cmd = GetCommand()
if(cmd) {
// 处理交互
Log("交互命令:", cmd)
var arr = cmd.split(":")
// cmdClearLog
if(arr[0] == "setContractType") {
// parseFloat(arr[1])
m1.e.SetContractType(arr[1])
Log("exchanges[0]交易所对象设置合约:&以上是关于Deribit期权Delta动态对冲策略的主要内容,如果未能解决你的问题,请参考以下文章