What Is a Zero Cost Collar?

什么是零成本套期保值策略？

A zero cost collar is a form of options collar strategy that limits your losses. To execute it, you sell a short call option and buy a long put option whose prices cancel each other out. The downside of this strategy is that profits are capped if the underlying asset's price increases.

零成本套期保值策略是一种套期保值策略，可减少损失。执行此策略时，您出售一个短期看涨期权并购买一个长期看跌期权，这两者的价格相互抵消。这种策略的缺点是，如果基础资产的价格上涨，利润也将被限制。

 

KEY TAKEAWAYS

关键要点

·A zero cost collar strategy is used to hedge against voatility in an underlying asset's prices.

·零成本套期保值策略用于对冲基础资产价格的波动。

·A zero cost collar strategy involves selling a short call and buying a long put that place a cap and floor on profits and losses for the underlying.

·零成本套期保值策略涉及卖出短期看涨期权和购买长期看跌期权，为基础资产的利润和损失设定上限和下限。

·It may not always be successful because premiums or prices of different option types do not always match.

·由于不同期权类型的溢价或价格不总是匹配，因此这种策略可能并不总是可行的。

 

 

Understanding Zero Cost Collar

了解零成本套期保值策略

A zero cost collar strategy involves the outlay of money on one half of the strategy, which offsets the cost incurred by the other half. It is a protective options strategy implemented after your long position in a stock experiences substantial gains.

零成本套期保值策略是指在策略的一半上花费资金，抵消另一半产生的成本。在股票长期持有并取得大幅收益后，实施这种保护性的期权策略。

 

To create the position, you use a stock you own, buy a protective put, and sell a covered call. Other names for this strategy include zero cost options, equity risk reversals, and hedge wrappers.

为了创建头寸，您需要使用您拥有的股票，买入保护性的看跌期权，并卖出备兑看涨期权。这种策略也称为零成本期权、股权风险逆转和对冲包装。

 

 

To implement a zero cost collar, you buy an out-of-the-money put option (making the seller buy the underlying at strike) and simultaneously sell an out-of-the-money call option (hoping the buyer purchases the underlying at strike) with the same expiration date.

为了实施零成本套期保值策略，您需要买入一份出权益外的看跌期权（使卖方以行权价格购买基础资产）并同时卖出一份价外的看涨期权（希望买方在行权价买入标的物），这两者到期日相同。

 

For example, imagine you purchased a stock for $100. One month later, it was trading at $120 per share. You want to lock in some gains, so you buy a put option with a $115 strike price at $0.95 and sell a call with a $124 strike price for $0.95. In terms of dollars, the put will cost $0.95 x 100 shares per contract = $95.00. The call will create a credit of $0.95 x 100 shares per contract—the same $95.00. Therefore, the net cost of this trade is zero, and you've locked in profits.

例如，假设您以$100的价格购买了一支股票。一个月后，它的交易价格为每股$120。您想锁定部分收益，因此您以$0.95的价格购买一个行权价格为$115的看跌期权，并以$0.95的价格出售一个行权价格为$124的看涨期权。以美元计算，看跌期权的成本将为$0.95 x 100股每合约 = $95.00。看涨期权将创造一个$0.95 x 100股每合约的信用，即相同的$95.00。因此，这笔交易的净成本为零，您已经锁定了利润。

 

 

Using the Zero Cost Collar

零成本套期保值策略的使用

Executing this strategy is not always possible as the premiums—or prices—of the puts and calls do not always match exactly. Therefore, investors can decide how close to a net cost of zero they want to get. Choosing puts and calls that are out of the money by different amounts can result in a net credit or debit to the account.

此策略并不总是可行，因为看跌期权和看涨期权的溢价（或价格）并不总是完全匹配。因此，投资者可以决定他们希望达到多接近零净成本。选择不同金额的权益外的看跌期权和看涨期权可能导致账户净信用或借记。

 

The further out-of-the-money the option, the lower its premium. Therefore, to create a collar with only a minimal cost, you can choose a call option farther out of the money than the respective put option. In the previous example, that could be a strike price of $125.

期权离权益越远，其溢价越低。因此，为了创建只有最小成本的套期保值，您可以选择一个比相应的看跌期权更离权益外的看涨期权。在前面的例子中，那可能是$125的行权价格。

 

To create a collar with a small credit to the account, you do the opposite—choose a put option farther out of the money than the respective call. In the example, that could be a strike price of $114.

为了创建一个对账户有少量信用的套期保值，您需要做的恰恰相反——选择一个比相应的看涨期权更离权益外的看跌期权。在这个例子中，那可能是$114的行权价格。

 

If the collar resulted in a net cost or debit, that outlay would reduce the profit. On the other hand, if the collar resulted in a net credit, that amount is added to the total profit.

如果套期保值导致净成本或借记，那么这笔支出会减少利润。另一方面，如果套期保值导致净信用，那么这笔金额会被加到总利润中。

 

At the expiration of the options, the maximum loss would be the difference between your purchase price and the value of the stock at the lower strike price, even if the underlying stock price fell sharply. The maximum gain would be the difference between the purchase price and the value of the stock at the higher strike, even if the underlying stock moved up sharply. If the stock closed within the strike prices, then there would be no effect on its value to you because the options would expire.

在期权到期时，最大的损失将是您的购买价格与股票在较低行权价格处的价值之间的差额，即使基础股票价格急剧下跌。最大的收益将是购买价格与股票在较高行权价格处的价值之间的差额，即使基础股票价格急剧上涨。如果股票收盘时在行权价格之间，那么它对您的价值将没有任何影响，因为期权会到期。

 

Is a Costless Collar Really Costless?

零成本套期保值真的是无成本的吗？

 

Buying and selling the option make the collar costless, although additional fees and costs might be associated with the trade.

买卖期权使套期保值无成本，尽管交易可能伴随着额外的费用和成本。

 

What Is the Benefit of a Zero Cost Collar?

零成本套期保值策略的好处是什么？

This strategy minimizes your losses if the market takes a turn for the worse. However, your gains are also minimized by selling the call. That will be the highest price you can get for your stock unless the buyer elects not to exercise.

如果市场出现不利转折，此策略将最大限度地减少您的损失。然而，出售看涨期权也会最大限度地减少您的收益。除非买家选择不行使权利，否则这将是您可以获得的股票的最高价格。

 

What Is the Risk Reversal?

什么是风险逆转？

Risk reversal is the same strategy as a zero cost collar. You sell a call and buy a put on a long position to minimize the risk of significant losses.

风险逆转策略与零成本套期保值策略相同。您出售一个看涨期权，并在多头头寸上买入一个看跌期权，以最大限度地减少重大损失的风险。

 

The Bottom Line

总结

The zero cost collar is a long position strategy that protects you from significant losses if the market drops. To create the collar, you buy a put with a lower strike price and sell a call with a higher strike price. This creates a safety net for you but also limits how much you can make on the underlying asset if the call purchaser exercises.

零成本套期保值策略是一种长期策略，可在市场下跌时保护您免受重大损失。为了创建套期保值，您需要买入一个行权价格较低的看跌期权，并出售一个行权价格较高的看涨期权。这为您创建了一个安全网，但也限制了您在看涨期权购买者行使权利时从基础资产中获得的金额。

 

By JAMES CHEN

作者：JAMES CHEN

Updated May 20, 2023

更新日期：2023年5月20日

Reviewed by THOMAS J. CATALANO

审核：THOMAS J. CATALANO