Option Delta Neutral Automated System and Financial Instrument Trading System

Abstract

Monitoring the delta value, which is a source of directional risk, and trading Nikkei 225 mini indices when the delta value changes from zero requires constant monitoring and trading by users, which places a heavy burden on users and is virtually impossible for individual investors in particular. [Solution] The Option Delta Neutral Automation System 3 calculates the delta value of an option based on market information acquired in real time from a market information acquisition unit 31 connected to a market information database 21 of a financial instruments trading device at a financial instruments business operator, and the rate of change in stock price. When the delta value is not 0, the calculation processing unit 32 makes an automatic trading decision for the held futures in order to return the delta value to 0, and performs automatic trading of the held futures based on the decision of the calculation processing unit 32.

Description

[Technical Field]

[0001] The present invention relates to an option delta neutral automatic system (ZERO-Automatic DeltaHedging system) and a financial product trading system for reducing the burden on option transaction users, particularly individual investors, in option transactions. [Background Art]

[0002] Conventional option transactions are transactions of the right to buy or sell an underlying asset (Nikkei 225) at a predetermined price on a predetermined date. Option prices are affected by the rise and fall of the underlying asset. If the underlying asset fluctuates as expected, a profit is obtained, but if the underlying asset fluctuates contrary to the expectation, a loss is incurred.

[0003] In the apparatus of Patent Document 1, a user pre-regulates order information indicating option issues that meet their purposes, and can automatically and repeatedly place orders to buy optimal option issues at a price not higher than the specified price set by the user without requiring subsequent manual operations by the user, thereby addressing the reduction of the burden on option transaction users.

[0004] In the apparatus of Patent Document 2, for option purchases, timing is measured when a loss is likely to occur, and automatic trading is performed to obtain appropriate profits, and the burden on option transaction users is reduced. [Prior Art Documents] [Patent Documents]

[0005] [Patent Document 1] Japanese Unexamined Patent Application Publication No. 2019-185375 [Patent Document 2] Japanese Unexamined Patent Application Publication No. 2003-308435 [Summary of the Invention] [Problem to be Solved by the Invention]

[0006] However, the device described in Patent Document 1 is an automated option trading device that determines options that meet the conditions specified by the investor and realizes the investor's judgment in response to the directional risk of fluctuations in the underlying asset, but it has the problem of not considering losses due to errors in the investor's judgment.

[0007] The device described in Patent Document 2 is an automated option trading device that, in option trading, closes positions that may incur losses when the selling spread of a put option reaches a certain price, buys other positions in the next expiration month or later, and rolls over the spread itself. This device avoids errors in investors' investment decisions and prevents the expansion of losses. However, it is limited to situations where trading is frequent and option prices are correctly determined, and does not take into account situations where option prices are not correctly determined, such as during night trading or when trading liquidity is low, meaning that there is a possibility that offsetting trades at the correct price cannot be made.

[0008] Therefore, the objective of the present invention is to provide an automated option delta-neutral system that calculates an index of directional risk from open positions held through option trading and futures trading conducted between users and financial instrument trading equipment at financial instrument trading companies via user terminals, and implements measures against directional risk by automating futures trading that was previously performed manually, thereby reducing the burden on users and mitigating the directional risk of the underlying asset. [Means for solving the problem]

[0009] To solve the aforementioned problems, the invention described in claim 1 is characterized by comprising: market information obtained in real time from a market information acquisition unit connected to a market information database of the financial instruments trading device of the financial instruments business operator; and a trading processing unit that calculates the delta value of an option based on the rate of change in stock price, and when the delta value is not 0, performs an automated trading decision for the futures in a calculation processing unit to return the delta value to 0, and performs trading of the futures based on the decision.

[0010] The invention according to claim 2 is characterized in that, when the delta value of an option constantly monitored by the market information acquisition unit exceeds or falls below a threshold set in advance by the user terminal, the calculation processing unit calculates the difference with a delta value of 0, makes a decision to automatically buy or sell the futures individually or in combination with other futures so that the difference becomes 0, and issues a buy or sell instruction to the trading processing unit.

[0011] The invention according to claim 3 includes a function in the calculation processing unit that obtains the underlying asset price, exercise price, remaining days until maturity, risk-free interest rate, dividend yield, and current option price information from the market information acquisition unit, and calculates the stock price fluctuation rate in real time using three methods.

[0012] If the bid and ask prices are within an acceptable range, the first function determines the option price using the midpoint of the bid / ask price weighted by quantity, thereby calculating the stock price fluctuation rate. If the bid price and ask price diverge beyond the acceptable range, the second function determines the option price using put-call parity, using the put option price if you want to determine the call option price, and the put option price if you want to determine the put option price, and calculates the stock price fluctuation rate. In case the option price cannot be calculated using any of the above methods, the system includes a third function that draws a graph (smile curve) estimating the stock price fluctuation rate for all the exercise prices of the options with prices attached, and estimates and calculates the stock price fluctuation rate of the held options. The system monitors market conditions and, if the divergence between the bid and ask prices is within an acceptable range, uses the stock price fluctuation rate from the first function; if the divergence between the bid and ask prices exceeds an acceptable range, uses the stock price fluctuation rate from the second function; and if the option price cannot be calculated, uses the stock price fluctuation rate from the third function. The system inputs the underlying asset price, the exercise price, the number of days remaining until maturity, the risk-free interest rate, the dividend yield, and the option price into the Black-Scholes model to calculate the delta value.

[0013] The invention according to claim 4 comprises the financial trading device in the financial instruments business operator, the option delta-neutral automation system according to claim 1, 2, or 3 connected by a communication network, and the user terminal connected to the option delta-neutral automation system.

[0014] The financial instruments trading device includes a market information database that receives market information from a securities trading device and provides the market information to the user through the user terminal, an order processing unit that processes order requests from the user through the user terminal along with futures trading instructions from the calculation processing unit and places orders with the financial instruments trading device at the financial instruments trading company, and an account information database that manages customer account information.

[0015] The aforementioned optional delta-neutral automation system provides the market information described in claim 1. It includes an acquisition unit, a calculation processing unit, a transaction processing unit, and a user management unit that manages the user's registration information and the futures trading history, etc.

[0016] The user terminal includes a threshold setting unit that sets the threshold value of the delta value to the calculation processing unit of the optional delta-neutral automation system. [Effects of the Invention]

[0017] With this invention, in the aforementioned option trading, the delta-neutralization operation and the buying and selling operations of Nikkei 225 mini and other instruments, which were previously performed manually, are automated, thereby hedging directional risk and significantly reducing the burden on users (especially individual investors). [Brief explanation of the drawing]

[0018] [Figure 1]It is a schematic block diagram schematically showing an option delta neutral automation system and a financial product trading system according to an embodiment of the present invention, and is a schematic block diagram in a case where the option delta neutral automation system is installed on a server of a service provider. [Figure 2] It is an example of a display screen on a user terminal according to the embodiment, where (a) is an initial transaction screen and (b) is an application screen for the option delta neutral automation system. [Figure 3] It is an example of a display screen on a user terminal according to the embodiment, which shows an option list. [Figure 4] It is an example of a display screen on a user terminal according to the embodiment, which is a digital hedge screen of the option delta neutral automation system. [Figure 5] It is an example of a display screen on a user terminal according to the embodiment, which shows delta values before and after digital hedging, where (a) is the screen before digital hedging and (b) is the screen after delta hedging. [Figure 6] It is an example of a display screen on a user terminal according to the embodiment, which is a list of stock price volatility rates listed by a user. [Figure 7] It is a schematic block diagram schematically showing an option delta neutral automation system and a financial product trading system according to the embodiment, and is a schematic block diagram in a case where the option delta neutral automation system is installed in a financial product trading apparatus of a financial product transaction dealer. [Figure 8] It is a schematic block diagram schematically showing an option delta neutral automation system and a financial product trading system according to the embodiment, and is a schematic block diagram in a case where the option delta neutral automation system is installed on a user terminal. MODE FOR CARRYING OUT THE INVENTION

[0019] Embodiments of this invention will be described with reference to Figures 1 to 8. It is assumed that users of the Option Delta Neutral Automation System 3, via the user terminal 4, have opened a trading account with a financial instruments business operator via the user terminal 4.

[0020] According to Figure 1, this is an overall configuration diagram for conducting option trading, including the Option Delta Neutral Automated System 3.

[0021] The system comprises a securities trading device 1 owned by a stock exchange that publishes market information and accepts buy and sell orders for options and futures such as Nikkei 225 futures, Nikkei 225 mini, and Nikkei 225 micro; a financial instruments trading device 2 owned by a financial instruments business operator that processes buy and sell orders for options and futures from users via user terminals 4; an option delta-neutral automation system 3 installed on a server owned by a service provider, which provides services for buying and selling options and automated futures orders from users via user terminals 4, and acts as an intermediary between the financial instruments trading device 2 and user terminals 4; and multiple user terminals 4, each owned by multiple users who use the service to place buy and sell options and futures orders.

[0022] The securities trading device 1 consists of a market information unit 11 that stores market information in real time, and an order receiving unit 12 that processes buy and sell orders from the financial instruments trading device 2.

[0023] The market information section 11 stores market information related to option trading, such as the underlying asset price, exercise price, number of days remaining until maturity, risk-free interest rate, and dividend yield, and makes it publicly available via a communication network on the websites of stock exchanges that have securities trading equipment 1.

[0024] The order receiving unit 12 processes option orders and futures buy and sell orders from financial instrument trading devices 2 used by financial instrument business operators.

[0025] The financial instruments trading device 2 includes a market information database 21 that stores market information obtained from the market information unit 11 of the securities trading device 1 and processed for use by each broker; an order processing unit 22 that receives user orders through the user terminal 4 and processes the orders on the securities trading device 1; and an account information database 23 that stores account information such as user position information, order authority, and margin viewing authority.

[0026] The market information database 21 acquires various market information, such as the underlying asset price, exercise price, number of days remaining until maturity, risk-free interest rate, and dividend yield, from the market information unit 11 of the securities trading device 1, processes it for users, and stores it in the market information database 21.

[0027] The stored market price information is provided via the communication network according to the user's request through the option delta-neutral automated system 3 and the user terminal 4.

[0028] The order processing unit 22 accepts orders for option trading and futures trading from the user via the option delta-neutral automation system 3 through the screen displayed on the user terminal 4, processes the orders at the order acceptance unit 12 of the securities trading device 1, and the order status is shared with the user from the user terminal 4.

[0029] The account information database 23 manages information such as user information, user order history, asset information, user position information, order authority, and margin viewing authority.

[0030] This management data allows users to access a dedicated page of the financial instruments business operator that has the financial instruments trading device 2 via the user terminal 4, and change their current asset status and user information by entering their ID and password.

[0031] The Option Delta Neutral Automation System 3 is installed on a server owned by the service provider and includes a market information acquisition unit 31 that acquires market information from the market information database 21 of the financial instruments trading device 2; a calculation processing unit 32 that calculates the delta value based on the market information and performs calculations to return the delta value to 0 if it is not 0, and makes decisions on futures trading; a transaction processing unit 33 that processes option trading and futures trading based on futures trading decision information; a user management unit 34 that manages the user's registration information and option trading and futures trading history; and a response processing unit 35 that processes user responses through the user terminal 4.

[0032] The market information acquisition unit 31 acquires and manages in real time the basic market information required by the option delta-neutral automated system 3, such as the underlying asset price, strike price, option price, number of days remaining until the option expires, risk-free interest rate, and dividends, from the market information database 21 of the financial instruments trading device 2.

[0033] The calculation processing unit 32 inputs market information and stock price fluctuation rates into the Black-Scholes model to calculate the delta value of the option and makes decisions on futures trading to return the delta value to zero if it is not zero.

[0034] Generally, the delta value is calculated by dividing the theoretical fluctuation range of the option price based on market information by the fluctuation range of the underlying asset price based on stock price fluctuations. However, to calculate the delta value of an option more accurately, market information is input into the Black-Scholes model to calculate the delta value of the option.

[0035] The stock price fluctuation rate is calculated as follows:

[0036] When the bid and ask prices diverge within an acceptable range, the first function determines the option price using the midpoint of the bid / ask price weighted by quantity, thereby calculating the stock price fluctuation rate. When the bid and ask prices exceed an acceptable range, the second function determines the option price using put-call parity, using the price of the put option to determine the price of the put option, and calculates the stock price fluctuation rate. In case the option price cannot be calculated using any of the above methods, the system includes a third function that draws a graph (smile curve) estimating the stock price fluctuation rate for all strike prices from the options with prices, and calculates the stock price fluctuation rate of the held options. The system monitors market conditions and calculates the stock price fluctuation rate using the stock price fluctuation rate from the first function if the divergence between the bid and ask prices is within an acceptable range, the stock price fluctuation rate from the second function if the divergence between the bid and ask prices exceeds an acceptable range, and the stock price fluctuation rate from the third function if the option price cannot be calculated.

[0037] The transaction processing unit 33 receives buy and sell requests for options from users via the user terminal 4, as well as automated buy and sell decisions for futures from the calculation processing unit 32, and processes buy and sell orders for options and futures in the order processing unit 22 of the financial instruments trading device 2.

[0038] The user management unit 34 manages the registration information of users who conduct option trading, as well as the trading history of options and futures, from the screen displayed on the user terminal 4 via the option delta-neutral automation system 3.

[0039] The response processing unit 35 connects to the market information acquisition unit 31, the transaction processing unit 33, and the user management unit 34 via the user terminal 4 in accordance with the user's request, and the processing results are sent back to the user via the user terminal 4.

[0040] For example, if a user requests to view market price information through the user terminal 4, the market price information acquisition unit 31 displays a list of market price information on the user terminal 4.

[0041] The following effects will be explained.

[0042] The user connects to the dedicated website of the financial instruments business operator that has the financial instruments trading device where they have opened an options trading account, via a communication network from the user terminal 4 (PC, tablet, smartphone, etc.). When the user enters their ID and password through the user terminal 4, the initial trading screen is displayed on the user terminal 4 as shown in Figure 2(a). To use the Option Delta Neutral Automation System 3 service from the initial trading screen, the user presses the setting application button 52 displayed on the user terminal 4 and enters the period in the access permission setting section 53 on the application screen of the Option Delta Neutral Automation System 3 shown in Figure 2(b), thereby enabling the use of the Option Delta Neutral Automation System 3.

[0043] After setting the usage period on the application screen in Figure 2(b), the user returns to the screen in Figure 2(a) and presses the option trading button from the transaction list 51. The list of tradable options shown in Figure 3 is displayed on the user terminal 4, and the user selects an option from the list and presses the new button 54 to start option trading and buy or sell the option.

[0044] When an option buy or sell order is executed, the delta hedging screen shown in Figure 4 is displayed on the user terminal 4, and the option securities for which the buy or sell order was placed are displayed as open positions. Additionally, they are displayed as inactive securities, indicating that the operation to reset the delta value to zero has not been performed.

[0045] To enable the Delta Value Calculation and Automated Futures Trading to Reset the Delta Value, which are functions of the Option Delta Neutral Automation System 3, check the Inactive Instruments 55 on the Delta Hedge Screen in Figure 4, and input the Delta Hedge Threshold Value from the User Terminal 4 in the Delta Value Threshold Setting Section 56 on the Delta Hedge Screen in Figure 4. This enables the system and the value is then stored in the Calculation Processing Unit 32.

[0046] The delta hedging threshold set in the threshold setting unit 56 is the threshold for initiating automated futures trading to return the option's delta value to zero when it is not zero. Automated futures trading is initiated when the value exceeds or falls below the threshold.

[0047] By setting a threshold in the threshold setting unit 56 and pressing the active button in the position selection unit 57 on the delta hedge screen in Figure 4, the option delta neutral automation system 3 starts calculating the delta value and automatically trading futures to return the delta value to 0.

[0048] When multiple options are traded, setting the threshold values ​​to be equal and activating each option will sum the delta values ​​of the multiple options. If this sum is not zero, automated futures trading will be performed to reset the summed delta value to zero.

[0049] An example of resetting this delta value to 0 is shown below.

[0050] In addition to the Nikkei 225 mini futures (delta value +0.1), there are also Nikkei 225 futures (delta value +1.0) and Nikkei 225 micro futures (delta value +0.01). The Option Delta Neutral Automated System 3 automatically trades these futures by combining them when the option delta is not zero, so that the delta value approaches zero.

[0051] For example, if the underlying asset (Nikkei 225 Stock Average) is 40,000 yen and a new long call option of 40,000 yen is opened, the delta value is +0.5. Since the delta value of the Nikkei 225 mini futures is fixed at 0.1, the Option Delta Neutral Automated System 3 automatically opens 5 new short positions in Nikkei 225 mini futures, resulting in a delta value of -0.5. This is added to the delta value of the option, and the total delta value becomes 0.

[0052] The following day, if the underlying asset rises to 40,500 yen, and the delta value of the call option 40,000 becomes +0.55 in conjunction with this, the Option Delta Neutral Automated System 3 calculates the total position delta as +0.05, taking into account the existing short position of 5 Nikkei 225 mini contracts. By automatically opening a new short position of 5 Nikkei 225 micro futures contracts, which have a fixed delta value of +0.01, the total delta value becomes +0.55 - 0.5 - 0.05 = ±0.

[0053] Two days later, if the underlying asset falls to 40,000 yen, and the delta value of the 40,000 call option returns to +0.5 in conjunction with this, the total position delta is calculated to be -0.05, taking into account the existing short positions of 5 Nikkei 225 mini contracts and 5 Nikkei 225 micro futures contracts. Since this is a deviation of -0.05 from the previous day's total position delta value (±0), the total position delta value is reset to 0 again by opening a new long position of 5 Nikkei 225 micro futures contracts.

[0054] The optional delta-neutral automation system 3 handles these operations automatically.

[0055] Figure 5 illustrates an example of the automated processing of the actual Option Delta Neutral Automation System 3.

[0056] Figure 5 shows the execution screen of the Option Delta Neutral Automation System 3 displayed on the user terminal 4, before and after setting the threshold to +0.01 and resetting the total position delta value to 0. Figure 5(a) is before resetting the total position delta value to 0, and the delta value of 58 is +0.011. Figure 5(b) is after resetting the option delta value to 0, and the delta value of 59 is +0.001. This is the result of a new short position of one Nikkei 225 micro futures contract being opened to reset the option delta to 0, causing the delta value of 59 to become +0.001, and then the process of resetting the delta value to 0 was executed.

[0057] Furthermore, as shown in Figure 6, it is also possible to manually set the stock price fluctuation rate, for example, by selecting from a list of 60 stock price fluctuation rates prepared by the user in advance of times when option trading is less active, such as at night, or by setting a predicted future stock price fluctuation rate.

[0058] In addition, the optional delta-neutral automation system 3 can be installed and used on the service provider's server, or installed and used on the financial instruments trading equipment 2 of a financial instruments business operator as shown in Figure 7, or on the user terminal 4 as shown in Figure 8.

[0059] Furthermore, the method for calculating the delta value is not limited to methods using the Black-Scholes model. [Explanation of symbols]

[0060] 1… Securities trading equipment 2…Financial transaction device 3…Optional Delta-Neutral Automated System 41, 42, ...4 j ,4…User terminals 11…Market Information Department 12…Order Reception Department 21…Market Information Database 22... Order Processing 23…Account Information Database 31…Market Information Acquisition Department 32… Processing Unit 33…Transaction Processing Department 34…User Management Department 35...Response Processing Unit 51...Transaction list display section 52...Setup Application Department 53... Access period setting section 54…Options trading start button 55... Check box for inactive stocks 56...Threshold setting section 57...Position setting section 58...Delta value before delta hedging 59…Delta value after delta hedging 60…Listed stock price fluctuation rates

Claims

1. A market information acquisition unit that connects to the market information database of financial instrument business operators and acquires market information in real time, Based on the acquired market information and stock price fluctuation rate, a calculation processing unit calculates the delta value of the option, and if the delta value is not zero, makes an automated trading decision for the futures held in order to return the delta value to zero. Based on the judgment of the aforementioned calculation processing unit, a transaction processing unit performs buy and sell processing on the futures it holds, An optional delta-neutral automation system equipped with [feature name missing].

2. The option delta-neutral automation system according to claim 1, characterized in that the calculation processing unit calculates the difference from zero when the delta value of the option, which is constantly monitored by the market information acquisition unit, exceeds or falls below a threshold set in advance by the user via the user terminal, and makes a decision to automatically buy or sell the futures individually or in combination of multiple futures so that the difference becomes zero, and issues a buy or sell instruction to the trading processing unit.

3. The calculation processing unit has the function of obtaining the underlying asset price, exercise price, number of days remaining until maturity, risk-free interest rate, dividend yield, and current option price information from the market information acquisition unit, and calculating the stock price fluctuation rate in real time using three methods. If the bid and ask prices are within an acceptable range, the first function determines the option price using the midpoint of the bid / ask price weighted by quantity, thereby calculating the stock price fluctuation rate. If the bid price and ask price diverge beyond the acceptable range, the second function determines the option price using put-call parity, using the put option price if the call option price is desired, and calculates the stock price fluctuation rate. In case the option price cannot be calculated by any of the above, the system includes a third function that draws a graph (smile curve) estimating the stock price fluctuation rate for all the exercise prices of the options that have a price attached, and estimates and calculates the stock price fluctuation rate of the options held. An automated option delta-neutral system according to claim 1, characterized in that it monitors market conditions, uses the stock price fluctuation rate of the first function if the divergence between the bid and ask prices is within an acceptable range, uses the stock price fluctuation rate of the second function if the divergence between the bid and ask prices exceeds an acceptable range, and uses the stock price fluctuation rate of the third function if the option price cannot be calculated, inputs the underlying asset price, the exercise price, the number of days remaining until maturity, the risk-free interest rate, the dividend yield, and the option price into a Black-Scholes model to calculate the delta value.

4. An optional delta-neutral automation system according to any one of claim 1, claim 2, or claim 3, The financial instruments trading equipment of the aforementioned financial instruments business operator, A user terminal, and The financial instruments trading device includes a market information database that receives market information from a securities trading device and provides the market information to users through a user terminal, The order processing unit processes futures trading instructions from the calculation processing unit and orders the user's order request through the user terminal and places the order with the financial instruments trading device, It has an account information database that manages customer account information. The aforementioned option delta-neutral automation system includes the market information acquisition unit described in claim 1, The aforementioned calculation processing unit, The aforementioned transaction processing unit, The system includes a user management unit that manages the user's registration information and futures trading history from the user terminal. A financial instrument trading system characterized in that the user terminal includes a threshold setting unit that sets the value of the delta threshold to the calculation processing unit of the optional delta-neutral automation system.

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