Option Delta Neutral Automated System and Financial Instruments Trading System

Abstract

Monitoring the delta value, which is an indicator of directional risk, and buying and selling the Nikkei 225 mini when the delta value changes from 0 require constant monitoring and buying and selling by users, which places a heavy burden on users and makes it nearly impossible for individual investors in particular. [Solution] The option delta neutral automated system 3 calculates the delta value of an option based on stock price fluctuations and market price information acquired in real time from a market price information acquisition unit 31 connected to a market price information database 21 of a financial instruments trading device at a financial instruments business operator. When the delta value is not 0, an arithmetic 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 processing for the held futures based on the decision of the arithmetic processing unit 32.

Description

[Technical Field]

[0001] This invention relates to an option delta neutral automated system (ZERO-Automatic DeltaHedging system) and a financial product trading system for reducing the burden on option trading users, particularly individual investors, in option trading. [Background technology]

[0002] Traditional options trading involves trading the right to buy or sell an underlying asset (the Nikkei 225) at a predetermined price on a predetermined date. The option price is affected by the rise or fall of the underlying asset, and if the underlying asset fluctuates as expected, there will be a profit, but if the underlying asset fluctuates contrary to expectations, there will be a loss.

[0003] The device in Patent Document 1 allows users to pre-register order information indicating the option stocks that suit their purposes, and then automatically places repeated orders to purchase the most suitable option stocks at or below the designated price set by the user, without requiring any manual work from the user, thereby reducing the burden on option trading users.

[0004] The device of Patent Document 2 aims to obtain appropriate profits by automatically trading options by timing when losses will occur, and to reduce the burden on option trading users. [Prior art documents] [Patent documents]

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

[0006] However, while the device in Patent Document 1 is an automatic options trading device that determines options that meet the conditions specified by investors in options trading and realizes investors' decisions in response to the directional risk of fluctuations in the underlying assets, it has the problem of not taking into consideration losses due to incorrect investor decisions.

[0007] The device in Patent Document 2 is an automatic options trading device that, when the selling spread of a put option reaches a certain price in options trading, settles an open position that may result in an increased loss, purchases another open position in the next contract month or later, and rolls the spread itself, thereby avoiding investors' erroneous investment decisions and preventing the increase of losses. However, this is only effective when transactions are frequent and the option price is correctly priced, and does not take into account cases where the option price is not correctly priced, such as during night trading or when trading liquidity is low, which may result in an inability to execute a counter trade at the correct price.

[0008] Therefore, the object of the present invention is to provide an automated option delta neutral system that calculates directional risk indicators from options trading and open positions held through futures trading conducted between users and financial instruments trading devices at financial instruments traders via user terminals, and realizes measures to address directional risk by automating futures trading, which has previously been done manually, thereby reducing the burden on users and the directional risk of underlying assets. [Means for solving the problem]

[0009] In order to solve this problem, the invention according to claim 1 is as follows: The system comprises a market information acquisition unit that is connected to a market information database of a financial instruments business operator and acquires market information in real time, a calculation processing unit that calculates the delta value of an option based on the acquired market information and stock price volatility, and makes automatic buying and selling decisions for futures held in order to return the delta value to 0 when the delta value is not 0, and a transaction processing unit that performs buying and selling processing for the futures held based on the decision of the calculation processing unit, wherein the calculation processing unit acquires information on the underlying asset price, strike price, number of days remaining until maturity, risk-free interest rate, dividend yield, and current option price from the market information acquisition unit and has a function of calculating the stock price volatility in real time using three methods, and has a first function of determining an option price using a quoted volume weighted average midpoint when the difference between the ask price and the bid price is within an allowable range and thereby calculating the stock price volatility, and a second function of calculating a call option when the difference between the bid price and the ask price is beyond an allowable range. a second function of determining the option price by put-call parity using the price of a put option when it is desired to obtain the price of the put option, or the price of a call option when it is desired to obtain the price of the put option, and calculating the stock price volatility; and a third function of drawing a graph (smile curve) that estimates the stock price volatility of all the exercise prices from the options that have prices, and estimating and calculating the stock price volatility of the options held, in preparation for when the option price cannot be calculated by either of the above methods, and monitoring market conditions, and using the stock price volatility of the first function when the difference between the ask price and the bid price is within an allowable range, and using the stock price volatility of the second function when the difference between the ask price and the bid price exceeds an allowable range, and calculating the delta value of the option using the stock price volatility of the third function when the option price cannot be calculated. It is characterized by:

[0010] In the invention of claim 2, when the delta value of an option that is constantly monitored by the market price information acquisition unit exceeds or falls below a threshold value that is set in advance from the user terminal, the calculation processing unit calculates the difference from the delta value of 0, makes a decision to automatically trade the futures alone or in combination with multiple futures so that the difference becomes 0, and issues a trading instruction to the transaction processing unit.

[0011] The invention according to claim 3 is characterized in that, in the arithmetic processing unit, The delta value is calculated by inputting the stock price volatility rate into a Black-Scholes model based on 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.

[0013] The invention according to claim 4 is as follows: An option delta neutral automation system comprising: a financial instruments trading device at the financial instruments business operator; and a user terminal, wherein the financial instruments trading device comprises: a market price information database that receives market price information from a securities trading device and provides the market price information to users through the user terminal; an order processing unit that processes order requests from the users through the user terminal together with futures buying and selling instructions from the processing unit and places orders with the financial instruments trading device; and an account information database that manages customer account information; and the option delta neutral automation system comprises: the market price information acquisition unit according to claim 1, the processing unit, the transaction processing unit, and a user management unit that manages the user's registration information and futures buying and selling history from the user terminal; and the user terminal comprises a threshold setting unit that sets a threshold value for the delta value in the processing unit of the option delta neutral automation system. It is characterized by: [Effects of the Invention]

[0017] With this invention, delta neutral operations and buying and selling operations for Nikkei 225 mini and the like, which have previously been performed manually in option trading, can be automated, thereby hedging directional risk and significantly reducing the burden on users (especially individual investors). [Brief explanation of the drawings]

[0018] [Figure 1] FIG. 1 is a schematic block diagram illustrating an option delta neutral automated system and a financial product trading system according to an embodiment of the present invention, in which the option delta neutral automated system is installed on a server of a service provider. [Figure 2] 10A and 10B are examples of a display screen of a user terminal according to the embodiment, in which FIG. 10A is an initial transaction screen, and FIG. 10B is an application screen for an option delta neutral automated system. [Figure 3] 10 is an example of a display screen of a user terminal according to the embodiment, showing a list of options. [Figure 4] 10 is an example of a display screen of a user terminal according to the embodiment, showing a digital hedge screen of an option delta neutral automated system. [Figure 5] 10A and 10B are examples of a user terminal display screen according to the embodiment, showing 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] 10 is an example of a display screen of a user terminal according to the embodiment, showing a list of stock price fluctuation rates listed by a user. [Figure 7] FIG. 1 is a schematic block diagram showing an option delta neutral automated system and a financial product trading system according to the embodiment, in which the option delta neutral automated system is installed in a financial product trading device at a financial product trader. [Figure 8] FIG. 1 is a schematic block diagram illustrating an option delta neutral automated system and a financial product trading system according to the embodiment, in which the option delta neutral automated system is installed in a user terminal. DETAILED DESCRIPTION OF THE INVENTION

[0019] An embodiment of the present invention will be described with reference to Figures 1 to 8. It is assumed that a user of the option delta neutral automated system 3 has opened a trading account with a financial instruments business operator through the user terminal 4.

[0020] FIG. 1 shows the overall configuration of options trading, including the option delta neutral automated system 3.

[0021] The system comprises a securities trading device 1 owned by a securities exchange that publishes market information and accepts buy / 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 / 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 a service for automatic buy / sell orders for options and futures from users via the user terminals 4 and acts as an intermediary between the financial instruments trading device 2 and the user terminals 4; and a plurality of user terminals 4 owned by a plurality of users who use the service to place buy / sell orders for options and futures.

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

[0023] The market information unit 11 stores market information related to option trading, such as the price of the underlying asset, the exercise price, the number of days remaining until maturity, the risk-free interest rate, the dividend yield, etc., and this information is made available to the public via a communication network on the homepage of the stock exchange that has the securities trading device 1.

[0024] The order receiving unit 12 processes option orders and futures buy / sell orders from financial instruments business operators via the financial instruments trading device 2.

[0025] The financial instruments trading device 2 is equipped with a market price information database 21 that acquires market price information published by the market price information unit 11 of the securities trading device 1 and stores market price information processed for each trader for the user, an order processing unit 22 that accepts order processing from users through the user terminal 4 and processes the orders to the securities trading device 1, and an account information database 23 that stores account information such as user position information, order authority, margin viewing authority, etc.

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

[0027] The stored market price information is provided via the option delta neutral automated system 3 or the user terminal 4 via a communication network in response to a user's request.

[0028] The order processing unit 22 accepts option trades and futures trades from the screen displayed on the user terminal 4 via the option delta neutral automated system 3, processes the orders to the order receiving 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, margin viewing authority, and the like.

[0030] These management data can be changed by the user through the user terminal 4 by accessing the dedicated page of the financial instruments business operator that owns the financial instruments trading device 2 and entering the ID and password to change the current asset status and user information.

[0031] The option delta neutral automation system 3 is installed on a server owned by a service provider and comprises a market price information acquisition unit 31 that acquires market price information from the market price information database 21 of the financial instruments trading device 2, a calculation processing unit 32 that calculates a delta value based on the market price information and performs calculations to reset the delta value to 0 when it is not 0, and makes a decision on futures buying and selling, a transaction processing unit 33 that processes option buying and selling and futures buying and selling based on futures buying and selling decision information, a user management unit 34 that manages user registration information and option buying and selling and futures buying and selling history, and a response processing unit 35 that processes user responses via the user terminal 4.

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

[0033] The calculation processing unit 32 inputs market information and stock price fluctuation rates into the Black-Scholes model to calculate the option delta value and makes a decision on futures buying and selling to return the delta value to 0 when it is not 0.

[0034] Generally, delta values ​​are 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] This stock price volatility is calculated as follows:

[0036] A first function that determines the option price using the weighted average price of bids and ask prices when the difference between the bids and ask prices is within the allowable range, and calculates the stock price volatility based on this; If the difference between the bid and ask prices exceeds the allowable range, the second function determines the option price using put-call parity to calculate the stock price fluctuation rate, using the put option price when you want to find the call option price, or the call option price when you want to find the put option price. In case the option price cannot be calculated using any of the above methods, the system is equipped with a third function that draws a graph (smile curve) that estimates the stock price fluctuation rates of all exercise prices from options that have prices, and estimates and calculates the stock price fluctuation rates of held options.The system monitors market conditions, and if the difference between the asking price and the buying price is within the allowable range, it uses the stock price fluctuation rate of the first function, and if the difference between the asking price and the buying price exceeds the allowable range, it uses the stock price fluctuation rate of the second function, and if the option price cannot be calculated, it uses the stock price fluctuation rate of the third function to calculate the stock price fluctuation rate.

[0037] The transaction processing unit 33 receives options buying and selling requests from users via the user terminal 4 and automatic buying and selling decisions for futures from the calculation processing unit 32, and processes buying and selling orders for options and futures to the order processing unit 22 of the financial product trading device 2.

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

[0039] The response processing unit 35 connects to the market price information acquisition unit 31, the transaction processing unit 33, and the user management unit 34 in accordance with a user request through the user terminal 4, and the processing results are returned to the user through the user terminal 4.

[0040] For example, when 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 actions will be explained.

[0042] A user connects to the dedicated website of the financial instruments business operator that owns the financial instruments exchange where the user has opened an options trading account from a user terminal 4 (PC, tablet, smartphone, etc.) via a communication network, and when the user enters their ID and password through the user terminal 4, an initial trading screen is displayed on the user terminal 4 as shown in Figure 2(a). To use the services of the option delta neutral automation system 3 from the initial trading screen, the user presses the setting application button 52 displayed on the user terminal 4 and enters a period in the access authority setting section 53 on the application screen for the option delta neutral automation system 3 shown in Figure 2(b), thereby becoming able to use the option delta neutral automation system 3.

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

[0044] When an option buy / sell order is executed, the delta hedging screen shown in Figure 4 is displayed on the user terminal 4, and the option issue for which the buy / sell order is made is displayed as an open position. It is also displayed as an inactive issue, indicating that no operation to reset the delta value to 0 has been performed.

[0045] To enable the functions of the option delta neutral automated system 3, delta value calculation and automatic futures trading that resets the delta value to 0, check inactive stocks 55 on the delta hedging screen in Figure 4 and enter the delta hedging threshold value from the user terminal 4 in the delta value threshold setting section 56 on the delta hedging screen in Figure 4, and the function will be enabled and stored in the calculation processing section 32.

[0046] The delta hedging threshold set by the threshold setting unit 56 is a threshold for starting automatic trading of futures to bring the option delta value back to 0 when it is not 0. When the threshold is exceeded or fallen below, automatic trading of futures is started.

[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 hedging screen in Figure 4, the option delta neutral automated system 3 will start calculating the delta value and automatically trading futures to return the delta value to 0.

[0048] When buying and selling multiple options, if the threshold values ​​are set equal and each is activated, the delta values ​​of the multiple options are added together, and if that value is not 0, automatic trading of futures is performed to return the combined delta value to 0.

[0049] Here is an example of resetting this delta value to 0:

[0050] Futures include the Nikkei 225 mini (delta value +0.1), Nikkei 225 futures (delta value +1.0), and Nikkei 225 micro futures (delta value +0.01). When the option delta is not 0, the Option Delta Neutral Automated System 3 combines these futures and automatically trades the futures so that the delta value approaches 0.

[0051] For example, if the underlying asset (Nikkei Stock Average) is 40,000 yen and a new call option worth 40,000 is purchased, and the delta value is +0.5, the delta value of the Nikkei 225 mini futures contract is fixed at 0.1, so the Option Delta Neutral Automated System 3 will automatically sell five new Nikkei 225 mini contracts, making the delta value -0.5, which, when added to the option delta value, makes the delta value 0.

[0052] If the underlying asset rises to 40,500 yen the next day and the delta value of the 40,000 call option rises accordingly to +0.55, Option Delta Neutral Automated System 3 will take into account the current short position of five Nikkei 225 mini contracts and calculate the total delta of the position as +0.05. By automatically shorting five Nikkei 225 micro futures contracts, which have a delta value of +0.01, the total delta value will be +0.55 - 0.5 - 0.05 = ±0.

[0053] If the underlying asset falls to 40,000 yen the day after, and the delta value of the 40,000 call option returns to +0.5 in conjunction with this, the total position delta will be calculated as -0.05, taking into account the current short position of 5 Nikkei 225 mini contracts and short position of 5 Nikkei 225 micro futures contracts.Since this is a deviation of -0.05 from the previous day's total position delta value (±0), by newly buying 5 Nikkei 225 micro futures contracts, the total position delta value will return to 0.

[0054] This operation is automatically handled by the Option Delta Neutral Automation System 3.

[0055] An example of the actual automatic processing of the option delta neutral automation system 3 is explained in FIG.

[0056] Figure 5 shows execution screens of the option delta neutral automated system 3 displayed on the user terminal 4, showing the screens before and after the threshold is set to +0.01 and the total position delta value is reset to 0. Figure 5(a) shows the screen before the total position delta value is reset to 0, with delta value 58 being +0.011. Figure 5(b) shows the screen after the option delta value has been reset to 0, with delta value 59 being +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 delta value 59 to become +0.001, and the process of resetting the delta value to 0 being executed.

[0057] It is also possible to manually set the stock price volatility rate, such as by selecting from a list of 60 stock price volatility rates prior to times when option trading is low, such as at night, as shown in Figure 6, or by predicting and setting a future stock price volatility rate.

[0058] In addition, the option delta neutral automation system 3 can be installed and used on a service provider's server, or it can be installed and used on a financial instruments trading device 2 at a financial instruments trading company as shown in Figure 7, or on a user terminal 4 as shown in Figure 8.

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

[0060] 1. Securities trading equipment 2. Financial transaction equipment 3...Optional Delta Neutral Automation System 41, 42, 4 j 4...User terminal 11...Market Information Department 12...Order Reception Department 21...Market information database 22...Order processing section 23...Account information database 31...Market information acquisition section 32...Processing unit 33...Transaction processing unit 34…User Management Department 35...Response processing section 51...Transaction list display section 52...Settings application section 53...Access period setting unit 54…Option trading start button 55…Inactive stocks check box 56...Threshold setting unit 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 price information acquisition unit that is connected to a market price information database of a financial instruments business operator and acquires market price information in real time; a processing unit that calculates a delta value of an option based on the acquired market price information and stock price fluctuation rate, and when the delta value is not 0, makes an automatic trade decision for the futures held in order to return the delta value to 0; a transaction processing unit that processes buying and selling of the held futures based on the determination of the calculation processing unit, The calculation processing unit has a function of acquiring information on the underlying asset price, the exercise price, the number of days remaining until maturity, the risk-free interest rate, the dividend yield, and the current option price from the market price information acquisition unit, and calculating the stock price volatility in real time using three methods; a first function of determining an option price using the weighted average price of bids and ask prices when the difference between the bids and ask prices is within an allowable range, and calculating the stock price fluctuation rate based on the determined price; a second function of determining the option price by put-call parity using the price of a put option when a call option price is desired to be calculated, or the price of a call option when a price of the put option is desired to be calculated, when the difference between the bid price and the ask price exceeds an allowable range, and calculating the stock price fluctuation rate; a third function for drawing a graph (smile curve) that estimates the stock price fluctuation rate for all of the exercise prices of the options that have been priced, and estimating and calculating the stock price fluctuation rate for the options that are held, in case the option price cannot be calculated using any of the above methods; an option delta neutral automated system having a function of monitoring market conditions, and calculating the delta value of the option by using the stock price volatility rate of the first function if the difference between the ask price and the bid price is within an acceptable range, or by using the stock price volatility rate of the second function if the difference between the ask price and the bid price exceeds the acceptable range, and by using the stock price volatility rate of the third function if the option price cannot be calculated.

2. 2. The option delta neutral automated system according to claim 1, wherein the calculation processing unit, when the delta value of the option constantly monitored by the market price information acquisition unit exceeds or falls below a threshold preset by the user via the user terminal, calculates the difference from 0, determines whether to automatically trade the futures alone or in combination with multiple futures so that the difference becomes 0, and issues trading instructions to the transaction processing unit.

3. 2. The option delta neutral automated system according to claim 1, wherein the calculation processing unit uses the stock price volatility to input 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 option delta neutral automation system according to any one of claims 1, 2 or 3; a financial instruments trading device at the financial instruments business operator; a user terminal; the financial instruments exchange device receives the market price information from the securities exchange device, and provides the market price information to the user through the user terminal; an order processing unit that processes an order request from the user via the user terminal together with a futures buying / selling instruction from the calculation processing unit and places an order with the financial instruments trading device; an account information database for managing customer account information; The option delta neutral automated system comprises the market price information acquisition unit according to claim 1, the calculation processing unit, the transaction processing unit, and a user management unit that manages the user's registration information and futures trading history from the user terminal, A financial product trading system, wherein the user terminal comprises a threshold setting unit that sets a threshold value for the delta value in the calculation processing unit of the option delta neutral automation system.

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