Appendix · Glossary

术语表Glossary

正文中所有英文术语的中文对照与白话解释。手册正文保留英文原词——这是你在券商软件、财经媒体和实盘交流中实际会遇到的形态。 Chinese equivalents and plain-language explanations for every term used in the handbook. The main text keeps the English terms — the form you'll actually meet in broker platforms, financial media, and trading conversations.

Term	中文名Chinese	解释Explanation
Underlying	标的	期权合约所指向的资产——股票、ETF 或指数。期权的价值完全派生于它，这也是"衍生品"一词的由来。 The asset a contract points at — a stock, ETF, or index. An option's value is derived entirely from it, which is where "derivative" comes from.
Contract Multiplier	合约乘数	美股期权固定为 100：一张合约对应 100 股，报价也是"每股"价格。报价 3.20 意味着实付 $320。新手最贵的一个疏忽。 Fixed at 100 for US equity options: one contract covers 100 shares and quotes are per share. A quote of 3.20 costs $320. The most expensive beginner oversight there is.
Call	看涨期权	在到期日前以 Strike 价格买入标的的权利。股价涨得越高，Call 越值钱。 The right to buy the underlying at the strike before expiration. The higher the stock goes, the more the call is worth.
Put	看跌期权	在到期日前以 Strike 价格卖出标的的权利。股价跌得越深，Put 越值钱。 The right to sell the underlying at the strike before expiration. The lower the stock goes, the more the put is worth.
Strike	行权价	合约约定的买卖价格。对卖方而言，它是你"预先承诺"的成交价——卖 Call 是预设卖价，卖 Put 是预设买价。 The contracted transaction price. For sellers, it's your pre-committed price — a short call sets your sale price, a short put your purchase price.
Premium	权利金	买方为权利支付、卖方因义务收取的价格。由内在价值 + 时间价值构成。 What the buyer pays for the right and the seller collects for the obligation. Composed of intrinsic value plus time value.
Breakeven	盈亏平衡点	到期时不赚不亏的股价。买方的 Breakeven 总是比 Strike 更远一个 Premium——这就是"方向对了还亏钱"的算术来源。 The price at expiry where you neither gain nor lose. A buyer's breakeven always sits one premium beyond the strike — the arithmetic behind "right on direction, still down money."
Expiration	到期日	合约失效的日期。美股期权的标准月度与周度合约多在周五到期；SPY、QQQ 等少数 ETF 周一至周四也有到期，2026 年 1 月起部分超大市值个股（如 AAPL、NVDA）也增加了周一/周三到期。到期时 OTM 的期权价值归零。 The date the contract ceases to exist. Standard monthly and weekly US equity options mostly expire on Fridays; a few ETFs such as SPY and QQQ also have Monday–Thursday expirations, and since January 2026 some of the very largest single stocks (e.g. AAPL, NVDA) have added Monday/Wednesday expirations. OTM options expire worthless.
DTE	剩余天数	Days to Expiration，距离到期的天数。"7 DTE"即一周后到期。Theta 衰减在低 DTE 时加速。 Days to expiration. "7 DTE" means one week left. Theta decay accelerates at low DTE.
ITM / ATM / OTM	价内 / 平值 / 价外	In / At / Out of the Money。以 Call 为例：股价高于 Strike 为 ITM（行权有利可图），约等于为 ATM，低于为 OTM。Put 方向相反。 In / at / out of the money. For a call: stock above strike is ITM (exercising is profitable), near it ATM, below it OTM. Reversed for puts.
Intrinsic Value	内在价值	立刻行权能拿到的价值。Call 为 max(股价 − Strike, 0)。OTM 期权的内在价值为零，价格全部是时间价值。 What exercising right now would be worth: for a call, max(stock − strike, 0). OTM options have zero intrinsic value — their price is all time value.
Time Value / Extrinsic	时间价值	Premium 中超出内在价值的部分，是市场为"到期前还可能发生的事"支付的价格。随时间流逝归零。 The part of the premium beyond intrinsic value — the market's price for "what might still happen before expiry." Decays to zero over time.
Implied Volatility (IV)	隐含波动率	由期权市价反推出的、市场对未来波动幅度的预期。IV 越高，期权越贵。它衡量的是"预期的动荡程度"，不是方向。 The future volatility implied by current option prices — the market's expectation of turbulence, not direction. Higher IV, pricier options.
IV Crush	隐波塌缩	重大事件（如财报）落地后 IV 骤降，期权时间价值被瞬间抽走。财报前买期权、财报后"方向对了还亏钱"的元凶。 The sharp IV collapse after a major event (like earnings) resolves, vacuuming out time value. The classic reason a directionally correct earnings bet still loses money.
Delta	德尔塔	股价每变动 $1，期权价格变动多少。也常被当作"到期时 ITM 的粗略概率"——0.30 Delta 的 Put 约有三成概率被指派。 How much the option moves per $1 move in the stock. Also a rough proxy for the probability of expiring ITM — a 0.30-delta put has ~30% assignment odds.
Gamma	伽马	Delta 的变化速度。临近到期的 ATM 期权 Gamma 最大——价格对股价变得极其敏感，这也是 Gamma Squeeze 的燃料。 The rate of change of delta. Near-expiry ATM options have the highest gamma — prices become hypersensitive to the stock. This is the fuel of a gamma squeeze.
Theta	西塔 / 时间衰减	每天流逝的时间价值。买方的 Theta 为负（每天被扣钱），卖方为正（每天收租）。临近到期加速。 Time value lost per day. Negative for buyers (a daily toll), positive for sellers (daily rent). Accelerates near expiry.
Vega	维加	IV 每变动 1 个百分点，期权价格变动多少。财报前买期权就是在做多 Vega——而 IV Crush 正是 Vega 的反噬。 Option price change per one-point move in IV. Buying pre-earnings options is a long-vega bet — and IV crush is vega's revenge.
Volatility Skew	波动率偏斜	同一到期日、不同 Strike 的 IV 并不相同。股指期权的价外 Put 的 IV 通常显著高于价外 Call——市场为下跌保险付的钱更多。1987 年黑色星期一之后才形成的现象。 IV differs across strikes at the same expiry. In index options, OTM puts carry markedly higher IV than OTM calls — the market pays more for downside insurance. The pattern only emerged after Black Monday 1987.
Delta Hedging	Delta 对冲	通过买卖正股把头寸的 Delta 抵消至零，从而只保留波动率暴露。做市商的日常工作；也是 Gamma Squeeze 中被迫买入的那股力量。 Buying or selling the underlying to cancel a position's delta, leaving only volatility exposure. A market maker's daily job — and the forced buying behind a gamma squeeze.
VIX	波动率指数	由标普 500 期权价格反推的未来 30 天预期波动率，俗称"恐慌指数"。把它读成保单价格指数更准确：长期均值约 19，2020 年 3 月曾收在 82.69。 Expected 30-day S&P 500 volatility implied by option prices — the "fear index." More accurately read as an insurance price index: long-run average near 19, with a 82.69 close in March 2020.
Realized Volatility	实际波动率	标的已经走出的波动幅度（历史数据算出）。与 IV 的差额是期权卖方的真实利润来源：卖方赚钱的条件是 IV > 实际波动率，而不是"股价不动"。 How much the underlying actually moved, computed from history. The gap against IV is an option seller's true source of profit: sellers win when IV exceeds realized volatility, not when the stock stands still.
IV Rank / Percentile	IV 分位	当前 IV 在过去一年区间中的相对位置（0–100）。回答"现在的期权是贵还是便宜"——绝对的 IV 数字在不同标的间不可比，分位数可以。 Where current IV sits within its own trailing-year range (0–100). It answers "are options expensive right now" — absolute IV is not comparable across underlyings, but the rank is.
Assignment	行权指派	卖方被要求履行义务：Short Put 被指派要按 Strike 买入 100 股，Short Call 被指派要按 Strike 交出 100 股。 The seller being called to perform: an assigned short put must buy 100 shares at the strike; an assigned short call must deliver 100 shares at the strike.
Exercise	行权	买方主动使用权利。美式期权（多数个股期权）到期前任何时候都可行权；实践中多数人选择直接卖出合约而非行权。 The buyer invoking the right. American-style options (most equity options) can be exercised any time before expiry; in practice most holders sell the contract instead.
American / European	美式 / 欧式	行权方式。美式可在到期日之前任何时候行权（美股个股期权基本都是），欧式只能在到期日当天（多数指数期权，如 SPX）。对买方通常无关紧要，对卖方决定了"最坏的那天别人能不能敲门"。 Exercise style. American options can be exercised any time before expiry (essentially all US single-stock options); European ones only on the expiration date (most index options, e.g. SPX). Rarely matters to buyers; for sellers it decides whether anyone can knock on the worst day.
Covered Call	备兑看涨	持有 100 股 + 卖出 1 张 Call。用 Strike 之上的上涨空间换取确定的 Premium。见第 2.4 节。 100 shares plus one short call. Trades upside beyond the strike for certain premium. See §2.4.
Cash-Secured Put (CSP)	现金担保卖出看跌	卖出 1 张 Put 并锁定足额现金准备接货。本质是"别人付钱请你挂的限价买单"。见第 2.5 节。 One short put backed by full cash to buy if assigned. Essentially a limit buy order someone pays you to place. See §2.5.
Protective Put	保护性买入看跌	持股 + 买入 Put，给持仓上保险：Premium 是保费，Strike 是理赔起付线。见第 2.3 节。 Shares plus a long put — insurance on the position: the premium is the cost, the strike is the payout line. See §2.3.
Spread	价差组合	同时买卖不同 Strike 或到期日的期权，把风险和收益都框定在一个区间内。第 4 章的主角。 Simultaneously buying and selling options at different strikes or expiries, boxing both risk and reward into a range. The subject of Chapter 4.
Put-Call Parity	平价关系	C − P = S − K·e^−rT。套利恒等式，不是模型——右边没有波动率，不依赖任何关于股价行为的假设。它推出"同 Strike 的 Call 与 Put 必然同 IV"，也解释了为什么不同 Strike 之间可以有偏斜。严格形式要求欧式行权。见第 10 章。 C − P = S − K·e^−rT. An arbitrage identity, not a model — no volatility on the right-hand side and no assumption about how the stock behaves. It implies a call and put at one strike must share an IV, and explains why skew across strikes is permitted. The strict form requires European exercise. See Chapter 10.
Synthetic Position	合成头寸	用期权腿复制另一个头寸的盈亏形状。由平价关系可得：+C −P = 持股，持股 +P = 合成 Call，而 Covered Call ≡ Short Put（差一个等于现金利息的常数）。选哪种表达是成本问题，不是风险问题。 Replicating one position's payoff with option legs. From parity: +C −P is long stock, stock +P is a synthetic call, and a covered call ≡ a short put (differing by a constant equal to the interest on the cash). Which expression to use is a cost question, not a risk one.
Box Spread	箱体价差	在两个 Strike 上分别建合成多头与合成空头。若所有腿同时到期，价值恒等于宽度、与股价无关，经济形状类似零息债券。用美式期权构造时，提前行权会让腿不同步并产生路径与融资风险；第 10 章的匿名论坛自述案例用于说明这一机制，不是经审计账户记录。 A synthetic long at one strike and a synthetic short at another. If all legs settle together, expiry value equals the width regardless of the stock, giving the economic shape of a zero-coupon bond. With American options, early exercise can desynchronize the legs and create path and financing risk; Chapter 10's anonymous forum self-report illustrates the mechanism but is not an audited account record.
Early Exercise	提前行权	美式期权持有人在到期前主动行权。对买方通常不划算，但深度价内或除息日前是例外——而它一旦发生，任何依赖"所有腿同时到期"的结构都会被拆开一条腿。与指派是同一件事的两端。 An American option's holder exercising before expiry. Usually suboptimal for the buyer, with deep-ITM positions and ex-dividend dates as the exceptions — and when it happens, any structure relying on "all legs settle together" loses a leg. It is the other end of assignment.
Term Structure	期限结构	同一 Strike 下 IV 随到期日变化的曲线。市场平静时常见远期高于近期，压力期则可能倒挂；这只是常见形态，不是保证。若要声称历史倒挂频率，必须给出期限、取样时点、节假日规则与可复算数据。见第 11.3 节。 How IV varies across expiries at one strike. Far expiries are often above near expiries in calm markets, while the curve may invert under stress; neither shape is guaranteed. Any historical inversion-frequency claim requires defined tenors, sampling time, holiday rules and reproducible data. See §11.3.
Diagonal Spread	对角价差	同时改变 Strike 与到期日的两腿结构——垂直价差与日历价差的合体。最流行的形态是 PMCC。 A two-leg structure varying both strike and expiry — a vertical and a calendar combined. Its most popular form is the PMCC.
PMCC	穷人的备兑看涨	Poor Man's Covered Call：用深度价内的长期 Call（LEAPS）替代 100 股正股，再卖出价外月度 Call 收租。资金占用可降约 74%，但那不是效率，是杠杆——2022 年 4 月 NFLX 一夜跌 35.1%，同资金口径下 PMCC 的亏损是传统 Covered Call 的 1.86 倍。见第 11.4 节。 Poor man's covered call: substitute a deep-ITM long-dated call (LEAPS) for 100 shares, then sell monthly OTM calls against it. Capital can fall about 74% — but that is leverage, not efficiency: when NFLX fell 35.1% overnight in April 2022, on equal capital the PMCC lost 1.86× what a classic covered call did. See §11.4.
LEAPS	长期期权	到期日在一年以上的期权。Vega 大、Gamma 小、每日 Theta 损耗慢，因此常被用作正股替身——但这个替身只在保持深度价内时才成立。 Options expiring more than a year out. High vega, low gamma and slow daily theta make them a common stock substitute — a substitution that only holds while they stay deep ITM.
Vertical Spread	垂直价差	同标的、同到期日、同类型、方向相反、Strike 不同的两条腿。"垂直"来自期权链上同一到期日的合约纵向排列。第 4 章的主题。 Two legs on the same underlying, same expiry, same type, opposite directions, different strikes. "Vertical" because one expiry's contracts run down an option chain. The subject of Chapter 4.
Debit / Credit Spread	借记 / 贷记价差	开仓时净付出权利金的是 Debit（借记，如 Bull Call Spread、Bear Put Spread）；净收到权利金的是 Credit（贷记，如 Bull Put Spread、Bear Call Spread）。前者 Theta 为负，后者为正。 A debit spread pays premium to open (bull call, bear put); a credit spread receives it (bull put, bear call). Debit spreads carry negative theta, credit spreads positive.
Width	价差宽度	两条腿 Strike 之间的差额。它决定了结构的总空间：借记价差最大盈利 = 宽度 − 净借记；贷记价差最大亏损 = 宽度 − 净贷记。 The gap between the two strikes — the structure's total space. Debit spread max gain = width − net debit; credit spread max loss = width − net credit.
Defined Risk	定义风险	最坏结果在开仓那一刻就已确定且有限的结构。价差、Iron Condor 都属此类；Naked Short 不属于。定义风险不等于低风险——它只保证你知道上限是多少。 A structure whose worst case is known and finite at entry. Spreads and iron condors qualify; a naked short does not. Defined risk is not low risk — it only guarantees you know the ceiling.
Straddle / Strangle	跨式 / 宽跨式	同时买入（或卖出）Call 和 Put，做多（或做空）波动本身而不押方向。Strike 相同为 Straddle，分开为 Strangle。 Buying (or selling) both a call and a put — a bet on volatility itself, not direction. Same strike: straddle; separated strikes: strangle.
Expected Move	预期波动幅度	期权市场对"到期前标的会走多远"的报价。快速估法：ATM Straddle 的总价 ÷ 股价。买波动率之前必须先算它——你赌的不是"会动"，而是"动得比这个数更大"。 The option market's quote for how far the underlying travels before expiry. Quick estimate: the ATM straddle's total price ÷ the share price. Compute it before buying volatility — your bet isn't "it moves," it's "it moves more than this."
Short Volatility	做空波动率	任何净卖出期权的头寸（Short Strangle、Iron Condor、CSP、Covered Call）。收益分布天然是"缓坡 + 悬崖"：多数时候小赚，偶尔一次大亏。见第 5.5 节与第 8 章。 Any net-short-option position (short strangle, iron condor, CSP, covered call). Its return distribution is inherently "slope then cliff": small gains most of the time, an occasional large loss. See §5.5 and Chapter 8.
Butterfly	蝶式	买 1 张低 Strike、卖 2 张中 Strike、买 1 张高 Strike，行权价等距。第一个能表达"到期落在这一带"的结构。它赌的是两个平衡点之间的区间，不是一个点——最大亏损恒为净借记，无论股价跑到哪里。见第 12 章。 Long one low strike, short two at the middle, long one high, equally spaced. The first structure able to say "it lands in this band." It bets on the range between its breakevens, not on a point — and its maximum loss is the net debit however far the stock travels. See Chapter 12.
Broken-Wing Butterfly	断翼蝶	把蝶式的一只翅膀往外挪，两侧宽度不等，成本下降甚至转为净收权利金。常被宣传为"一侧无风险"——近侧确实封死，但挪远留下的宽度差成为新的最大亏损，通常是权利金的数倍。它没有消除风险，只是把风险搬到了一侧。 A butterfly with one wing pushed further out, so the sides are unequal, the cost drops and it may even open for a credit. Marketed as "no risk on one side" — the near side is genuinely sealed, but the widened gap becomes the new maximum loss, typically several times the credit. It relocates risk rather than removing it.
Ratio Spread	比率价差	买 1 卖 2（或更不平衡）。第二条空头腿没有任何东西覆盖，那个方向没有上限——图形有帐篷、名字很专业，但本质是第 8 章的裸卖换了外表。2022-11-10 SPY 一天涨 5.6%，一个开仓净收 $0.87 的 1×2 单日亏 $476。见第 12.4 节。 Buy one, sell two (or worse). The second short leg has nothing covering it, so that direction has no ceiling — a tidy tent and a professional name, but structurally Chapter 8's naked short in better clothes. When SPY rose 5.6% on 2022-11-10, a 1×2 opened for a $0.87 credit lost $476 in a session. See §12.4.
Backspread	反向比率	比率价差的镜像：卖 1 买 2。净多头腿数为正，所以尾部向外敞开——小幅波动小亏，剧烈单边行情收益无上限。本书唯一一个希望自己错得离谱的结构。 The mirror of a ratio: sell one, buy two. Net long leg count is positive, so the tail opens outward — small losses on modest moves, unbounded gains on a violent one. The only structure in this book that hopes to be spectacularly wrong.
Pin Risk	钉住风险	到期时标的恰好贴在你的空头行权价上，你在下周一开盘前无法知道自己是否被指派；部分指派会留下一个意料之外的正股头寸，而对冲它的腿已经作废。研究显示到期日收盘价确实向行权价聚集（约 8.2% vs 相邻日不超过 6%），机制是做市商 Delta 对冲。实务处理：不要把多腿结构留到收盘。 At expiry the underlying sits right on your short strike and you cannot know whether you were assigned until Monday's open; a partial assignment leaves an unexpected stock position whose hedging legs have already expired. Closing prices really do cluster at strikes on expiration days (about 8.2% versus never above 6% on adjacent days), driven by dealer delta hedging. Practical handling: don't carry a multi-leg structure into the closing bell.
Iron Condor	铁鹰	同时卖出上下两个价外价差，赌股价停留在区间内。收租策略的进阶形态，风险有限但两侧都可能破。 Selling an OTM spread on each side, betting the stock stays in a range. An advanced income structure — defined risk, but breachable on either wing.
Calendar Spread	日历价差	卖出近月、买入远月的同 Strike 合约。近月的事件溢价更高、塌得更狠，所以你卖掉塌得最狠的那个。为"确信 IV 会塌但不想赌方向"设计。见第 6.5 节。 Sell the near-dated contract and buy the far-dated one at the same strike. The near leg holds more event premium and crushes harder, so you sell the one that collapses most. Built for "I'm sure IV falls but I don't want a directional bet." See §6.5.
Collar	领口	持股 + 买 Put + 卖 Call：用卖 Call 的收入补贴买 Put 的保费，把持仓收益锁进一个区间，常可做到零成本。 Shares + long put + short call: the call premium subsidizes the put, boxing the position into a range — often at zero net cost.
Cost Basis	成本基准	扣除已收权利金后的实际持股成本：被指派时 = Strike − 累计权利金。它是 Wheel 里所有 Covered Call 的 Strike 下限——把 Strike 定在它之下，被 call 走就锁定亏损。见第 7.3 节。 Your real cost after netting off premiums collected: on assignment, strike − cumulative premium. It is the floor for every covered-call strike in a Wheel — set a strike below it and being called away locks in a loss. See §7.3.
Roll	移仓 / 展期	平掉当前合约、同时开出更远到期日（或不同 Strike）的新合约。卖方管理头寸、推迟指派的核心操作。 Closing the current contract while opening a later-dated (or different-strike) one. The seller's core maneuver for managing positions and deferring assignment.
The Wheel	车轮策略	CSP 收租 → 被指派接货 → 转卖 Covered Call → 被 call 走 → 回到 CSP 的循环系统。第 7 章专讲。 The cycle: CSP for rent → assignment → covered calls → called away → back to CSP. Chapter 7's subject.
Naked Short	裸卖	无股票、无现金抵押地卖出期权。裸卖 Call 的理论亏损无限。本手册所有卖方策略都要求有抵押。 Selling options with no shares or cash behind them. A naked call has theoretically unlimited loss. Every short strategy in this handbook is collateralized.
ETN	交易所交易票据	Exchange-Traded Note，由发行方承诺兑付某个指数收益的无担保债券——不是基金，你持有的是对发行方的债权，且条款里可能藏着提前终止权。XIV 就是这样在 2018 年被清算的。 An exchange-traded note: an unsecured debt obligation in which the issuer promises an index's return. Not a fund — you hold a claim on the issuer, and the terms may contain an early-termination right. That is how XIV was liquidated in 2018.
Contango / Backwardation	期货升水 / 贴水	远月期货价格高于近月为 Contango，反之为 Backwardation。VIX 期货长期处于 Contango，这正是做空波动率能长年获利的结构性来源——也是它看起来像免费午餐的原因。 Contango is later-dated futures priced above nearer ones; backwardation is the reverse. VIX futures sit in persistent contango, which is the structural source of short-volatility profits over the years — and why it can look like a free lunch.
Tail Risk	尾部风险	概率极低但后果极大的事件。它的危险不在于难以预测，而在于它出现的频率低到足以让人在它出现前把仓位加满。见第 8 章的三个案例。 Events of very low probability and very large consequence. Their danger isn't unpredictability so much as that they occur rarely enough for people to max out their size before one arrives. See Chapter 8's three cases.
Portfolio Insurance	组合保险	1980 年代流行的策略：不买 Put，而是靠"下跌时动态卖出股指期货"来复制 Put 的收益。它依赖"随时能按模型价格成交"，而这个前提在 1987-10-19 消失了。合约与复制策略的区别，只在你需要它的那天显现。 A 1980s strategy: instead of buying puts, replicate their payoff by dynamically selling index futures as the market falls. It assumes you can always transact near model prices — an assumption that vanished on 1987-10-19. The difference between a contract and a replication only shows up on the day you need it.
Margin	保证金	券商要求为潜在义务预留的资金。保证金不足会触发 Margin Call，极端时券商会强制平仓——不与你商量。 Capital the broker requires against potential obligations. A shortfall triggers a margin call; in extremes the broker liquidates for you — without asking.
Gamma Squeeze	伽马挤压	一种可能的正反馈机制：大量买入 Call → 做市商买股对冲 → 股价上涨 → Delta 上升需买入更多。它是机制假设，不是对任何一次价格上涨的自动归因；SEC 对 2021 年 1 月 GameStop 的审查没有找到 Gamma Squeeze 证据。 A possible feedback mechanism: heavy call buying → market makers hedge by buying stock → stock rises → deltas rise, forcing more buying. It is a mechanism hypothesis, not an automatic explanation for any rally; the SEC's review of GameStop in January 2021 did not find evidence of a gamma squeeze.
Kelly Criterion	凯利公式	使长期复合增长率最大化的下注比例。它是一座山不是一条上升线：下注到两倍最优值，即使优势真实，长期增长率也变成负数。实践中通常只用一半（半凯利），保留约 75% 的增长并为"高估优势"留出余地。见第 9.3 节。 The bet fraction that maximizes long-run compound growth. It is a hill, not a rising line: bet twice the optimum and long-run growth turns negative even with a genuine edge. Practitioners typically use half of it, retaining about 75% of the growth with a margin for overestimating the edge. See §9.3.
Drawdown	回撤	从峰值到谷底的跌幅。回撤与回本的关系是 d ÷ (1−d)，不是对称的：-50% 需要 +100%，-90% 需要 +900%。这条曲线在 -50% 之后近乎垂直，那里存在一条不该越过的线。 The fall from peak to trough. Recovery relates to it as d ÷ (1−d), not symmetrically: −50% needs +100%, −90% needs +900%. The curve is nearly vertical past −50%, and that is a line not to cross.
Leverage	杠杆	资产规模与权益之比。它不改变你判断的对错，只放大结果：LTCM 在 26.6:1 杠杆下，资产端约 -3.7% 的走势变成了权益的 -92%。期权本身自带杠杆，再叠加保证金等于杠杆的平方。 Assets divided by equity. It never changes whether you're right, only the magnitude: at LTCM's 26.6:1, a −3.7% move on assets became −92% of equity. Options carry embedded leverage already; adding margin squares it.
BXM / PUT	Cboe 策略基准指数	Cboe 发布的规则型期权策略基准：BXM 表示“持有标普 500 + 按月卖 Call”，PUT 表示按规则卖出 Put。它们是长期规则基准证据的一部分，不是唯一证据；发布前的历史区间属于按后来规则回溯计算的假设结果。指数也不等于投资者实盘，不含投资者层面的费用、税务与全部执行偏差。见第 15 章。 Rules-based option-strategy benchmarks published by Cboe: BXM represents holding the S&P 500 and selling calls monthly, while PUT represents rules-based put writing. They are one source of long-run rules-based evidence, not the only evidence; pre-launch history is a hypothetical back-calculation under later rules. An index is not an investor account and omits investor-level fees, taxes, and all implementation drift. See Chapter 15.
Sharpe / Sortino Ratio	夏普 / 索提诺比率	每承担一单位风险换来多少超额收益；索提诺只把下行波动算作风险。比较两个风险不同的策略时，只看收益率是不完整的。Cboe 资料样本中 BXM 与标普的夏普同为 0.56，这只说明该样本没有显示 BXM 有更高的风险调整后收益；不能证明风险降低与收益放弃存在精确、公平或未来不变的交换。 Excess return per unit of risk; Sortino counts only downside volatility as risk. Comparing strategies with different risk using return alone is incomplete. In the Cboe factsheet sample, BXM and the S&P have the same Sharpe ratio, 0.56. That shows no higher risk-adjusted return for BXM in this sample; it does not prove an exact, fair, or persistent exchange between risk reduction and return surrendered.
Tail Hedge	尾部对冲	只保护极端下跌（如 −20% 以下）而放弃日常回撤保护的做法：买深度价外 Put，保费通常更低，但许多普通回撤不会触发到期赔付。第 13 章的静态示意表显示，同一规则在 IV≈15 与 IV≈45 时的毛保费支出可相差八倍；这要求事先预算，不是净成本回测或择时结论。 Insuring only the extreme (below, say, −20%) while forgoing routine drawdown cover: deep OTM puts usually cost less, but many ordinary declines produce no expiry payout. Chapter 13's static scenarios show that gross premium outlay for the same rule can differ eightfold between IV≈15 and IV≈45; that calls for pre-budgeting and is neither a net-cost backtest nor a timing conclusion.
0DTE	当日到期期权	当天到期的合约。Cboe 公布的 2025 全年数据显示，0DTE 占 SPX 期权成交量 59%；2026 年 7 月单月达到 66.2%，创纪录（两者口径不同）。越接近到期，平值附近的 Gamma 通常越高，Delta 也可在小幅标的变动中大幅改变。本书说明其规模与风险，但不作为策略教授。见第 14 章。 Contracts expiring the same day. Cboe's full-year 2025 data show 0DTE at 59% of SPX option volume; the single month of July 2026 reached a record 66.2% (a different basis). Near expiry, gamma is generally higher around the money, so delta can change sharply for a small move in the underlying. This book documents the scale and risk but does not teach 0DTE as a strategy. See Chapter 14.
Cash Settlement	现金结算	到期按指数水平以现金结清盈亏，不交割标的。SPX 等指数期权属此类，配合欧式条款可一次性消除提前行权与到期日意外持股两个风险。代价是合约面值大、仓位粒度粗。 P/L settles in cash against the index level at expiry, with no delivery of the underlying. Index options such as SPX work this way; combined with European terms this eliminates both early exercise and the risk of waking up holding shares. The cost is a large contract and coarser sizing.
Regime	市场状态	用于事后描述市场环境的一组分类（如单边牛、震荡、趋势熊、恐慌）。同一策略的历史结果可能随分类而异；事后可分组不代表状态能在事前被可靠识别，更不自动构成可交易信号。任何 Regime 规则都需要样本外、扣费验证。 A set of labels used to describe market environments after observation (for example, one-way bull, chop, trending bear, or panic). Historical strategy results may differ across labels; post-hoc separability does not mean the state is reliably identifiable in advance or creates a tradable signal. Any regime rule needs out-of-sample, after-cost validation.