Appendix · Sources & Methodology

来源与方法Sources and Methodology

这是本手册的公开审计台账：它说明哪些内容来自一手文件，哪些是本书的可复算示例，以及哪些网络故事只能当作自述。它是逐章的核心来源映射，不是对每句常识的脚注。 This is the handbook's public audit ledger. It separates primary documents, reproducible book calculations, and internet stories that can only be treated as self-report. It maps each chapter to its core sources; it is not a footnote for every statement of common knowledge.

证据层级Evidence hierarchy

一手来源：监管文件、交易所方法、发行人文件、公司提交文件与学术原文。本书计算：输入在正文公开，由 assets/payoff.js 的唯一定价实现与 tools/checks/ 复算。自述/二手材料：只证明“有人如此声称”，不证明账户、持仓或绩效真实。Primary: regulator records, exchange methodologies, issuer documents, company filings, and original research. Book calculation: inputs are disclosed in the chapter and recomputed through the single pricing implementation in assets/payoff.js and checks under tools/checks/. Self-report/secondary: establishes only that someone made a claim, not that an account, position, or return was independently verified.

可复核规则Reproducibility rules

历史事实优先链接稳定的发行人、交易所或监管机构 URL；页面访问日期为 2026-10-16。Historical facts prefer stable issuer, exchange, or regulator URLs; pages were last reviewed on 2026-10-16.
图中的“示意”序列不得被描述为实际行情。精确市场数字若无可公开复现的取数口径，就删除或降级为近似背景。An illustrative chart must never be described as an observed price series. Exact market figures without a publicly reproducible extraction method are removed or reduced to approximate context.
任何模型输出都必须与实际事实分开；策略反事实不代表历史账户损益。Model outputs are kept separate from observed facts; a strategy counterfactual is not a reconstruction of a historical account.

逐章来源映射Chapter source map

01 · 合约与条款Contracts and terms

OCC — Characteristics and Risks of Standardized Options · Berkshire Hathaway 2008 shareholder letter · Cboe BZX rule filing SR-CboeBZX-2026-007 — Monday/Wednesday expirations · Cboe notice C2026012202 — Monday/Wednesday expirations effective 2026-01-26 · MIAX listing alert — Monday/Wednesday weeklies planned from 2026-01-26

术语表「到期日」条目：SPY、QQQ、IWM 的周一至周四到期见 BZX 文件脚注 3；个股周一/周三到期的资格标准（市值超过 7,000 亿美元等）见同一文件，Cboe 通告 C2026012202 公告自 2026-01-26 起挂牌，首批名单含 AAPL、NVDA；MIAX 公告为同期预告。Glossary entry “Expiration”: Monday–Thursday expirations for SPY, QQQ and IWM are recited in footnote 3 of the BZX filing; the eligibility test for single-stock Monday/Wednesday expirations (market capitalization above $700 billion, among others) is in the same filing, and Cboe notice C2026012202 announces listing effective 2026-01-26 with a first list including AAPL and NVDA; the MIAX alert is a contemporaneous pre-announcement.

6.5 节规则 ② 与 6.6 节测验第 5 题：个股期权常规时段 9:30–16:00 ET、盘前（7:30–9:25）与 Curb（16:00–16:15）时段只接受限价单，见 Cboe FAQ；SEC 于 2026-05-28 批准相关规则，见 Cboe IR 公告；Cboe 通告 C2026101506（2026-10-15）公告自 2026-10-19 起启用，最终名单为 24 只个股（含 AAPL、META、NVDA）与 5 只 ETF（ETF 不设 Curb 时段），不接受市价单与止损单。Rule ② in §6.5 and quiz question 5 in §6.6: the FAQ gives the 9:30 a.m.–4:00 p.m. ET regular session for equity options and states that the pre-market (7:30–9:25) and Curb (4:00–4:15 p.m.) sessions accept limit orders only; the IR release gives the SEC approval of 2026-05-28; Cboe notice C2026101506 (2026-10-15) announces the sessions effective 2026-10-19, with a finalized list of 24 single stocks (including AAPL, META and NVDA) and 5 ETFs (the ETFs get no Curb session), and no market or stop orders.

07 · Wheel 策略The Wheel

Options Industry Council — covered call · Options Industry Council — cash-secured put · OCC — assignment and exercise risks

08 · 极端损失Extreme losses

SEC Investor Bulletin — Exchange-Traded Notes · CFTC — natural-gas contract unit in 2018 market data · Federal Reserve History — 1987 crash

OptionSellers 段落不把客户数、资产规模或个别负债当作经监管机构确认的事实；它只保留“裸卖 Call 损失无上限”的合约结论与已标注的示意反事实。The OptionSellers passage does not treat customer counts, assets, or individual debts as regulator-confirmed facts. It retains only the contractual conclusion that naked-call loss is unbounded and a clearly labelled illustrative counterfactual.

09 · 仓位与系统性风险Sizing and systemic risk

Federal Reserve — testimony on LTCM · Berkshire Hathaway — shareholder-letter archive

10 · 平价关系与领口Parity and collars

Cboe — SPX contract specifications · ProShares — UVXY product page (options available) · Cboe — ETP options contract features (American exercise) · J.P. Morgan Asset Management — Hedged Equity Fund Series · J.P. Morgan — put-spread collar brochure

1R0NYMAN 故事来自匿名论坛贴文与转述；没有经审计的账户对账单或监管调查公开文件。本书因此将金额和经过明确标为论坛自述。ProShares 产品页确认 UVXY 可交易期权，Cboe 的 ETP 期权合约说明确认这类标准合约采用美式行权；两份一手文件共同支持提前行权机制，不支持论坛所述金额或经过。The 1R0NYMAN story comes from anonymous forum posts and retellings, with no audited statement or public regulatory investigation. Dollar amounts and sequence are therefore labelled forum self-report. The ProShares product page confirms options are available on UVXY, while Cboe's ETP options specifications establish American exercise for this standard contract class; together they support the early-exercise mechanism, not the forum's amounts or sequence.

11 · 期限结构Term structures

Cboe — VIX term structure · Netflix Form 8-K, 2022-04-19

倒挂图是情景输入，不是历史频率估计；Netflix 股价是事件背景，PMCC 权利金与 Greeks 是本书对公开输入的模型计算，不是历史成交重建。The inversion chart is a scenario input, not a historical frequency estimate. Netflix prices provide event context; PMCC premiums and Greeks are model calculations from disclosed inputs, not a reconstruction of actual fills.

12 · 蝶式与到期Butterflies and expiry

Ni, Pearson & Poteshman — stock-price clustering on option expiration dates · U.S. Bureau of Labor Statistics — CPI release, 2022-11-10

13 · 尾部对冲与波动率工具Tail hedges and volatility products

Cboe regulatory circular — VXX/VXZ · Cboe — VIX product relationships and risks · Universa — manager description of risk mitigation

Universa 的精确回报数字来自媒体对投资者信的转述，不是公开审计的组合回报；正文只用它教读者追问分母。VXX 段落仅根据发行/交易文件说明“跟踪短期期货指数，而非现货 VIX”，不再使用无取数快照的累计涨跌。Universa's exact return headlines are media retellings of an investor letter, not a public audited portfolio return; the chapter uses them only to teach denominator discipline. The VXX passage now relies on issuer/exchange documents only for the fact that it tracks a short-term futures index rather than spot VIX, and no longer uses cumulative-return snapshots without a reproducible extract.

14 · 订单、暂停与 0DTEOrders, pauses, and 0DTE

SEC DERA — ETF trading pauses on 2015-08-24 · SEC Investor.gov — order types · Cboe — state of the options industry, 2025 · Cboe IR — trading volume for July 2026 (2026-08-05)

SEC DERA 的可复核口径是 1,569 只 ETF 中 302 只（19.2%）触发交易暂停。Cboe 确认 2025 年 0DTE 占 SPX 成交量 59%；Cboe IR 2026-08-05 公告确认 2026 年 7 月单月为 66.2%。两者口径不同，本书分开列示、不连成趋势。SEC DERA's reproducible denominator is 302 of 1,569 ETFs (19.2%) triggering a trading pause. Cboe confirms that 0DTE represented 59% of SPX volume in 2025; the Cboe IR release of 2026-08-05 confirms 66.2% for the single month of July 2026. The two are different bases, so the book shows them separately rather than as a trend.

15 · 长期基准Long-run benchmarks

Cboe — BXM methodology · Cboe — BXM factsheet · Ennis Knupp/Cboe — PUT Index performance study (Jan 2009)

第 15 章固定使用 factsheet 截至 2026 年 9 月 30 日的快照；链接指向 Cboe 的现行版本，后者会按月更新，数字可能与书中不同。Chapter 15 deliberately uses the factsheet snapshot as of September 30, 2026; the link points to Cboe's current version, which is updated monthly, so its figures may differ from the book.