引用:
原帖由 get 於 2012-2-1 15:18 發表
ourstation c-hing: 新年進步!萬事勝意!
請問--下,當sc組合輸時,對沖方法之--是買1張細期,令delta成為0.
即是揸1張細期= -0.2 delta?
相反,沽1張細期= 0.2 delta?
請指教. ...
Depends on your SC combination, and the trend.
(Bear Call Spread, e.g.
SC200 @710 delta
-0.63 /
LC206 @380 delta
+0.44 / Nett
-0.19)
If you think it will
ROCKET UP then
BUY MHI (揸1張細期,
delta = + 0.2),
if slowly up then SP option (e.g.
SP192 @140 delta
+0.18) is fine.
[
本帖最後由 fatpat 於 2012-2-1 16:14 編輯 ]