引用:
原帖由 fatpat 於 2012-2-1 16:09 發表
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.
Delta / Hedging revisit
Oh the market gap up 350pts, against the Bear Call Spread position
SC200 @867 delta -0.71 (710 - 867 = -157pts) / LC206 @489 delta +0.53 (489 - 380 = +109) => -48pts / delta -0.18
Hedge by SP
SP192 @95 delta 0.13 (140 - 95 = 45pts) Nett delta -0.18 + 0.13 = -0.05,
LOSS 3pts
Hedge by MHI
350pts delta 0.2 (350 / 5 = 70pts) Nett delta -0.18 + 0.20 = +0.02,
GAIN 22pts
Remark:
If the signal is "SOP" then you must CLOSE the MHI position,
otherwise might LOSS, hedge by MHI need close monitoring
.