引用:
原帖由 fatpat 於 2012-2-2 10:21 發表
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
...
Delta / Hedging revisit AGAIN
Now the market ~21000, against the Bear Call Spread position
SC200 @1125 delta -0.83 (710 - 1125 = -415pts) / LC206 @656 delta +0.67 (656 - 380 = +276) => -139pts / delta -0.16
Hedge by SP
SP192 @30 delta 0.06 (140 - 30 = 110pts) Nett delta -0.16 + 0.16 = -0.10,
LOSS 29pts
Hedge by MHI
650pts delta 0.2 (650 / 5 = 130pts) Nett delta -0.16 + 0.20 = +0.04,
LOSS 9pts
As you might see, the market is still going up, total delta is more negative now,
you might need to SP196 x 1 @56 (delta = 0.1) to neturalize (back to ~0)