引用:
原帖由 fatpat 於 2012-2-1 16:09 發表 
(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 ...
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
SP192 @95 delta 0.13 (140 - 95 = 45pts) Nett delta -0.18 + 0.13 = -0.05, LOSS 3pts
350pts delta 0.2 (350 / 5 = 70pts) Nett delta -0.18 + 0.20 = +0.02, GAIN 22pts ...
引用:
原帖由 fatpat 於 2012-2-9 14:18 發表
SC200 @1125 delta -0.83 (710 - 1125 = -415pts) / LC206 @656 delta +0.67 (656 - 380 = +276) => -139pts / delta -0.16
SP192 @30 delta 0.06 (140 - 30 = 110pts) Nett delta -0.16 + 0.16 = -0.10, LOSS 29pts
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)...
Delta / Hedging revisit AGAIN
Now the market ~21725, against the Bear Call Spread position
SC200 @1744 delta -0.93 (710 - 1744 = -1034pts) / LC206 @1161 delta +0.92 (1161 - 380 = +781) => -253pts / delta -0.01
(Bid 1716 / Ask 1771 mid point) (Bid 1154 / Ask 1168 mid point)
SP192 @7 delta 0.02 (140 - 7 = 133pts) SP196 @11 delta 0.02 (56 - 11 = 45pts) Nett delta -0.01 + 0.04 = +0.03, LOSS 75pts
1375pts delta 0.2 (1375 / 5 = 275pts) Nett delta -0.01 + 0.20 = +0.19, GAIN 22pts
Our position max loss is (20000 - 20600 + 710 - 380 = -270, + commisions),
now is a good time to readjust the MHSIF hedging,
either Eat the MHSIF > 21700 (think down) or SC222 @74 delta = -0.21 to neturalize (back to ~0, think up more but close below 223)
This example shows why it is better to use MHSIF to hedge if you expect a big run against your position
