引用:
原帖由 fatpat 於 2012-10-10 20:25 發表 
Anyway, I'm thinking about some simple rules to open the position at beginning of the month, e.g.
1) @ VHSI 16-20 (low IV => not expecting big swing in the coming 30days)
2) @ Roll over / AO price > +- 1600pts (75% of the time, month swing within 1600pts)
3) Premium ~20pts
4) Delta < ??
5) For each $10,000, SC / SP 1 pair (mini)
Then
6) Do adjustment if market go one way more than 1000pts
or #2GP etc under the Sun
If no big one way movement, this strategy seems working fine.
A simple check only with day after last trading day/last trading day data (haven't check with month high/low yet) for the past 5 months,
it has a 4% monthly return (~ 20points x $10/points x 2 contracts/set / $10000/set).
Given more margin, said $15000 (full margin/contract @$13000), it still gives ~2.6% ...
Ni個意念啱嗮我心水，可悭翻很多时间，正朝這方向研究，有难题时攞出黎同你一齐研究。
