fatpat

引用:

原帖由 fatpat 於 2012-11-13 10:56 發表
Paper trade time

As I'm bearish, so I'd try 208 / 216 instead for the high risk trade

SP208 @132
SC208 @563 (Ask)
SP216 @515 (Ask)
SC216 @130

Credit 1340, costs 800 (diff between 208 & 216), so net ...

BE ~20530 / 21870

fatpat

引用:

原帖由 fatpat 於 2012-11-13 11:00 發表


Now I think #1 around CL, so

LC218 x 2 @79
SC220 x 2 @47

Debit 64pts.

So now ~ 470pts profit.

BE ~20562 / 22038

fatpat

引用:

原帖由 fatpat 於 2012-11-13 11:15 發表


ok, as always, no time to keep track of the market all day,

SC220 x 2 @51
LC222 x 2 @30

Credit 42pts, so profit ~510pts

LP206 x 2 @93
SP204 x 2 @62

Debit 62pts, so profit ~450pts now

P.S. #2 is ...

BE ~20372 / 22014

fatpat

引用:

原帖由 fatpat 於 2012-11-13 11:28 發表


Lastly

SP204 x 2 @65
LP202 x 2 @45

Credit 40pts, so profit ~490pts now.

BE ~ 204 /  218

Let's see what's happen next Monday (19/11) and the Monday after (26/11).

All set for lunch. ...

(Less commissions for 20 contracts, assume 24pts),
BE ~20400 / 22000, Max win ~470pts so max profit 470pts within the range 208 - 216.

My "HOPE" for this month is to close within 210 - 214, so 470 x $50 = $23500,
assume 200K margin (actual margin should be <$13K, i.e. margin for 2 naked short),
ROI = $23.5K/200K ~11.75%.

Current greeks Delta -0.1, Gamma -0.002, Theta 30.62, Vega -60.293

[ 本帖最後由 fatpat 於 2012-11-13 11:56 編輯 ]

fatpat

引用:

原帖由 fatpat 於 2012-11-13 11:55 發表

Current greeks Delta -0.1, Gamma -0.002, Theta 30.62, Vega -60.293
  ...

Basic revisions for greeks.

Delta -0.1 means the market drop 100pts, the portfolio increase ~ 100 x 0.1 = 10pts,
-ve mean bearish, i.e. market drop is in favour at the moment.

Gamma is used with Delta, and too complicate for beginner like me, so ignore.

Theta 30.62 means how much you win today if market stay flat, i.e.
the portfolio (NAV) increase 30.62pts by tomorrow morning.

Vega is used for change in IV, so a 1% increase in IV from 15.7 (current IV) to 16.7 (the new IV),
the portfolio will decrease 60.293pts (Hope I'm right on this one, still learning).

fatpat

引用:

原帖由 lyt 於 2012-11-13 11:07 發表


ching this month !

What's do you means?  Are the trades using this month contract?

Yes, I'm using the real data in SP, and trading the current month Nov,
as ourstation c hing asked for some strategies for us to discuss
IF he predicted the market will swing within 210 & 220
in the near future

This strategy is good as you win max profit for the whole range, e.g 208 - 216,
and if you open the positions at the mid point and the market just swing at that pivot point,
not much you have to do.

So I assume this month close within 210 - 214, so I opened the position using 212 as the pivot point,
212 +- 400 => 208 / 216.

Next, the big big support is 203, so I used some profit to boarden the bottom BE further to 204.

Besides, ourstation c hing asked for cap @220, so I used some profit to boarden the upper BE to 220.

Now we have the current portfolio, and I can back to work in the afternoon.

As I've a daytime time job , I won't spend time to do adjustment unless the market goes one way,
e.g. down break 206 or up break 218, by that time, delta would be closed to (-)1.

P.S. or ourstation c hing change his view about the market trend, then i might need to adjust the strategy
       16 days and 12 more trading days to go.

fatpat

BTW, if you use the #1 as the trading signal, you can see that as an example,
I sold the first SC220 @47 and than the second SC220 @51, you can time the market
better for better premium/greater profit.

oem7110

English Channel now?

lyt

引用:

原帖由 fatpat 於 2012-11-13 12:55 發表


What's do you means?  Are the trades using this month contract?

Yes, I'm using the real data in SP, and trading the current month Nov,
as ourstation c hing asked for some strategies for us to discu ...

tks ching

CB900

大大仙，半代2d3 n pc n rp，21295 , 21350

[ 本帖最後由 CB900 於 2012-11-13 13:35 編輯 ]