fatpat

引用:

原帖由 h0694150 於 2012-11-16 09:31 發表
According to all the combinations you suggested, how much can it be earned for each individual? Thanks!

I have too many strategies to suggest wo

Another one for today, assume market bottom at 209 (support) and top at 215 (resistance),
target closing ~212

SP212     @285 x 2
ku HSIX2 @21122

BE ~207 - 217, or profit range ~ 212 +- 500pts, margin < $100K,

Profit ~ (285 - (212 - clsoing)) / 2

fatpat

引用:

原帖由 fatpat 於 2012-11-16 10:39 發表


I have too many strategies to suggest wo

Another one for today, assume market bottom at 209 (support) and top at 215 (resistance),
target closing ~212

SP212     @285 x 2
ku HSIX2 @21122 ...

If you think downward, and you can move the strike price to 210 instead

fatpat

引用:

原帖由 fatpat 於 2012-11-16 10:41 發表


If you think downward, and you can move the strike price to 210 instead

Besides, if you think market will close around 211, (or you want to open the market more ATM),
you can do

SP210 x 1 + SP212 x  1

It averages out to 211 strike price

samy

殺牛快完 熊仔湧現 -- 衍生啟示錄 港股仍然吹淡風，恒指周三回穩，周四藉A股下跌，好友再殺牛。昨日恒指尾市跌穿21100點，低位21098點，淡友以2點之差殺掉21100至21199點共8隻牛證，涉及對沖期指近1000張。淡友殺牛未盡，原來牛證堡壘在21000至21099點，周三後下移至20900至20999點，意味着恒指再調整的話，有機會跌穿21000點水平。 然而，牛熊整固已經出現，尤見周三有大量熊證湧現，集中在21800至21899點、21900至21999點兩個熊區。 事實上，近日資金以流入熊證居多，意味着好友不再逢低博反彈，淡友逐步殺牛將清場，令殺牛誘因下降。當牛證比例大幅減少時，則可能是恒指跌穩之時。 個股資金流反映輪場玩家要尋寶實在不易。周二及周三均見資金流入騰訊（700）好倉，但其季績低於預期，昨日股價急挫6. 9%

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:28 發表
If I have margin, usually I'll do the something a bit more complicate, e.g

LC216 x 1 + SC220 x 1 + SC222 x n (Think not over 222)
LP214 x 1 + SP210 x 1 + SP206 x n (Think not below 206)

n is depends ...

Using 2012 11 12 closing data to open, and current data for analysis

Strategy 1 Double Straddle (DS)
    SC210 x 1 @555
+ SP210 x 1 @152
+ SC218 x 1 @144
+ SP218 x 1 @540

Current profit $5809, Delta 0.469, Gamma -0.002, Theta 30.297, Vega -50.805
BE ~ 20704 - 22095

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:09 發表


If you have margin and brave enough,

Ratio Spread

2) LP214 x 1 + SP210 x 2 (look down)
    and
    LC214 x 1 + SC218 x 2 (look up)
    (usually aside $100K margin for a set)
     BE ~ 209 / 221
     P.S. Can buy only one side to bet one side
...

SP210 x 2 @152
LP214 x 1 @300
LC214 x 1 @313
SC218 x 2 @144

Profit ~$2403, Delta 0.182, Gamma -0..001, Theta 12.395, Vega -20.777,
BE ~ 20621, 21379, 21421, 22179 (because it is a debit set)

h0694150

Wow! Thanks and appreciate your details analyses. Learn alot from you.

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:09 發表


Spread

3)  LP212 + SP210 (look down)
    (usually aside $5K margin for a set)
     or
     LC218 + SP220 (look up)   
    (usually aside $5K margin for a set)
...

SP210 x 1 @152
LP212 x 1 @219
LC218 x 1 @144
SC220 x 1 @90

Loss 2.4, Delta -0.061, Gamma 0, Theta -2.037, Vega 3.411
BE ~ 21079, 21921

P.S. Will change the middle strike price to 214 to see the difference

fatpat

引用:

原帖由 fatpat 於 2012-11-16 11:19 發表


SP210 x 1 @152
LP212 x 1 @219
LC218 x 1 @144
SC220 x 1 @90

Loss 2.4, Delta -0.061, Gamma 0, Theta -2.037, Vega 3.411
BE ~ 21079, 21921

P.S. Will change the middle strike price to 214 to see the di ...

SP212 x 1 @219
LP214 x 1 @300
LC214 x 1 @313
SC216 x 1 @217

Loss 192.4, Delta -0.014, Gamma 0, Theta -0.73, Vega 1.222
BE ~ 21223, 21577

Oooops, this strategy is used for IV low and target to breakaway,
like playing with 330, around the company financial reporting time.

My mistakes

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:28 發表
If I have margin, usually I'll do the something a bit more complicate, e.g

LC216 x 1 + SC220 x 1 + SC222 x n (Think not over 222)
LP214 x 1 + SP210 x 1 + SP206 x n (Think not below 206)

n is depends ...

SP206 x 3 @71  (Think not below 206)
+ SP210 x 1 @152
+ LP214 x 1 @300
+ LC216 x 1 @217
+ SC220 x 1 @90
+ SC222 x 3 @55  (Think not over 222)

Profit $6655, Delta 0.286, Gamma -0.002, Theta 24.045, Vega -40.229
BE ~20432, 22367

My favorite, but very high RISK & high margin requirement

[ 本帖最後由 fatpat 於 2012-11-16 11:43 編輯 ]