引用:
原帖由 fatpat 於 2013-10-18 16:02 發表
Let's try to see whether it is true.
Oct SP226 @50 IV 15.7 (Margin ~58000)
Nov LP226 @214 IV 15.7 (Margin
Let's try to see whether it is true.
Oct SP226 @50 IV 15.7 (Margin ~58000)
Nov LP226 @214 IV 15.7 (Margin <10000)
Oct SC236 @88 IV 12.4
Nov LC236 @300 IV 14.0
Not sure about the margin, anyone has tools for margin
please help to verify.
P.S. As the IV is very low on Oct SC, really wonder whether the market will go up a lot.
I think if Oct Call IV was higher, will have a better chance.
If settle around 236, Oct SC236 => 0, Nov LC236 => ~364
If settle around 234, Oct SC236 => 0, Nov LC236 => ~269
If settle around 233, Oct SC236 => 0, Nov LC236 => ~227
So have to guess the settlement price and direction of the IV.
Anyway, you could profit in quite a large range, with a known risk.