Excuse me for the belated response.
It should not be something new to you, brother Tsang. Many option traders would go for directional long gaming, betting on the expiring options at the end of a month.
Because of the characteristic premium-underlying-price curve, there exists a particular strike for each series of the put and call option choices such that it's premium surges dramatically when the option becomes more ITM but the drop of premium is much less significant when the risk goes in the unfavoured direction.
"Threshold of kurtosis" is a term I use here for the first time that would be understood by most fellow students of Master Tam, although I do not agree with using this statistical measure of peakness in describing that particular feature of the curve. Master Tam uses a very ingenious twist of the BS formula to illustrate the working principle of an important option trading strategy.
I was referring, in terms of premium levels, to today's choice of index options to long, in order to make the most explosive profits.
For instance, if there had been over 200 points of index surge since around 10:30 this morning, opening long position of 214call should have delivered greatest magnification of premiums. Since the HSIF's range of last session was only 160 points, this morning's hi-lo ratio of 214call is only 144% while the cheaper, more OTM 218call delivered a optimum of 167%.
I observed that the biggest volume goes to way between, 216call, at 1310 contracts, hi-lo ratio = 163%.
So we can see, spotting the so-called most explosive expiring option of the day is rather an empirical process and by no means rigid in theory or computations.
Since I gathered at around 11:00 that there would not be further big up's or downs in the morning, I actually turned to trade the ATM options. That kept me busy for a big while.
So you now understand that I was not talking about some "big secret".
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本帖最後由 Jinpa 於 2010-6-22 13:54 編輯 ]
