引用:
原帖由 fatpat 於 2014-1-10 16:27 發表
Delta very close to zero, so unless big gap on Monday morning, won't lose much.
Assume open 23100, IV 14.8,
22880 - 23100 = -220
(270 - 158) x 2 = 224
Assume open 22600, IV 15.2,
22880 - 22600 = 280
(270 - 398) x 2 = -256
So safe if Monday open within 226 - 231.
A pretty good bet if target no news during the weekend.
P.S. Current IV 14.66.
Good morning. My guess was wrong. Open gap up more than 100pts
Future DH 23165 228P DL150
22880 - 23165 = -285
(270 - 150) x 2 = 240
Loss 45pts.
Current future @22905 228P @230
22880 - 22905 = -25
(270 - 230) x 2 = 80
Win 55pts.
Good time to eat and profit now
A very good example to show how the market move affect the profit & loss.
P.S. Open Future @23015 228P @185 for reference only
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本帖最後由 fatpat 於 2014-1-13 10:16 編輯 ]