引用:
原帖由 OK~ 於 2011-1-31 10:50 發表
大家都密切留意倉位變動呢
雖然有些不合理, 但即月210P似乎是SP, 而3月226似乎是LP..
至於即月220P & 3月218P則未能看透..
未知各位有何看法?_? ...
To OK c-hing & all, I try to guess what the big trader doing following :
for Feb : SP220 / LP210 spread
possible profit about : <39pts ( currently 55pts - 16pts ) per set ( since SP220 vol about 5xxx while LP210 vol about 7xxxx) ratio about 1 : 1.4
possible win : < 39pts per set
possible lose : 1000 - 39 per set = 961 pts /set
in case the HSF drop below 22000, above spread protected by below spread :
for Mar : LP226 / SP 2x218 per set ( Long / short ratio : 1:2)
profit about : 12 pts per set (currrently 356 - 2x172 )
( LP226,delta 0.32, gamma 0.0002, while SP218, delta 0.18, gamma 0.0001 ) -> want to make delta `0'
However, I cannot figure out their speculation since the factor : `TIME' is also critical when calculate the profit/loss of above action.
If drop slowly to or above 22000 before end of Feb ( or @結算), above action have more profit.
But in case drop quickly to below 22000, then it would be dangerous to above set. then `saving action' may need to be done.
以上乃小弟愚見, 請多多指正!