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1032#
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小 發表於 2011-2-22 14:48 只看該作者
引用:原帖由 sharon 於 2011-2-22 14:03 發表 
回復 1005# OK~ 的帖子注意21800put 係跟22600put同一日交易的, 當日21800有7千張成交, 22600有3500張, 當時ok兄 / 其他師兄都分析過, 大戶極可是LP226 & SP218, 以接近0成本long熊扣, 打和點於21000左右
對於ok兄好有LP的衝動, 我大有同感, 不過有點擔心萬一有1-2日悶巿, 會蝕時間值, 所以我都傾向待23200才考慮
另外大家要留意權重股有大量3月deep-ITM put未平倉合約, 包括hsbc 100put有31000幾張, 2628的43put有15000幾張, 中移動105put有18000幾張 & 100put 有7000幾張, 張數遠比一般short option 賺息的firewall為多
這些deep ITM put未知幾時做的 (好似係2月初), 不過看來是long居多, 似乎極度看淡, 以深入價內期權的方法, 比起傳統的方法如naked short 期貨造淡便宜得多, 大戶此著實在高招!! 引用:原帖由 takk 於 2011-1-31 11:38 發表
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! 引用:原帖由 OK~ 於 2011-2-1 10:18 發表
昨日210P有4xxx張平倉, 而220P亦有1xxx張..
而3月的218P & 226P, 今日218P的OI升至87xx張 & 226P的升至69xx張..
對於以上的搬倉策略, 小弟看是頗為安全的, 只要指數於3月結算能守在21200水平, 相信是穩賺..  
別人貪婪時我恐慌，別人恐慌時我貪婪
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