fatpat

Good morning

fatpat

引用:

原帖由 h0694150 於 2012-11-16 09:31 發表
According to all the combinations you suggested, how much can it be earned for each individual? Thanks!

I have too many strategies to suggest wo

Another one for today, assume market bottom at 209 (support) and top at 215 (resistance),
target closing ~212

SP212     @285 x 2
ku HSIX2 @21122

BE ~207 - 217, or profit range ~ 212 +- 500pts, margin < $100K,

Profit ~ (285 - (212 - clsoing)) / 2

fatpat

引用:

原帖由 fatpat 於 2012-11-16 10:39 發表


I have too many strategies to suggest wo

Another one for today, assume market bottom at 209 (support) and top at 215 (resistance),
target closing ~212

SP212     @285 x 2
ku HSIX2 @21122 ...

If you think downward, and you can move the strike price to 210 instead

fatpat

引用:

原帖由 fatpat 於 2012-11-16 10:41 發表


If you think downward, and you can move the strike price to 210 instead

Besides, if you think market will close around 211, (or you want to open the market more ATM),
you can do

SP210 x 1 + SP212 x  1

It averages out to 211 strike price

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:28 發表
If I have margin, usually I'll do the something a bit more complicate, e.g

LC216 x 1 + SC220 x 1 + SC222 x n (Think not over 222)
LP214 x 1 + SP210 x 1 + SP206 x n (Think not below 206)

n is depends ...

Using 2012 11 12 closing data to open, and current data for analysis

Strategy 1 Double Straddle (DS)
    SC210 x 1 @555
+ SP210 x 1 @152
+ SC218 x 1 @144
+ SP218 x 1 @540

Current profit $5809, Delta 0.469, Gamma -0.002, Theta 30.297, Vega -50.805
BE ~ 20704 - 22095

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:09 發表


If you have margin and brave enough,

Ratio Spread

2) LP214 x 1 + SP210 x 2 (look down)
    and
    LC214 x 1 + SC218 x 2 (look up)
    (usually aside $100K margin for a set)
     BE ~ 209 / 221
     P.S. Can buy only one side to bet one side
...

SP210 x 2 @152
LP214 x 1 @300
LC214 x 1 @313
SC218 x 2 @144

Profit ~$2403, Delta 0.182, Gamma -0..001, Theta 12.395, Vega -20.777,
BE ~ 20621, 21379, 21421, 22179 (because it is a debit set)

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:09 發表


Spread

3)  LP212 + SP210 (look down)
    (usually aside $5K margin for a set)
     or
     LC218 + SP220 (look up)   
    (usually aside $5K margin for a set)
...

SP210 x 1 @152
LP212 x 1 @219
LC218 x 1 @144
SC220 x 1 @90

Loss 2.4, Delta -0.061, Gamma 0, Theta -2.037, Vega 3.411
BE ~ 21079, 21921

P.S. Will change the middle strike price to 214 to see the difference

fatpat

引用:

原帖由 fatpat 於 2012-11-16 11:19 發表


SP210 x 1 @152
LP212 x 1 @219
LC218 x 1 @144
SC220 x 1 @90

Loss 2.4, Delta -0.061, Gamma 0, Theta -2.037, Vega 3.411
BE ~ 21079, 21921

P.S. Will change the middle strike price to 214 to see the di ...

SP212 x 1 @219
LP214 x 1 @300
LC214 x 1 @313
SC216 x 1 @217

Loss 192.4, Delta -0.014, Gamma 0, Theta -0.73, Vega 1.222
BE ~ 21223, 21577

Oooops, this strategy is used for IV low and target to breakaway,
like playing with 330, around the company financial reporting time.

My mistakes

fatpat

引用:

原帖由 fatpat 於 2012-11-12 17:28 發表
If I have margin, usually I'll do the something a bit more complicate, e.g

LC216 x 1 + SC220 x 1 + SC222 x n (Think not over 222)
LP214 x 1 + SP210 x 1 + SP206 x n (Think not below 206)

n is depends ...

SP206 x 3 @71  (Think not below 206)
+ SP210 x 1 @152
+ LP214 x 1 @300
+ LC216 x 1 @217
+ SC220 x 1 @90
+ SC222 x 3 @55  (Think not over 222)

Profit $6655, Delta 0.286, Gamma -0.002, Theta 24.045, Vega -40.229
BE ~20432, 22367

My favorite, but very high RISK & high margin requirement

[ 本帖最後由 fatpat 於 2012-11-16 11:43 編輯 ]

fatpat

引用:

原帖由 fatpat 於 2012-11-16 11:27 發表


SP212 x 1 @219
LP214 x 1 @300
LC214 x 1 @313
SC216 x 1 @217

Loss 192.4, Delta -0.014, Gamma 0, Theta -0.73, Vega 1.222
BE ~ 21223, 21577

Oooops, this strategy is used for IV low and target to brea ...

Anyway, better to do only one side, said Bull Spread for uptrend or Bear Spread for downtrend.