Jinpa

fatpat,

I wish the afternoon market turns out somewhat consistent with CB900's outlook and favours your positions a bit. .Beware of the recent low volume fast hi-lo habits of the market.

CB900

vhsi still not namy yet

rcecbest

Please advise delta would you choose to do the OTM SC in Sep to hedge the time value deterioration ?

uuyyuu

一定有一边爆,依家再加兩边L!

CB900

引用:

原帖由 uuyyuu 於 2013-7-19 13:19 發表
一定有一边爆,依家再加兩边L!

210 n 216???

Jinpa

rcecbest, that's pretty much a small butterfly consideration in choosing my deltas. technically you need to take into consideration of Vegas. Yours is not an easy question to answer, somehow a dramatic increase in IV may change your choice of OTM strikes radically, and you don't really need to consider the choice of deltas at all. I have solid examples of what I have done to Sept butterfly portfolio I have been managing after the surge of IV upto 30+ --> 26+, in the last 4 weeks. Details can be discussed in the BB forum in near future. Or if time allows, I could illustrate a bit in the class or after the class tomorrow.

in the nutshell, the degree of influence of Vegas in contract premiums is much greater than that of deltas, particularly for OTMs.

rcecbest

Thank you

Speedfox

上證不吉

CB900

Left n right is better ........ 208  n  218
美國期權結算是用周五的開市競價計算，一般來說托到周四大局已定。昨日美股收市才爆發大型炸彈，確認底特律（Detroit）市政府周四正式申請破產保護，成為美國歷來申請破產的最大城巿。美股收市後才傳出消息，市場未來得及作出反應。小心為上。

CB900

call put ratio  : 0.59 : 1.695