optionbaby

引用:

原帖由 oem7110 於 2013-10-18 14:33 發表
請問何時使用何種策略組合呢？
Thx

師姐識得判断後市走势啦?

butterflyjoan

may be 利淡身懷六甲...

fatpat

策略組合 1：跨期認購期權 定義：沽出一張近期月份認購期權，並買入一張相同行使價的遠期月份認購期權

Assume @4 HSF @23350
So you think market will try 238, and settle around 238 this month

Oct SC238 @58
Nov LC238 @257

On Oct 30, market settle @238, so Oct 238C becomes worthless,
and Nov 238C @380

fatpat

策略組合 2：跨期認沽期權 定義：沽出一張近期月份認沽期權，並買入一張相同行使價的遠期月份認沽期權

Assume @4 HSF @23250
So you think market will try 226 instead, and settle around 228 this month

Oct SP228 @84
Nov LP228 @284

On Oct 30, market settle @228, so Oct 228P becomes worthless,
and Nov 228P @396

fatpat

跨期 = Calender Spread

Use when you think current month IV will drop and the front month will settle around the strike price,
e.g. yesterday after the debt event, no more news so premium for the uncertainty (aka IV) drop.

If you think the market will close between 228 - 238, you can do both,
probably you will earn a little from it.

The premium for both Nov SC + SP is estimated around 600,
and your cost is around 400, so you get around 200 from it.

[ 本帖最後由 fatpat 於 2013-10-18 15:22 編輯 ]

Speedfox

現貨圖唔多似

168.hk

大低水，淡倉？？？

fatpat

Let's try to see whether it is true.

Oct SP226 @50    IV 15.7 (Margin ~58000)
Nov LP226 @214 IV 15.7 (Margin <10000)

Oct SC236 @88    IV 12.4
Nov LC236 @300 IV 14.0

Not sure about the margin, anyone has tools for margin
please help to verify.

P.S. As the IV is very low on Oct SC, really wonder whether the market will go up a lot.

fatpat

引用:

原帖由 fatpat 於 2013-10-18 15:19 發表
跨期 = Calender Spread

Use when you think current month IV will drop and the front month will settle around the strike price,
e.g. yesterday after the debt event, no more news so premium for the unce ...

If fall within the range, look more like result in 370 - 460 instead.

Maybe the IV is really low at the moment

rcecbest

估計調整已出完成, 似向上突破, 買國指LC10800, 搏下先