引用:
原帖由 alancsl226 於 2014-4-10 17:04 發表
有個少少問題想請教下各ching, 我有套國指期權倉
lc 104 @ 166 點 x1
sc 108@ 35.5點 x2
sc 110@ 18.5點 x2
sp 9000 @ 10點 x1
如果今個月國指結算係 10900 的話, 我個倉要唔要輸? 因為我見個倉而家仲係 - delta, 唔係好明點解
係咁好似以下咁計呢?
lc 104 成本價10566 - 10900 = +334
sc108成本價10835.5 - 10900 =64.5 x 2 = -129
sc110 = +37
sp 9000 = +10
係咪應該嬴呢? 334-129+37+10 = +252
如果結算係 104樓下, 我就會輸 48點? 咁值唔值博呢?
Cost of option = (-166 x 1) + (35.5 x 2) + (18.5 x 2) + (10 x 1) = -48 (Debit)
Settle @109
LC104 x 1 => 10900 - 10400 = 500
SC108 x 2 => (10900 - 10800 ) x 2 = -200
SC110 x 2 => 0
SP9000 x 1 => 0
Gain 500 - 200 = 300, Win 300 - 48 = 252 (Profit)
LC104 x 1 => + 0.31 x 1
SC108 x 2 => - 0.14 x 2
SC110 x 2 => - 0.08 x 2
SP9000 x 1 => + 0.02 x 1
0.31 - 0.28 - 0.16 + 0.02 = -0.11 Yes the sum is negative.
Profit range ~ 10448 - 10952
If you think will get into this range this month then OK otherwise "NO"