lammywinnie

引用:

原帖由 lofu 於 2010-7-29 10:54 發表
New challenge for eating time value:  (Just try try to see if this works )

Aug SC 19800 x 1 at 1300 + MHI ja 20987 x 4 (sorry for the typo, should be 4 making delta 0.8, rather than 8 contracts ...

按金用左幾多?? 細期幾時會平倉??

kennybat

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原帖由 wai-wai 於 2010-7-29 10:57 發表
210lp eat49pt....
再用10pt do 210lp

follow you .... ready to win

paaq

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原帖由 hftsang 於 2010-7-29 10:41 發表


我講講我個reasoning.
抵我係指個spread可以有23點.  你玩開option spread都應該知, 200點距離, 係FOTM option黎講, 仲要係宜家咁低IV, 最多17-18點左右, 開得差仲少o的net premium, 所以有23點, 算係好抵, 當然係 ...

"..但若果真係要每個月speculate最尾一日博個市爆的話, 我覺得要睇下個市有無動力爆上爆落,...."   Agree !  所以先去留意咁筍既spread 唔 long.

我個reasoning係好簡單，就係210C OI 突然多左，估佢9成9晌210附近結  (212+214 比較安全)，lp210 就risky d (真係轉眼即逝 ..   )

[ 本帖最後由 paaq 於 2010-7-29 11:25 編輯 ]

paaq

今日d 牛熊其實睇今日恆指定下月期?

lofu

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原帖由 lammywinnie 於 29-7-2010 11:02 AM 發表

按金用左幾多?? 細期幾時會平倉??

Margin $60,803

I'm expecting a less fluctuating mkt moving around 21000 for gaining the time value.  So If fut rises or drops too much, the SC will consume the gain in MHI or the SC will compensate the loss in MHI.

lofu

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原帖由 hftsang 於 29-7-2010 11:07 AM 發表


delta neutral 野唔會點平倉, 越渣得耐, 賺的time value越多, 亦都係個portfolio可以賺的地方.

For Sure

ourstation

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原帖由 paaq 於 2010-7-29 11:32 發表
今日d 牛熊其實睇今日恆指定下月期?

Depends on the Vendors, some vendors are using Aug today but some vendors will use Aug tomorrow

lofu

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原帖由 hftsang 於 29-7-2010 11:06 AM 發表


lofu hing, good to try new stuff.  but would that be not margin-efficicent?  The margin should not be very less but the profit is just a little?  Since I don't think there is much time value from FI ...

Just try try new strategy with a small portion of my margin.  In fact, i observe that such MHI + SC combination only requires the SC margin.  There is no additional margin for the MHIs.  I use MHI for hedge coz I will continue to trade big fut.

My previous post to Ms Winnie also refers.

[ 本帖最後由 lofu 於 2010-7-29 11:42 編輯 ]

lofu

引用:

原帖由 hftsang 於 29-7-2010 11:55 AM 發表


Thanks, Lofu hing.  But I've just tried to estimate the possible profit but it is quite little indeed.  Maybe I've missed something in calculation.  Actually, I have studied the possibilities of fut ...

No more at all.  Thx.       Lunch sin.

paaq

今日會唔會放生d熊仔