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Long ITM Strangle vs Bull Call Spread

2013/09/20

以下係一位巴打既Case, 經佢本人同意後我決定放上黎同大家分享下, 幾有參考價值的~ 又要計數喇喂!!!

 

話說哩位人兄喺11/9做咗張Long Call 23000(俾272), 之後個市就升到去23200附近, 但佢冇走到, 而喺17/9佢驚個市會回調, 但又想Keep住睇升, 所以就做咗張Long Put 23400(俾315)黎對沖, 我問佢點解要做價內? 佢就話因為咁做個打和點就會喺23085(我估... 佢係想講如果咁做佢就最少都可以賺到85點既同時又可以Keep住睇升)以下就係佢既持倉(唔知依家走咗未...):

 

Long Call 23000, 俾272
Long Put 23400, 俾315

 

咁你哩個組合既總打和點就唔係23085, 係23587 or 22813, 因為要計埋Long Call 23000既成本. 咁樣做雖然係可以keep住睇升既同時又可以減低下行風險(lock咗部分Long Call 23000既利潤), 但相對地比Long Put 23000睇升既打和點就會高咗(因為Long Put 23400會貴過Long Put 23000), 但同時地又有個好處, 就係睇跌既打和點都會比Long Put 23000高咗, 即係話如果你Long Put價內其實出到黎個效果係有利保護多於有利keep住睇升

 

但咁做會有個唔好處, 就係時間值會輸得好甘, 而如果個期指係22814 - 23586之間任何一點結算(共772點距離), 你都會輸錢, 詳細可以參考下表:

結算 22814
Long Call 23000, -272
Long Put 23400, +271
Total: -1

 

結算 23000
Long Call 23000, -272
Long Put 23400, +85
Total: -187

 

結算 23200
Long Call 23000, -72
Long Put 23400, -115
Total: -187

 

結算 23400
Long Call 23000, +128
Long Put 23400, -315
Total: -187

 

結算 23586
Long Call 23000, +314
Long Put 23400, -315
Total: -1

 

從上表得出187點就會係你既最大虧損, 而哩樣野都係你哩個策略既好處之一, 因為咁做會比Long Put 23000既最大虧損細好多, 相信哩個就係你選擇做價內Put既最主要原因

 

但如果我係你, 我會選擇做張Short Call 23400, 收139(以今日收市價計算), 咁做同樣可以鎖定部份利潤, 同時可以keep住睇升(雖然係睇升, 但咁做既利潤係有限的... 最大利潤為(Short Call 23400所收既期權金)139+128(Long Call 23000在組合中的最大利潤)=267), 時間值又唔洗輸得咁甘

 

以下為兩種做法之比較:
Long Call 23000 + Long Put 23400
成本: 587點, 上望打和點: 23587, 下望打和點: 22813, 最大利潤: 無限, 最大虧損: 187點, 時間值: 輸兩邊


Long Call 23000 + Short Call 23400
成本: 133點, 上望打和點: 23133, 下望打和點: 冇, 最大利潤: 267, 最大虧損: 133點, 時間值: 一邊輸, 一邊賺

 

可以睇到Long Call 23000 + Short Call 23400既上望打和點比Long Call 23000 + Long Put 23400低454點, 即係話如果睇升, 會較容易就可以賺到錢, 最大虧損亦比較少, 加上時間值會輸少一邊, 因為依家已經入咗下半月, 時間值的損耗會非常大. 當然Long Call 23000 + Long Put 23400亦有佢既好處, 唔多講, 自己諗~

 

都係嗰句... 邊種做法最好, 其實真係無一定既答案, 只要你明白每一個操作or組合策略各自既優點同缺點, 就可以揀你認為最適合你自己既選擇, 總之賺到錢就係好方法!

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