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Long Straddle過長假期

2014/04/18

如果大家有long兩邊過哩個假期的話, 相信有部份人經已留意住個adr尋晚既表現, 今日又會不時噤下電話睇下大陸睇下ig咩環境, 祈望港股返黎可以爆邊爆到九彩, 賺佢價之餘仲食埋個vol咁就perfect了~

 

不過淨係留意住外圍發展其實對件事係幫助的, 唔通你睇實d就會升/跌多d?! 與其齋睇等運到, 不如做定功課去諗定黎梗將會面對既問題: 應該喺咩位平倉?

 

要賺錢開倉開得靚固然重要, 但平得靚先係關鍵! 要計算黎梗喺咩位平倉會比較著數, 其實只要做下簡單既統單就會搵到多少線索

以尋日開倉為例, 黎梗距離結算仲有8個交易日, 以下為過往1年恒指於不同月份於結算前8個交易日至結算期間出現的高低波幅:
2014/03 +/-502.5
2014/02 +/-303.5
2014/01 +/-626
2013/12 +/-345
2013/11 +/-255
2013/10 +/-447
2013/09 +/-255
2013/08 +/-499
2013/07 +/-410
2013/06 +/-907
2013/05 +/-601
2013/04 +/-633.5
Mean +/-482.08

 

從上表統計資料可計算出:
+/-0至+/-300 RF = 16.67%, CRF = 16.67%
+/-301至+/-400 RF = 16.67%, CRF = 33.34%
+/-401至+/-500 RF = 25%, CRF = 58.34%
+/-501至+/-600 RF = 8.33%, CRF = 66.67%
+/-601至+/-700 RF = 25%, CRF = 91.67%
+/-701 or above RF = 8.33%, CRF = 100%

 

以上資料顯示, 出現大於500的波幅的機會率只有41.66%, 而500點內的波幅的機會率為58.34%, 即係話如果搏佢喺黎梗8日爆超過500點的話, 贏面將大幅減少

由此可得知搏多過500點個風險會大好多, 如果以過去一年統計的波幅的中位數482.08計算, 恒指昨日收市價, 22760 +/- 482.08 = 23242.08 / 22277.92. 即係話當指數未到價時, 可考慮睇多兩日; 但去到哩兩個水平時就差唔多要平倉了, 因為上面既機會率只係面數, 如果計埋輸價, 縮iv及時間值的損耗, 再搏落去既風險將會係幾何級數上的

 

希望哩份復活節禮物可以幫到大家啦~ 祝各位復活節快樂!

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