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效率(1)

2015/09/29

尋日個POST話: 諗住搏反彈既朋友記得唔好做空頭LONG CALL, 睇住輸IV輸到喊...

 

哩個POST既重點並不在於個市有無力彈, 或IV現水平算屬高屬低的問題, 重點係如果個市於短時間內反彈, 個IV必然會縮到XX, 今日就同大家睇下, 如果尋日做左張空頭LONG CALL, 到底會有幾蝕!

 

如果以方間既說法去揀LONG既行使價, 選Delta 0.25附近, 以尋日收市價計算, 即係Long HSI 21400J5, 需付出的期權金為293. 今日個市最多升467, HSI 21400J5今日最高成交價為387, 即係話反彈超過400點, 但最多賺既連100點都無…

 

搞錯呀! 我就咁睇機, 向上推返兩個行使價, 反彈400點張HSI 21400J5都應該有427點啦, 今日仲要反彈多過400點, 但點解最高都只係報387… 嗰幾廿點去左邊? 咩料呀???

 

嗰幾廿點係因為今日IV縮少而被蒸發左… 當你明白IV既運作原理, 你就會知道如果以尋日期指既水平計算, 今日(or哩兩日)個市反彈, 個IV係必然會縮到喊的! 以風險及回報考量, 好明顯尋日開空頭LONG CALL搏反彈並不是一個有效律既操作…

 

咁點做先為之有效律呢? 答案係開BULL CALL SPREAD, 具體點做, 明天繼續

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