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上文講到由於受到BS Model的計價因素所影響, 同一個策略於相關資產的表現未有出現結構性轉變的情況下重覆地做下去, 其長遠派彩比率正常係唔會大幅偏離1, 然而要做到每年都出現正回報且平均年回報率要達到20%以上, 該策略的長遠派彩比率就必需要達到2以上, 咁到底要點樣先可以做到呢?


以上重點在於”同一個策略”的情況下其長遠派彩比率正常係唔會大幅偏離1, 但如果大家能夠因應不同的情況下選擇較有利的操作, 就能夠令整體的長遠派彩比率大大提高!


以下為2014年6月30日(即月第一個交易日)的7月份期貨資料, 期指當日收報23104(以23000為等價), 如果按前文的相同做法去操作, Long兩邊即月1000點價外, 即Long Call 24000 + Long Put 22000, 分別俾48及51點, 該組合的總成本為99點, 再重覆11/04的貼文內的做法去計算其長遠派彩情況, 就會得出圖一中最後一欄的結果, 其中總正回報為212.07, 總負回報則為-59.4, 長遠派彩比率為3.57, 這數值比今個月(16年4月)的要高出三倍有多


再睇多個例子: 2015年8月31日的9月份期貨的資料, 期指當日收報21464(以21400為等價), 同樣地Long兩邊即月1000點價外, 即Long Call 22400 + Long Put 20400, 分別俾389及458點, 該組合的總成本為847點, 其長遠派彩情況的總正回報為30.4, 總負回報為-625.73, 長遠派彩比率為0.0485, 連今個月(16年4月)既20份之1都無…


以上兩個例子可以睇到, 同一個策略喺唔同情況下會出現天襄之別既果結, 原因就係期權金喺度作怪… 哩個就係我之前講期權金既多寡根本係整個零和遊戲既本質所在, 除了會影響成本及回報率外, 更主宰著絕大部份既成敗得失!

試諗下如果2015年8月31日調返轉做9月份Short兩邊1000點價外的話, 個長遠派彩情況就會變成總正回報為625.73, 總負回報為-30.4, 長遠派彩比率為20.58, 係天堂同地獄既分別!


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