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末日Long(1)

2016/04/25

話咁快又黎到最關鍵既結算週, 今個月食粥食飯定食屎都係睇哩幾日, 然而對一眾期權愛好者黎講, 哩個星期更多出一重重大意義: 等左成個月, 終於等到末日LONG既時機喇!

 

話明係末日LONG, 顧名思義就係用極少既期權金黎同佢玩幾日, 得就得, 唔得就食忽得… 而其中既”極少”同”幾日”其實係無一個明確數字去規定的, 有人會肯比成百點, 有D就只會俾幾廿點; 有人會玩三五日, 有D就只玩最後一個朝早, 雖然大家既玩法可能不盡相同, 但大家既目的同樣只有一個, 就係利用槓杆去再槓杆, 於極短時間去搏取倍數既利潤! 但大家有無正式統計過, 其實咁做長遠同佢玩到抵係賺定蝕架呢?

 

以下就為大家去做一次簡單既回測, 操作時間同樣設定為結算前四日(即共五日), 付出的期權金同樣為單邊50點左右(約400點價外), 做末日Long Call, 末日Long Put及末日Long兩邊三個回測, 睇睇佢地會得出咩結果

 

圖中”Change”欄為結算前四日的收市價至結算價的變動, 圖一”P&L”欄為單邊末日Long Call 400點價外每月的盈虧情況, 可見過往60個月中, 只有9個月(15%)能夠成功獲利, 合共利潤為2226點, 其餘月份合共虧損為-2431點, 由於利潤比虧損少, 因此可以推斷未日Long Call並不能夠長遠産生正回報

 

圖二為末日Long Put 400點價外的情況, 過往60個月中, 能夠成功獲利只有6個月(10%), 合共利潤為1759點, 其餘月份合共虧損為-2700點, 這比未日Long Call的情況更差!

 

圖三為末日Long 兩邊400點價外的情況, 能夠成功獲利有12個月(20%), 合共利潤為3386點, 其餘月份合共虧損為-4554點, 結果同單邊末日Long Put相若

 

從以上三個簡單的回測結果可得知, 如果以結算前四日去做末日Long 400點價外, 不論何種操作方法, 長遠做其實都係輸多過贏的, 因此個別月份的十倍八倍表現, 其實只係斷章取義既幻覺黎…

 

末日Long其實同買圍骰差唔多, 中既機會好細但賠率卻極高, 所以有睇開我Post既朋友可能無咩印象我有叫過大家做… 因為我一早就知道末日Long長遠下去係輸多過贏的

不過, 今次做哩個Back test卻俾我發現另一個驚喜…

 

待續… 請以Like支持~

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