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恒指國指對沖

2017/05/09

 

尋晚節目視像版重溫, 歡迎到站內下載及收聽收睇
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第二節提及的HSIF同HHIF對沖的方法比較複雜, 以下再作少少補充:

由於兩者的價值並不相同(比例約為HSIF : HHIF = 1 : 2.5), 因此如果要做到對沖的效果, 買賣張數的比例應為HSIF X 2 : HHIF X 5(可以兩細HSIF + 一大HHIF代替)

操作方法如下:


1) 最簡單的做法當然係沽HSIF 買HHIF , 以今日暫時的升幅計算, HSIF 上升了248點, 升幅只有1.0%, 而HHIF上升了171點, 升幅為1.7%, 可見HHIF的升幅遠比HSIF為大, 再配合比例計算, 即HSIF輸596點(248 X 2), 而HHIF賺855點(171 X 5), 套利空間為259點
哩個方法雖然簡單直接, 不過由於買賣的並非同一產品, 因此按金上有機會做唔到相互抵銷, 即間行可能會HOLD足你按金, 導致投入成本會大大提高

 

2) LP HSIO ATM + SP HHIO ATM, 這是節目中的例子, 由於HHIO的IV比HSIO的IV為高, 因此該做法的淨期權金為正數, 即係可以收到期權金, 如後市向上發展所收取的淨期權金將會是該操作的最大利潤, 並不會越升得多越賺得多, 情況跟NAKED SP相若. 然而如果後市向下發展, 該操作就會越跌得多越賺得多, 情況跟NAKED LP相若

 

3) SC HSIO ATM + LC HHIO ATM, 這是節目提及的另一做法, 情況跟2)完全雙反, 淨期權金為付出, 會越升得多越賺得多, 但下跌的話就會輸淨期權金

以上所有操作的重點在於HHIF要跑贏HSIF, 否則可能出現1)的反向情況

 

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