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 [原创] 作期权真的很难吗 - 大结局 |
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sapientaf
头衔: 海归上校
声望: 学员
性别: 
加入时间: 2006/08/20
文章: 821
来自: 弯曲，上海，班格罗尔，北京，新加坡
海归分: 83000
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作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
非常感谢个位的捧场和参与。My original post is here:
https://www.haiguinet.com/bbs/viewtopic.php?p=1068173
黄金大虾的原贴功劳最大
https://www.haiguinet.com/bbs/viewtopic.php?p=1067683
使大家有机会同过一个具体案例，真实认识到期权投资的精髓。
筋斗云大侠的问题（三月v.s.俩年），使我们认识到期权交易“时间差”的价值。市场有时候给你这种机会，你玩两年的赢的机会比玩三个月要大8倍，但费用反而更低 （2.33 v.s. 288 if you trade a bull (call) spread).
最后，halifax2008的贴是A+的答案：
https://www.haiguinet.com/bbs/viewtopic.php?p=1068459
所有的要素回答的很完美。尤其是the answer to how to hedge the bull spread. 我的选择是用6 to 12 month MOT 15 PUT. Of course, this will lower the return of the trade.
So why pick a bull spread v.s. a butterfly ? The main reason is simplicity. I take pain to avoid using professional jargons such as bull (call) spread, delta, vega, tau, etc in my post, so normal folks can, I hope, understand it.
In addition, butterfly strategy requires a relatively large number of options positions (3 or more) to construct it, and explain the payout in a simple to understand fashion.
我和halifax2008都disagree with the statement of "easy to make money by writing an option".
Finally, 大结局
If we trade a bull spread, what's the final P/L at the end (halifax2008 already covered the case when MOT hits 20 before Jan 2009).
MOT closes at around 18, we enter a bull spread trade w/o hedging, consideration of txn cost as well as interest lost for carry the trade on the premium for simplicity.
Long 1x 15 Call at 5.40 = $540
Short 1x20 Call st 2.85 = $285
Cost = 255
MOT at 20 close to Jan 2009
Long 1x 15 Call at 20-15->5x100 = $500
Short 1x20 call at 0 = $0
Profit = $500 - 255 = 245.
MOT at 18 close to Jan 2009
Long 1x 15 Call at 18-15->3x100= $300
Short 1x20 call at 0 = $0
Profit = $300 - 255 = 55.
MOT at 16 close to Jan 2009
Long 1x 15 Call at 16-15->1x100= $100
Short 1x20 call at 0 = $0
Profit = $100 - 255 = -155.
The bull spread trade has a good profit if MOT reachs 18 and above in 2 years on a close price of 18 today. With a little luck, an investment of $255 will return $55 to $255 or more in 2 years.
As I mentioned in an earlier post, I own a ton of AAPL (in fact >10K shares), I will profit if Apple indeed delivers on the iPhone, but play a little bit of the other side too.
The key of any trading, have a balance and know your risk and reward chances.
全文完
作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
上一次由sapientaf于2007-1-14 周日, 13:30修改，总共修改了1次
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 [原创] 作期权真的很难吗 - 大结局 -- sapientaf - (2345 Byte) 2007-1-14 周日, 13:04 (2458 reads)
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