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 [原创] 作期权真的很难吗 - 黄金满地，无人敢捡 |
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pal, if i want to take a more directional risk, i will -- hghg11 - (336 Byte) 2007-1-14 周日, 10:49 (502 reads) |
sapientaf
头衔: 海归上校
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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
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作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
Sorry to catch your post late...what you suggest, if I understand correctly, is a calender speads.
I don't use it in my post because it is a bit difficult for beginners to understand it. Here is way to explain it.
Normal calendar spreads are neutral strategies, involving selling a near-term option and buying a longer-term option, usually at the same strike price. The idea here is to have the market stay confined to a range so that the near-term option, which has a higher theta (the rate of time-value decay), will lose value more quickly than the long-term option.
Typically, the spread is written for a debit (maximum risk).
But another way to use calendar spreads is to reverse them - buying the near-term and selling the long-term, which works best when volatility is very high.
The reverse calendar spread is not neutral and can generate a profit if the underlying makes a huge move in either direction. The risk lies in the possibility of the underlying going nowhere, whereby the short-term option loses time-value more quickly than the long-term option, which leads to a widening of the spread, exactly what is desired by the neutral calendar spreader.
作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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