1.今天你阅读到的有价值的全文内容链接
Volatility Trading (期权波动率交易).
https://bbs.pinggu.org/thread-3389027-1-1.html
2.今天你阅读到的有价值的内容段落摘录
(1) In a zero sum game, having some participants mistaken about a fundamental aspect of trading can only help the rest of us.
(2) Three types of hedging: At regular intervals/delta band/underlying price changes/utility-based methods.
(3) The short and long positions need to be hedged differently. The band for short position is narrower. So we hedge our short positions more defensively.
(4) As the underlying reaches a new high, short gamma hedgers of will be inclined to buy. In doing so, they will make the high even higher by paying the offer. In contrast, a seller sells at the bid, slightly lower than the high.
3.今天你阅读到的有价值信息的自我思考点评感想
当需要平衡两个目标的时候,经济学家通常用效用函数来解决。例如在期权对冲问题上,降低跟踪风险和降低交易成本是两个相互矛盾的目标,采用效用评价的方法来解决。在期权对冲方面波动率的空头和多头天然收到不同的影响(买卖价差、对价成交等影响),Leland研究了对于买卖期权不同头寸的调整波动率。 在期权波动率交易之前,必须要了解到大致有多少交易优势会被delta对冲的损失所侵蚀。举个例子来说,对于波动率比较低流动性不太好的股票,如果合理的波动率是10%而期权的买卖价差是1%的话, 考虑到对冲对盈利的侵蚀,隐波要达到15.9%以上才能有波动率交易的安全边际。
4.昨日你阅读的时间量(小时计算,如0.5小时)
1小时
5.你参与活动至今的总时间量(小时计算,如20小时)
11小时