1.今天你阅读到的有价值的全文内容链接
https://bbs.pinggu.org/thread-3524948-1-1.html
Option Volatility and Pricing- Advanced Trading Strategies and techniques
2.今天你阅读到的有价值的内容段落摘录
继续读期权价差交易。
Page150.
"To understand why, consider the result of choosing between a 95/100
and a 100/105 bull call spread under three different scenarios. In scenario 1, the market rises and is at 110 at expiration. If this happens, both
spreads will show a profit because they will both widen to their maximum value of 5.00. In scenario 2, the market drops and is at 90 at expiration.
Now both spreads will show a loss because they will both collapse to 0. Finally, consider the case where the underlying market fails to rise but also
does not fall. It simply remains at 100 until expiration. If this happens, the 100/105 spread will collapse to 0, while the 95/100 spread will widen to
its maximum value of 5.00. The 95/100 spread is always more valuable than the 100/105 spread because it profits in more cases. The 100/105
spread needs the market to rise to show a profit. The 95/100 spread does not need the market to rise; it just needs for the market not to fall.
Because the 100/105 spread requires movement, it has a positive gamma and, consequently, a negative theta. It will decline in value as time
passes. The 95/100 spread will profit even if the market sits still. It has a positive theta and, consequently, a negative gamma.
Note also the results if the market does move. If the market rises to 110, both spreads will show a profit, but the 100/105 spread will show a
greater profit because it was purchased at a lower price. If the market falls to 90, both spreads will show a loss, but the 100/105 spread, because
of its lower price, will show a smaller loss. If there is a greater likelihood that the market will move, we will always prefer the 100/105 spread. We
will maximize our profits when we are right, and we will minimize our losses when we are wrong. The likelihood of movement will depend on our
estimate of volatility. If our estimate is higher than the implied volatility, we are saying that there is a greater likelihood of movement, so we prefer
the 100/105 spread. If our estimate of volatility is lower than the implied volatility, we are saying that there is a lower likelihood of movement, so we
prefer the 95/100 spread."
3.今天你阅读到的有价值信息的自我思考点评感想
策略的构建价格是评估策略的重要指标。 但价格总是相对的,好东西通常价格更贵,关键在于要深刻了解贵出来的部分它的价值在哪里。考虑一个具体的例子。
当前股票价格为100元,有两个牛市价差供选择, 95-100的价差和100-105的价差。 从构建成本来看, 95-100的价差更贵,因此潜在最大获利的空间相对较小,
那是不是意味着100-105的价差更好呢。 考虑三种情况
1. 股票价差低于95,两个组合都亏钱。而且95-100的价差亏得更多。
2. 股票价格等于100,95-100的价差盈利,100-105的价差亏损。
3. 股票价格等于105,两个组合都盈利,而且100-105盈利更多。
那么如何选择,还是取决于对市场的判断。如果认为大概率有上涨超过5%,那么100-105价差会是更好的选择。
但是对于该价差来说,随着股价的上涨,Gamma会变为负数。 到后期波动反而对组合不利。
4.昨日你阅读的时间量(小时计算,如0.5小时)
0.8 小时
5.你参与活动至今的总时间量(小时计算,如20小时)
21小时