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Wednesday, December 19, 2007

Derviative Analysis 衍生工具分析漫談

derviative俾我一個較為神秘的感覺,佢可以leverage的原理操縱個正股,大市,對大市的波動及未來走勢有影響。我見到好多高手都玩期指期權,但就好少玩窩輪,而且我見網上好多高手都要睇這些數據來預測大市,所以我一直都想知道有甚麼方法可以從中預測大市。但我上網狂做research、上網問人,大家的答法都不一(十個九個唔答),沒有一個有效的系統去做預測,所以暫時用期指期權的數據來預測大市都係一知半解。暫時綜合所有方法如下:
  1. 睇期指的未平倉合約及未平倉合約淨數。這個方法有個問題,就是好難知道是沽方還是買方處於優勢。因為期指是有對家買賣,點先知道買賣雙方誰是強手? 例子: 期指的未平倉合約數量也是在跌市時增加,升市時減少,反映造淡力量佔了上風.講就易,真係分析是都唔知準不準。
  2. 睇期權倉分佈。這個方法係知道個最大個倉位係邊到(put or call)自己就可以估到個支持位同個阻力位。因為大戶係唔想俾指數超過這些大倉位而要賠錢的。但這個方法更本就係靠感覺,d 倉位根本就好似差不多咁。而且又係對家,所以實係有大戶參加。加多句由上年至今年每當加期貨合約按金恆指都上升。
  3. 睇call/put ratio,如果call多就可能會跌,put多就可以會升,因為話這反映散戶的睇法喎。但咁大成交量邊有可能只有散戶呀。加多句睇指數及熱門股隻的 call 輪街貨量持續增加 ; 相反, put 輪街貨量持續減少,咁大戶就會做淡。
  4. 每週睇下個十大參加者數據即係恒生指數期貨市場佔有率數據。在這次牛市中, 每週的十大好倉,經常都比十大淡倉多二,三千張; 你見市況整體亦向上.每當十大淡倉多出三千張, 大市於一週內回跌五百點的機率很高.如果淡倉多出6000張之多, 我只在2006年5月見過.若結算後情況持續, 甚不妙!
  5. 在月尾轉倉的時候,留意一下下月期指約莫在什麽範圍內做的,然後結算完之後,看期指突破範圍的方向,就多數是什麽倉了。上就好倉,落就淡倉。有時候,大戶也會做個假突破,然後再回頭,假突破的幅度和時間都是很短的。
  6. 高低水,但這個方法被好多批評過。高低水太容易受影響,好似三四月的派息月,通常都幾水百幾點。所以有無無路足,但我有個同事間唔中都睇佢來玩牛熊証的。
  7. 有人睇沽空金額銳減及投機告好買盤增加來確認大市見低。
  8. warrants對正股的影響好多網上都有討論,但暫時都無一個切實的答案。例子:
    My proposition is based on data and observation. For instance, the crude oil surged over 4% last night, yet 857 and 883 still plunged over 3% today. I have been watching 857 transactions for over 1 month, ABN has been very agressive selling 857 last two weeks. Today, the warrant issuers such as KBC, GS, DB, UBS etc joined forces to sell 857. Needless to say, some funds such as mirae asset were also selling too.
    In addition, do you realize 9089 and 9792 will be expired this month? Their market outstanding volume are huge. ABN has been buying back 9089 since last week. GS has been selling 857 for its 9792 with exercise price of 15 can be made worthless until expiry
    When 2 warrants are expiring within the same week, there's indeed incentive to sell-off the stock. 857 was heavily sold by several foreign firms yesterday, this I notice.
    睇市場數據
    Link
講左咁耐,大家都可能覺得這些方法都係無乜用,因為都唔可以話太準確。唯有講小弟看不透la...望有高人指點一下迷津! 如果真係要睇咁多野,我諗我一日都無咁多時間去做其它野。暫時結論係眾人相反(鳴謝timothy chan 既寶貴意見)。
買期買put者買call也。買期買call者買put也。
買call賣put者買期也。買put賣call者賣期也。
期指期權相合,變化萬千.唯歸於本源之時,CALL即是PUT,PUT即是CALL.期者亦復是也.

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