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Friday, May 29, 2009

Long Straddle


今日做左2628 long straddle:
Buy Call Dec @ 28 $3.26 * 4
Buy Put Dec @ 28 $3.23 * 4
合共用了$25960

就係咁樣....點解唔到short ? 因為IV底
止蝕應該係30%
$28 係上落區域的中間,應該無問題
平時就用short 來賺時間值

14 comments:

  1. Ching,as you said IV 底是什麼意思 ?? 是IV很低?
    另你好似是用輝立的.請問在輝立那里可查 IV?好似只有volatility? 如你做甘遠的(Dec). 即代表在今年年底 2626 一是升穿 31.26 或跌穿24.77?

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  2. 輝立係無IV 睇的...要去hkex到睇..一係自己計
    IV 叫 volatility
    我指IV 底係而家的IV 比較以往一年來的 IV 較底
    IV 底 即係= options 價較平 = 做short 收premium小
    我做DEC 係要減少 time decay 的速度
    你應該知time decay 當近expiration會越來越快..尤其最後兩星期
    所以我最遲會係十一月尾到平倉...防止佢time decay 加快..我輸錢
    如果放到年尾..最少要升穿35 /跌穿 21

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  3. Thanks to your reply. I know IV mean implied volatility. I have login to OATS again, but found Philip has IV for 2828 on Jun/July/Aug only. So you check the IV from HKEX ?
    As you said , if you need to earn money on 2628. 2628 need to raised beyond $35 or below $21 by end of this year ........On the other hand, HSI need to raised many (let's said higher than 25000 or drops many , let's said below 13000?)

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  4. I don't know OATS got 2628 IV, I just check the IV in HKEX daily and reocrd it in excel file.

    Let say by the end JUNE 2009, 2628 is $31, my strategy will earn, why? becuase you can see from my graph, the line in pink is the estimate current options value...and the blue like is at the expiration day. The optinos will not lost the value easily before NOV cos the time decay is slow....AND you know delta? once the option is in-the-money, the delta increase VERY FAST = the CALL option value increase and the speed can overcome the diminishing PUT option value (cos is slower and slower)

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  5. this is my first time to do this strategy, not quite sure will it work.......but I am confidence

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  6. at the last day (expiration day)i need 2628 to raise up to 35 or below 21, BUT before that...the break even point is various

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  7. Ching, 請問你在 HKEX 那一個位置可查 IV ??

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  8. Ching, 不用了, 已查到.不過我發覺. HKEX 的數據與 輝立的有些不同...不知是那一個才對...
    '

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  9. 佢地都係計出來
    我習慣用hkex ..總之用死一個就得

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  10. Ching, 再有個問題是 long saddle..由於太遠期, 沒有很多散戶參予..請問你是否有否考慮過,莊家開的premium的spread 會很闊,而且很多時也沒成交.若現時要平倉(當有錢賺時,好似數天前,有成$4XXX賺).莊家會開一個頗不公平的 premium 出來?

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  11. 係...spread係較闊,但我地的對家不是散戶,是market maker佢係用差價做對沖。不會太大,點都公平過玩warrant......太闊的話會俾人追擊....options係做沽同買都得

    公不公平就見人見志...我做straddle係睇爆邊,小小的spread對我來說不是問題

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  12. 多謝你的回饋..不過 12月真是很少/沒有成交.而且爆邊後是否也對 8/9月的 premium 有影響.是否會 significant 過 12月?若是,豈不是做 9月更好? 定9月與12月的時間值 decay 大不同??
    或你預計 2628 在數月後才會爆邊??所以才做甘遠期的 long saddle ?

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  13. 另看過下, 9月的 IV ($29).也是 41-42之間...

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  14. 如果你做七八月,回報係高過九月十二月。我做十二月係保守d..我驚唔爆的話可以有時間守一守。

    做八月的話...七月尾到要走人...唔係時間值走得好快。

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