引用:
原帖由 sinding 於 2012-10-10 17:54 發表 
我想起2個否定例子：
1. 旧年8月Put。
2.：
I think it is something really about the probability.
1) 2% chance doesn't mean it won't happen, it means it will happen twice in 100 times, given enough sampling.
2) No trade doesn't mean anything. Yesterday somebody trade the Dec 160P @20, but today @19,
just nobody want to trade at that price that day. Simply put, options trading is not active enough in HK.
Anyway, I'm thinking about some simple rules to open the position at beginning of the month, e.g.
1) @ VHSI 16-20 (low IV => not expecting big swing in the coming 30days)
2) @ Roll over / AO price > +- 1600pts (75% of the time, month swing within 1600pts)
3) Premium ~20pts
4) Delta < ??
5) For each $10,000, SC / SP 1 pair (mini)
Then
6) Do adjustment if market go one way more than 1000pts
or #2GP etc under the Sun
If no big one way movement, this strategy seems working fine.
A simple check only with day after last trading day/last trading day data (haven't check with month high/low yet) for the past 5 months,
it has a 4% monthly return (~ 20points x $10/points x 2 contracts/set / $10000/set).
Given more margin, said $15000 (full margin/contract @$13000), it still gives ~2.6%
Any comment(s)
