引用:
原帖由 WALTERX 於 2012-5-17 15:32 發表
OK CHING, 現時(未有明顯反彈, 近月中後期, IV急升未回)如欲持淡倉, 何種較宜呢?
1. LONG PUT?
2. LONG PUT 扣?
3. SHORT CALL 扣?
I just did before closing BEAR PUT SPREAD
JUN L180P @384
JUN S178P @330
MAY S168P @33
Debit 21pts ~$1200.
Assume that May won't drop below 16800
(Drop 200pts (1%) per day, 9 days to closing => 19000 - 1800 = 17200,
anyway if it drop below 180 this month, the Jun spread wins 179pts already)
If I have more margin, then I will do May S168P x 2.
Now probably I will SP130 next month to get back my costs.
If May closed above 18000, then I have 5000pts buffer in Jun (18000 - 5000 = 13000),
you can close the set in the meantime.
This set fits the SWAN (Sleep Well At Night) very well.
Another set, target bigger drop thus bigger potential return,
and of course less likely to win the maximum.
JUN L170P @195
JUN S160P @111
MAY S168P @27
Debit 57pts ~$3000.
P.S. I will reserved $50K margin for each set (for 1 naked short)