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原帖由 波佬 於 2011-2-1 10:03 發表 睇返成交, 尋日下月226p 大戶成左3500張@382點, 218 p 成左7000張@大約18x點.. 加上大戶又平左即月220p及210p, 會唔會大戶long 下月226p, short 下月218p 收返226 的期權金?
原帖由 takk 於 2011-1-31 11:38 發表 To OK c-hing & all, I try to guess what the big trader doing following : for Feb : SP220 / LP210 spread possible profit about : <39pts ( currently 55pts - 16pts ) per set ( since SP220 vol about 5xxx while LP210 vol about 7xxxx) ratio about 1 : 1.4 possible win : < 39pts per set possible lose : 1000 - 39 per set = 961 pts /set in case the HSF drop below 22000, above spread protected by below spread : for Mar : LP226 / SP 2x218 per set ( Long / short ratio : 1:2) profit about : 12 pts per set (currrently 356 - 2x172 ) ( LP226,delta 0.32, gamma 0.0002, while SP218, delta 0.18, gamma 0.0001 ) -> want to make delta `0' However, I cannot figure out their speculation since the factor : `TIME' is also critical when calculate the profit/loss of above action. If drop slowly to or above 22000 before end of Feb ( or @結算), above action have more profit. But in case drop quickly to below 22000, then it would be dangerous to above set. then `saving action' may need to be done. 以上乃小弟愚見, 請多多指正!
實習記者
原帖由 OK~ 於 2011-2-1 09:52 發表 MOC雖見MPC, 但似乎有機會見罩, 而且已行紙五, 留意#1 CLM拗落配合三相同步向下..
金牌評論員
原帖由 OK~ 於 2011-2-1 10:12 發表 罩已然破壞, MOC見TST東訊號, 留意紙五出現..