引用:
原帖由 cowbearcar 於 2013-10-16 06:31 發表
其實都好想問,跨期的意義……
假如個市在 23000 附近:
月頭、月中、期結前五天有以下組合,
LC 23000 即月 + SC 23000 下月,其實買緊乜?
玩野:
LC 23000 即月 + LP 23000 即月 +
SC 23000 下月 + SP 23000 下月 又會賭緊 ...
跨期
SC23000即月 + LC23000下月
=> Target market close around/just below 23000 即月
Earn all time premium for current month
=> Target IV goes down in current month, drop faster then next month
Using this morning price, Oct 230C @440 Nov 230C ~@660 (IV 16.4)
If you do the reverse, LC 23000 即月 + SC 23000 下月,
you bet for a big one way move,
e.g 下月 24000 @Oct 30 24000 IV16.4 (usually lower for uptrend/no trend)
premium ~1110, so you earn 660 - 440 + 1000 - 1110 = 110pts,
e.g 下月 22000 @Oct 30 24000 IV16.4 (usually higher for downtrend)
premium ~95, so you earn 660 - 440 + 0 - 95 = 125pts.
玩野 => more like a straddle, but use calendar instead