引用:
原帖由 fatpat 於 2013-4-12 09:44 發表
Just a paper trade record here
Apr LP218 @150 (IV15, delta -0.3)
Jun SP208 @310 (IV17, delta -0.28)
What I think here is if shoot to the roof next week, Jun contract will loss more than Apr,
assume premium drop to below 150, then you are sure win.
If ups 400pts and IV drops 1 pts on next Friday
Apr LP218 @13 (HSF @22600, IV 14)
Jun SP208 @138 (HSF @22200, IV 16)
If stay flat, worse case, loss a little, Apr time premium drop faster than Jun
Apr LP218 @63 (HSF @22200, IV 14)
Jun SP208 @218 (HSF @21800, IV 16)
If drops 600pts and IV rises 1pts on next Friday
Apr LP218 @342 (HSF @21600, IV 16)
Jun SP208 @470 (HSF @21200, IV 18)
Basically even.
If drops 1000pts and IV rises 1pts on next Friday
Apr LP218 @641 (HSF @21200, IV 16)
Jun SP208 @643 (HSF @20800, IV 18)
Am I doing something wrong