引用:
原帖由 fatpat 於 2013-4-12 10:33 發表
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.
More like this but earlier (Tue instead of Fri)
Apr 218P @408 (HSF21546, IV18,
Delta ~-0.6)
Jun 208P @496 (HSF21148, IV19,
Delta ~-0.4)
Current month time premium drop much faster than Jun,
so if not target more big drop the coming few days,
good time to settle the position now.
WIN more than expect probably
1) Apr IV rises more than Jun IV (win more IV)
2) Only 4 days instead of 7 days (loss less time premium)
3) Current month delta is much more sensitive than Jun for the big move.
Have fun
P.S. Too bad every time the winning strategy is used in the paper trade.
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本帖最後由 fatpat 於 2013-4-16 11:37 編輯 ]