引用:
原帖由 silver 於 2013-5-20 21:45 發表
it looks the market uptrend is very strong. 7 days moreto closing, guessing will down to 23200 and up to high closing 23600. Please advise. It's been very quient this forum last few days.
If you think May won't settle higher than 238 and Jun will up then do a Calendar Spread
Jun LC242 @100 Delta 0.17 Theta -4 IV16
May SC238 @50 Delta 0.18 Theta -7.75 IV14.8
You lose if big drop in the coming 9 days. Max loss 50pts if HSI drop next month.
Or market sudden shot to the roof next week.
Assume big jump to 240 on May 30
May 238C @200
Jun 242C @315 (HSIM3 @23800, IV16)
Assume slowly drop 400pts
May 238C @0
Jun 242C @50 (HSIM3 @22600, IV16)
Look pretty good to me.
Anyway you can always square the Jun 242C if you find the market drop big,
provided that you have enough margin for the poor May SC238.
No idea about the initial margin, but think not much.
Happy Trade