引用:
原帖由 fatpat 於 2013-10-24 15:24 發表
Total Margin for both side assume
Total Margin for both side assume <$20000, I think it should be 376 x $50 = $18800
18 21 22 23 24 25
Oct SP226 50 / 30 / 26 / 66 / 95 / 97
Nov LP226 214 / 176 / 180 / 278 / 342 / 383
Oct SC236 88 / 89 / 68 / 20 / 7 / 2
Nov LC236 300 / 308 / 280 / 186 / 132 / 96
376 / 365 / 366 / 378 / 372 / 380
Win 4pts as of today
If swing up & down big, IV goes up, next week next month premium goes up.
If close within 226 - 236, front month (Oct) premium goes to 0, so profit
from Oct time premium, ~100pts.
Let's see whether this combination can really win something next week.
P.S. If down break 226, front month delta will rise faster and approaching 1,
next month delta rise slowly from 0.5, so eat into profit quickly.