引用:
原帖由 fatpat 於 2014-3-19 09:29 發表
Done. Hope rebound (to 21600) and
Done LP212 x 1 @120
Debit 120+130=250points.
Bid LP212 x 2 @100 (Delta -0.29, 120 - (60 x 0.29) = 102.6)
Currently a long strangle
LC218 @120
LP212 @130
Assume now 215 see 211 tomorrow, using delta only, no theta, no gamma etc
LC218 => 118 - (300 * 0.31) = 25
LP212 => 142 - (300 * -0.33) = 241
not much profit, might need the help of rising vega to boost the margin if drop.