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 [原创] 作期权真的很难吗 - 黄金满地，无人敢捡 |
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[原创] 作期权真的很难吗 - 黄金满地，无人敢捡 -- sapientaf - (877 Byte) 2007-1-13 周六, 16:27 (2859 reads) |
halifax2008
头衔: 海归少校
加入时间: 2005/04/05
文章: 64
海归分: 13615
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作者：halifax2008 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
You mentioned bull call spread trading strategy. Let's look at the trade you recommended.
The MOT Jan 09 $15 call is ask $5.40, and the $20 call is bid $2.85, the spread, $2.55. For $255, if MOT recovers to only $20 in two years (2009), you get $500, $17.55 is the breakeven.
For your trade:
Max profit at expiration: 500-255-accrued interest = 245-
Max loss at expiration: 255 + accrued interest
This is the P&L at expiration date. If you unwind the position any time before expiration date, the profit will be discounted due to time value of options. 70% discount rate is a reasonable assumption here (from market data of ITM options). Given 5% interest rate and transaction cost (commission and bid-ask spread when unwinding), the market gives you the bet around 1.6 to 1 for MOT’s price up to $20, rather than 2 to 1. In other words, the market priced the probabilities of up and down with 62.5% below $20 and 37.5% above $20.
Is that a good offer?
Currently, the announcement of iPhone had the discount awaiting more information. Will MOT halt the downtrend? Given Apple’s creativity and success in iPod, I hold a question mark here. In addition, MOT had already warned Wall Street about Q4’s earnings even before iPhone announcement. Too much uncertainty is ahead. Basically, I think the ratio given by market is kind of reasonable.
If we really want to bet that MOT will recover back to $20, a butterfly trade may be more attractive in risk-reward.
The butterfly MOT Jan09 ($15, $20, $25) will lower the cost of trade (risk) to 115 from 255 with a little bit less potential profit. The max profit is realized at $20. However, with the uncertainty I mentioned above, I am not so encouraged to have the trade.
How to hedge? Usually, debit (or credit) spread trade is used as a hedge strategy for holding underlying stocks. So, the question is that how to hedge the “hedging”.
The butterfly is the one. We sold a bearish spread on a bullish one.
With the bull call spread trading, we long delta and short Vega here. A common way to hedge is to make it delta-neutral. Assuming that the delta of the trade is 0.3, we should short 30 shares of MOT stocks by purchasing 1 contract of bull spread. But it might be not easy to short the stocks and also adjust the stock shares by any significant move of price (dynamic hedging). Another possible hedge may be to long an OTM put option. Anyway, hedging cost has to be considered here.
By the way, I am not working on equity side. It won't surprise me if you point out any mistake I made. Any comment will be welcomed.
PS. someone said that it is easy to make money by writing an option. The opinion is opposite to mine. Writing an unhedged option is taking huge risk. Any trade (buy side) is taking direction. For the traders from buy side, "arbitrage" is just a name from textbook, rather than in reality.
作者：halifax2008 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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