| 作者 |
 [原创] 中国股市疯牛病：从 AMAZON 股票大涨看华尔街的愚蠢 |
 |
| 所跟贴 |
误解啊误解 ;-) 我是在想，以你交易员背景，说不定已经实施了一系列的期权策略。。。 -- 残荷 - (2197 Byte) 2007-4-28 周六, 21:07 (540 reads) |
halifax2008
头衔: 海归少校
加入时间: 2005/04/05
文章: 64
海归分: 13615
|
|
|
作者：halifax2008 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
You should have a butterfly trade. Please refer to my post
https://www.haiguinet.com/bbs/viewtopic.php?p=1068459&highlight=#1068459
In early Feb,the bull spread is
Long 1 x 15 Call at 5.40 = $540
Short 1 x 20 Call st 2.85 = $285
If MOT closes at 20 in Jan 2009
Long 1 x 15 Call at 20-15->5x100 = $500
Short 1 x 20 call at 0 = $0
Cost = $255 and Profit $500 - $255 = $245
The butterfly trade:
Long 1 x 15 Call
Short 2 x 20 Call
Long 1 x 25 call
Cost = $115 (I don't have the historical data now, but you may refer to my previous post which gave the cost of butterfly)
If MOT closes at 20 in Jan 2009
Long 1 x 15 Call at 20-15->5x100 = $500
Short 1 x 20 call at 0 = $0
Long 1 X 25 Call at 0 = $0
Profit = $500 - $115 = $385
As long as the stock price at maturity is between $15 to $21.4, the profit from butterfly is equal or greater than the one of bull spread.
Of course, you give up some upside profit to reduce the downside risk.
However, butterfly trade will give you more flexibility to adjust your position. As you pointed out, the bull spread value doesn't change up to today while butterfly's value is $125 ($10 appreciated). It is because that given unchanged stock price, bull spread lost more time value (bigger positive theta) than butterfly did. In other words, bull spread has more negative carry to butterfly.
In addition, if you want to change the butterfly to bull spread, you may
Sell 1 x 25 = $75
Buy 1 x 20 = $210
cost is $135, total cost is $135 + $115 (butterfly cost) = $250. It is still cheaper than the cost of bull spread. Of course, you may also play different market view by changing other legs.
As sapientaf said, he picked up bull spread instead of butterfly to simplify the trade. Actually, the real trading will be more complicated because the other factors like bid/ask spread, funding cost have to be considered.
Hope it helps.
作者：halifax2008 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
|
|
|
| 返回顶端 |
|
 |
|
| |
|
|
|
您不能在本论坛发表新主题, 不能回复主题, 不能编辑自己的文章, 不能删除自己的文章, 不能发表投票, 您 不可以 发表活动帖子在本论坛, 不能添加附件不能下载文件, |
|
|
