一个放空 SPY straddle的操作

一个放空straddle的操作

今天钝刀小试开盘放空spy

129 call and put 各5个和约，刚开张，不敢多弄，哈哈

周末被迫来吃免费的pizza所以做了一下简单的功课

1）感觉做sp500的sell side比做QQQQ的sell side要好：
a:相比之下sp500的time value更贵
b:strike price选择更多
c:容易hedge.金融板，制药板，石油板可供选择的个股很多
所以往后做sell side我要弄sp500。
Any thoughts?

2）6月这个OEsp500应会收在1310之下，1260之上

几个选择：
1）sell both spy 129 call and put
2) sell both spy 131 call and 126 put
3) both sell both spy 129 call and put
and buy both spy 131 call and 126 put

不想把活弄得太细，所以选择了1）。
TA:
1) 1310为趋势线的压力线，同时也是阻力线。1260为已验证的强支撑线。
2) 金融板，制药板滞涨。

同时卖spy 129 call and put，premium $2.60.指数在1290上，both spy 129 call and put have the most advantageous at the money time value which is something hard to miss，所以下了market单，不等了.若指数收在1264-1316，即可保证不赔，胜算很大。

感觉Game on sell side is defensive play and that on buy side is aggressive play.预期指数会震荡，所以不用老看盘了。

还是老本行，只做当月的，不做下月的，还是短线option

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SPYRY $1.35->$3.10

overnight.

我的女孩，不是你不好...
我内心的痛苦，你可知道？

只是，第一次就当头一棒，太狠了点，呵呵
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我在考虑应该的应对措施

比如，我现在认为这个OE SP500不会到1290了。操作上怎么办？

129 put昨日就该止损，拖到现在，是否该buy 126 put hedge?还是昨天就应买？我个人是不情愿买SPY option的，因为time value太贵。而现在QQQQ option的价位都不合适。
用个股hedge的话，我还没有shopping around.

如果在现在这个位置指数回涨（我目前认为会），给出回涨信号后（会当做二次确认底部），我是否有guts to short 126 put and 129 call?

这显然带着浓厚的短线意识，跟play market neutral比较矛盾。
Any thoughts?

5个和约全当买经验了，让我记忆深刻一把，much more than deserved
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Depending on your outlook on the markets (especially, SP500), then plan and set things up accordingly...

(1) The most conservative approach is to close all the positions first if your positions are using up too much trading powers. Leave yourself some room (money wise) to catch the next fish. If just some tiny bit, hold on to it and wait for the small bounce in the working.

(2a) If you think SP500 would not go above 1290 on the up side, start writing calls somewhere above that mark. Of course, balancing your perceived/potential returns and risk estimate (what the maximum downside is that you can take in your account) as major part of money management.

(2b) On the other hand, what if the market (SP500) would bounce up tomorrow? What is the risk and how to accommondate?

(3) You thought of the mark on the up side, what about the downside target, 1220, 1200, 1180, 1155?
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只是5个和约，现在损失$700

从trading history讲，是历史上最差的一个。

Can't imagine if I entered a sizable position on option short while didn't bother to watch the ticker with not predefining any protective means.

Even for one day!
SP500 down 25 points! What a luck!
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目前最大感受：Measurable仓位的风险控制在入仓时就应设定。
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我觉得short option的止损

直接平仓在市场波动可能性依旧很大的情况下可能不是最好的选择。

比如若1260或1250的put价格合适的话，用账面损失买这些put可能比直接平仓认赔完事要好。这样做实际上是认赔把账面损失转到新买的损失限定的put上。
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let's look at why we entered the trade in the 1st place when selling strangles or straddles, we are betting the underlying will move in a narrow range and our strikes will not be hit. We pocket the time premiums.

when spy moves far away from 129, the put becomes deep ITM and there is no time premium any more. If we hedge using 125/126 put, we are paying time premium now. To justify it, we bet the market is going to make a big move soon.
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That's right

I am betting the market is going to make a big move soon on either direction. If it goes down, I am still on the cut losing position. If it goes up, I am like buying a straddle with realizing the paper loss on 129 put short.

Now my newly added XLF position's gain just broke even with SPY continuing loss. From now on, I am on the gain side.

Did I miss anything here? :-)

That's why I said I changed back to buy side right away the other day :-)

Or in such a case, you are going to add short position on 1300 or 1290 calls? Of course, suppose we've certainly cut the loss on the very day when the straddle short was placed.

我错过了时机，钱不多，就将错就错试验吧
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that makes perfect sense if you want to long a straddle now.

for me to manage a short straddle, I simply long/short spy to make it delta neutral periodically. In your trade, I would have been shorting spy from 129 to now without much judgement on the market direction or volatility.
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也不是完全的long straddle

"that makes perfect sense if you want to long a straddle now."
还是认赔或捞本优先，因为比例是3:1。续跌的话，赚钱的可能性大。现在回头涨的话，只能说是减小损失了，除非指数涨到1280。

for me to manage a short straddle, I simply long/short spy to make it delta neutral periodically. In your trade, I would have been shorting spy from 129 to now without much judgement on the market direction or volatility.

谢谢。这个用的capital太多，我可能就平仓认赔算了。
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读股九鉴：第一鉴 破刀式

无论是大砍刀还是小飞刀，若被命中，股市中一律是捡起被打落的牙，转身就跑，如果还能跑的话。

SPY 129 put SPYRY 昨日收盘$3.70.被此操作第一日大砍刀第二日小飞刀连续命中。计将安出？

鉴于此操作是放空put,如果市场盘整或向上，时间在我手。有没有心理上在此刻认赔的基础上在多一点少赔，持平甚至盈利的可能性？街亭城小，事关重大。援手可从同一处发出多把飞的更快的飞刀，也可从多处发出飞刀，提高命中率，击落正在落的飞刀。

XLF昨天在指数续跌中挺起撑盘。指数处于选择方向的位置。如果指数续跌，非得要XLF领跌。如果买进XLFRG hedge事后指数停在1265附近，赔的是XLFRG.所以，投入的量在目前的账面损失处，可以博得一个双向大波动的机会。

目前账面损失$700, 三个选择：

1）买入XLF 33 put XLFRG 15个和约 $750
2）买入XLF 33 put XLFRG 10个和约 $500
+ 买入XLF 32 put XLFRF 10个和约 $200
3）买入XLF 32 put XLFRF 30个和约 $600

对于此风险的较量，此处的比例组合至关重要。否则，很可能貌似棋高一着消劫连回了大龙，实则更痛苦的自填一眼接不归在后头。历史上，张灵甫想将计就计以外线反包围圈住围点打援，主动将3万铁骑拉上山，由于援军不利，只能徒奈我何，天灭王牌军。

今日开盘marker order买入XLF 33 put XLFRG 15个和约 @$0.55
目前:+$600 <=> -$650

这个能不能唤作智取生辰刚？
Let's see.
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129 spy straddle short hedge

is interesting.

Now the market fluctuates without big move. It's

+$220 <=> -$900
Always -$700

Both options have $0.30 time value left to decay.

So if the market drops, I am on the gain side because of the position size.
If the market goes up, spy should go up faster than XLF.

Interesting to think about.
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卖了一半XLF put，钱不多，比例搞法测试。
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我在strike price附近$0.15以内才考虑straddle，今天的收盘位置就不予考虑了。
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生辰纲没取着 算偷着花石纲了

SPY 129 put/call straddle short:
5 contracts
in +$2.60
out -$5.00

Loss: -$1,200

XLF 33 put long hedge:
7 contracts
in -0.55
out +0.85

Gain: +210

XLF 33 put long hedge:
8 contracts
in -0.55
out +1.60

Gain: +840

Result:840+210-1200 = -150
excluding commissions.

SPY 129 call short still open waiting for worthless expiration.

Not bad comparing to the arbitrary cut loss at -$700.

战略上选择XLF正确，但操作上可待改进。
前一半XLF put平仓早了，否则就智取生辰纲了。
有待总结。
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