防守型期权组合
牛经沧海
8/8/2017
二月时分,在此分享“一个回报可达36.9%的交易。”半年光阴匆匆飘过,来到夏秋之交。对于美股而言,八九十月多为多事之秋。有鉴于此,这里特别分享一个以守为攻的方子。
【操作】
投入270,900,到期最大回报34,100, 最大回报率12.6% (余164天,合年化28%)
交易如下(长仓仍然是春天选的,偏低):
Symbol -Long
|
Symbol - Short
|
Delta Delta
|
Qty
|
Shrs Eq
|
Value
|
Max Val
|
Residual
|
Ret Pot %
|
AAPL Jan 19 '18 $100 Call
|
AAPL Jan 19 '18 $150 Call
|
0.311
|
15
|
466.5
|
66,750
|
75,000
|
8,250
|
12.4%
|
GOOGL Jan 19 '18 $700 Call
|
GOOGL Jan 19 '18 $850 Call
|
0.165
|
5
|
82.5
|
67,450
|
75,000
|
7,550
|
11.2%
|
AMZN Jan 19 '18 $700 Call
|
AMZN Jan 19 '18 $850 Call
|
0.135
|
5
|
67.5
|
67,500
|
75,000
|
7,500
|
11.1%
|
FB Jan 19 '18 $120 Call
|
FB Jan 19 '18 $160 Call
|
0.261
|
20
|
522
|
69,200
|
80,000
|
10,800
|
15.6%
|
|
|
|
|
|
270,900
|
305,000
|
34,100
|
12.6%
|
为什么这个组合属防守型?
个组合可以能承受10%的修正:
Symbol -Long
|
Symbol - Short
|
Ret Pot %
|
Stock
|
Even Price
|
Resilience %
|
AAPL Jan 19 '18 $100 Call
|
AAPL Jan 19 '18 $150 Call
|
12.4%
|
159.8
|
144.5
|
-10%
|
GOOGL Jan 19 '18 $700 Call
|
GOOGL Jan 19 '18 $850 Call
|
11.2%
|
945.25
|
834.9
|
-12%
|
AMZN Jan 19 '18 $700 Call
|
AMZN Jan 19 '18 $850 Call
|
11.1%
|
989.25
|
835
|
-16%
|
FB Jan 19 '18 $120 Call
|
FB Jan 19 '18 $160 Call
|
15.6%
|
171.1
|
154.6
|
-10%
|
平安一夏!
|