对FAS/FAZ操作，有人提出交易LEAPS的方法。期权大佬们能不能加点COMMENTS? (图)

以下摘录自前段时间（并股前）GOOGLE GROUPS的评论：
“forget re-balancing, think about
the lack of shares available for borrowing long term. Your best bet
is to write a naked LEAP call and use that cash to purchase a LEAP
PUT, creating the position for a next to nothing, and synthetically
shorting the stock.

FYI, buying PUTS is not equal to a synthetic short unless you sell the
naked call to offset the premium cost and create the right mix of
delta.

Buy FAS $9 2011 PUT $480, Sell FAS $9 2011 CALL $480 - Net cost, even
money. Only risk is to the upside. Will earn at the same rate as
shorting 100 shares.

To do this you need level 4 options trading agreement so you can write
naked calls, so most people won\'t qualify.

Strategy has one giant flaw, lets say somehow you entered the trade on
Nov 6th (even though FAS/FAZ did not have options), the problem is
that your equal trade on the FAZ side is exercised at the market
makers discretion (your $60 naked FAZ call most likely exercised $150-
$200 range for a loss).

To buy insurance against this you would purchase a late months higher
strike call (maybe a FAS OCT $15 CALL for $120). Do the same thing on
FAZ and you have a buy and hold strategy for capturing slippage/
decay. Some risk of loss but it is limited by the protective call. ”