一起学期权

[老愚]

作者: 东山再起

第一堂讨论课，最保守的投资策略： covered call
大家有问题吗，有吗？

东山兄准备讲多少节？先列个提纲如何？

[老愚]

作者: 东山再起

愚兄，东山不是要讲课，是想大家一起讨论，大家有问题，大家就多讨论，你也要多贡献，论坛靠大家拾财火焰才高

上次你FSLR的COLLAR很漂亮，是COVERED CALL的一个变种，买CALL的利润再来买PUT，股票几乎没有风险。

我是准备搬板凳听讲的。
你要是有提纲，我就重点关注我感兴趣的。

[老愚]

我提问，请问哪里可以发现期权成交量异动的股票？
正在作这方面的研究和学习。

[老愚]

作者: 东山再起

上次不服大师提供的网址：http://biz.yahoo.com/opt/stat1.html

投桃报李
东山兄讲课，没有讲义怎么行。


Covered Call
Components

Long the underlying asset and short call options.
Risk / Reward

Maximum Loss: Unlimited on the downside.

Maximum Gain: Limited to the premium received from the sold call option.
Characteristics

When to use: When you own the underlying stock (or futures contract) and wish to lock in profits.

This strategy is used by many investors who hold stock. It is also used by many large funds as a method of generating consistent income from the sold options.

The idea behind a Covered Call (also called Covered Write) is to hold stock over a long period of time and every month or so sell out-of-the-money call options.

Even though the payoff diagram shows an unlimited loss potential, you must remember that many investors implementing this type of strategy have bought the stock long ago and hence the call option's strike price may be a long way from the purchase price of the stock.

For example, say you bought IBM last year at $25 and today it is trading at $40. You might decide write a $45 call option. Even if the market sells off temporarily it will have a long way to go before you start seeing losses on the underlying. Meanwhile, the call option expires worthless and you pocket the premium received from the spread.
Protected Covered Call

A "protected" covered call involves buying a downside (out-of-the-money) put together with the covered call i.e:
Buy Stock, Sell Call Option and Buy Put Option.

The profile of a protected covered call looks like call spread and has the benefit of limiting your downside risk in the event of a large sell off in the underlying stock/future.

Call Writer promotes this strategy as a Super Put.
Monthly Income

Covered and protected covered calls are usually the strategies used by advisory services that promote option strategies for "generating monthly income" while "protecting capital". Services like Call Writerwill provide you with real time lists and a trade management calculator where you will learn how to select, plan and manage covered call trades for consistent monthly cash flow.

Their method shows you how to limit your risk to a small percentage of your total account.

[老愚]

作者: 野渡无人

熊市里期权当然能挣钱了.看跌的时候买PUT就可以赚,

但是熊市里没有可以赚钱的期权策略

这句话我不同意噢。
牛市熊市都能挣钱，关键是看对方向。
看跌的期权策略有：bear put vertical, bear call vertical, put ratio vertical, bearish call diagonal, etc

[老愚]

我举个我做过的例子吧，
http://www.chinasmile.net/forums/sho...d.php?t=413124
我看好V，所以买了股票，但我认为他是慢牛行情，所以卖了8月的70 call，即认为他8月到不了70。

[老愚]

作者: 东山再起

第三堂讨论课: spread
a. vertical spread strategies
bull spread
bear spread

老愚有教材吗？

大家讨论

老大你歇歇吧，今天此帖已超猛了。

[老愚]

作者: 东山再起

第三堂讨论课: spread
a. vertical spread strategies
bull spread
bear spread

老愚有教材吗？

大家讨论

[IMG][/IMG]

Components

Long one call option with a low strike price and short one call option with a higher strike price.
Risk / Reward

Maximum Loss: Limited to premium paid for the long option minus the premium received for the short option.

Maximum Gain: Limited to the difference between the two strike prices minus the net premium paid for the spread.
Characteristics

When to use: When you are mildly bullish on market price and/or volatility.

You can see from the above graph that a call bull spread can only be worth as much as the difference between the two strike prices. So, when putting on a bull spread remember that the wider the strikes the more you can make. But the downside to this is that you will end up paying more for the spread. So, the deeper in the money calls you buy relative to the call options that you sell means a greater maximum loss if the market sells off.

Like I mentioned, a call bull spread is a very cost effective way to take a position when you are bullish on market direction. The cost of the bought call option will be partially offset by the premium received by the sold call option. This does, however, limit your potential gain if the market does rally but also reduces the cost of entering into this position.

This type of strategy is suited to investors who want to go long on market direction and also have an upside target in mind. The sold call acts as a profit target for the position. So, if the trader sees a short term move in an underlying but doesn't see the market going past $X, then a bull spread is ideal. With a bull spread he can easily go long without the added expenditure of an outright long stock and can even reduce the cost by selling the additional call option.

[老愚]

我来提问，volume 和 open interest的关系，以call为例，
如果volume大涨，而open interest不变，或变化不多，说明什么？
如果volume大涨，而open interest也随之大涨，（当然也不一定是1：1的关系），又说明什么？

[老愚]

作者: 东山再起

非常感谢老愚提供教材，与老愚的交流总是激发东山继续钻研

参考链接http://biz.yahoo.com/opt/stat1.html

有很多VOLUNE是高于OPEN INTEREST，这说明这个期权流动性非常好，当日的换手率很

高，投机性很强，如PBR的VOLUME是OPEN ...

刚刚看完jackson的演唱会，超级震撼！！！
回到正题，以PBR 7月30 call为例，volume变了948070，而OI只少了396，price down了14.9%，是谁大卖，又是谁买呢，从当日的走势看，应该没有DT的空间。
如果是MM在卖，（这个很有可能），这个意味不是很明显了吗？

[老愚]

作者: liszt

老愚，PBR昨日的期权异动不要研究了，是分红的原因，我以前发过一次专门的贴，不多写了

多谢，能否给个link？

[老愚]

作者: liszt

老愚，PBR昨日的期权异动不要研究了，是分红的原因，我以前发过一次专门的贴，不多写了

老姚，yhoo 8月的 15 call 一星期前OI暴涨，现在依然还有25k多，是否说明有大机构看好他呢？
我因此在股价15的时候买了他的call，15.7的时候走了。是否又可以再捡回来了呢?

[老愚]

东山兄哪去了？打了一天鱼，要晒两天网？

[老愚]

作者: 东山再起

刚从教堂回来，顾不上一路风尘就上来了，看到贴子置顶和姚版主发来的悄悄话，东山很感

谢神，东山一举一动神都看在眼里，同时也感谢组织给予的莫大荣誉。东山开这贴的目的主

要是抛砖引玉，本人充其量是个董秘，大家都是CEOs，所以才取“一起学期权”题目。

印象中老山东和不服不行都对期权有心得，怎么不见他们出来冒个泡？

[老愚]

东山兄对期权的Beta, Delta, Gamma, Theta, Vega值有否研究？
我理解这些概念，但实践中还没怎么运用。

[老愚]

作者: 老山东

因为东山兄讲的都到位，所以我也没必要插嘴了。厨师多了烧不好汤。我讲一点体会。其实，下面这些我以前讲过。

关于卖covered call，我的意见是这招看似很好，没有风险，大不了少赚点——但是其实不是那么回事。如果真有那么好，这么简单的招数早就普及了。covered call主要适用于慢牛行情，...

我的看法，到期日时，
如果股价高于13，利润已经最大化了，买回cover call，卖掉股票，take profit first。
如果股价在12~13之间，而你对他的看法不变，即还是慢牛，持有股票，买回当月cover call，再卖下月的cover call。
如果股价低于12，买回cover call，卖掉股票，股票走势已经跟你预测相反，只有cut loss。
因为有cover call的利润，损失因不会太大。

[老愚]

我提个问题，
HES 8月45put在上个交易日11：40左右，有7500手成交，但put价钱不变，还是2元。这是怎么一回事？因为他平时一天的成交量也就5，6000手而已。是内部交易吗？

HES已经跌破重要支撑位，45put现在2.7。