samy

在信報看到一段分析, 請各Ching指點一二:

指數期權應該是投機機會，因為港交所期貨夜市提供了一個可以使用期權與期貨做對沖策略的時段。簡單講，就是日市Long期權，夜市做期指，用對沖值（Delta）計算風險。再加上有5%的波幅控制，更容易做預定策略。
具體策略是：期權Long Put + 揸期指和期權Long Call + 沽期指。指數期權的行使價是200點一格，在日市波幅中可以選擇的行使價不多，但期貨則可以在波幅中的任意點數進出，靈活性和流動性非常高。若日市做的Long倉方向對，在夜市從價外進入價內，就可用對沖值計算準確期指入市位，完全可以電腦自行運作。若方向錯，期權金也只是損失一天的時間值和波幅，方向對就可以有期貨每點的利潤。這樣就正真做到了早些年港交所推廣期權時所用的宣傳字眼「風險有限
利潤無限」。不過，指數期權Short倉風險可能會增加，但那還是期權教室的金句「先Long後Short，Long在手Short風流」。

sinding

Good post! Thank you Win-Hing!

cvc

Ching,
I think the gain of 1 long option cannot cover the loss of 1 future

fatpat

Assume yesterday you think the market will go down, then you

LP218/220 in the day session, so at night, if the market drop, then you buy the future.

But the target is a big swing at night for this strategy

fatpat

The real use of this strategy is that you think of a retreat at night,
as oppose to the day trend the next day, kind of reverse thinking.

Using the above example,

Assume you LP218 @250
and buy future @21750
max loss 21800 - 21750 - 250 = 200pts
BE 22000

you make BIG money if today the market go to the sky, i.e UP!!!!!!

P.S. The number are FAKE

fatpat

If the retreat is big enough, said drop below the BE 21550 (21800 -  250)

Long HSIF @21550 or below, you then make a sure win trade
targeting a rebound later.

cvc

Thanks for discussing this fatpat ching.
Does it apply to the long term investment-- hold till the end or short term ---- hold till the next day only?
Also in 6#, do you need to hold any HSIF at night?

fatpat

引用:

原帖由 cvc 於 2013-4-10 15:01 發表
Thanks for discussing this fatpat ching.
Does it apply to the long term investment-- hold till the end or short term ---- hold till the next day only?
Also in 6#, do you need to hold any HSIF at nigh ...

Using yesterday data, said around 11:00, C Hing said BB LC222 + SP222. and think up next week,
but you still afraid fat Yan will shot the missile next Monday, so you do the reverse

LP222 @300, BE 22200 - 300 = 21900

At night session, for whatever reason, the market drop big, you are very happy and then you long the future @21920

Now max loss 20pts = $1000

Then you SC something above 224 @25+ later to cover the possible loss if you want.

(or If target 22400 next week then take profit around 224)