|
发表于 2020-9-17 05:44 PM
|
显示全部楼层
Cobra 发表于 2020-9-17 03:11 PM
有木有同学解释一下,这些数字怎么算出来的?
1. A day trader who bought a 1-week 3250 call with AMZN at $3148 on 8/14 would have paid about $15. The delta was 21%; the contract she bought is deliverable into 100 shares, so it has the equivalent of 21 shares (or $66,100) worth of AMZN exposure, for only $1500 of premium.
2.The market maker who she buys the call from is going to hedge that exposure immediately. Buy 21 shares of AMZN.
3.The next day AMZN moved up 1.1% to 3182. As the stock moved closer to the option strike, the call price increased to $15.50 and its delta moved up to 26%. The market maker would have increased her hedge by buying another 5 shares, bringing it to 26 shares or $82,000 of stock.
4.The next day AMZN moved up 4.1% to 3312. The call price exploded to $81 and delta to 73%. The market maker would have been forced to buy another 47 shares of stock, moving the total value of shares bought to $230,000. |
评分
-
1
查看全部评分
-
|