假设我买CALL 和PUT同样的量，双边市场对我最不利， 只要单边， 我就gain，
为什么 没有明白 金老大能解释一下吗？
nomattewhen 发表于 2009-7-16 06:02 
let take a scenario
SP 500 hits 875 on Monday morning, when i checked the price of put and
call sp 500 options as followed:
CG4HCJ: CALL SP 500 basis price at 875 expired at 17/07 worth 0,1 EUR
on 9:00 a.m. Berlin time 13/07
CG4HDD: PUT 875 SP 500 basis price at 875 expired at 17/07 worth
0,1 EUR on 9:00 a.m. Berlin time 13/07
the 0，1 EUR is the time cost in the last week
If i had bought CG4HCJ and CG4HDD the same time for instance 10k, and let
us suppose the sp 500 would stand at 910 on OE, then i lost all for the
put, but received about (910-875)/1,4/100=0,25 each one back for the call.
and the profit is around 0,25*10k-01,*10k-0,1*10k= 500 , if it were down
under 850, let us assume 840, were also profitable . As u may see as soon
as the SP 500 not fall between 900 and 850 , then i do earn,na who loss?
the emitter. Of course thy won't do it specially against me. but if there
were massive small potatoes like me, then this factor did play a role.
there may also other factors, like big institution also have their own options
deposits |
狗仔卡
发表于 2009-7-15 05:31 PM
