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发表于 2010-6-18 01:52 PM
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本帖最后由 90ufo 于 2010-6-18 15:57 编辑
(ZT) discussion about SPY + short ITM call
1）假如有人昨天买了spy 111 [email protected]，昨天忘记call走spy，那么他的spy call开盘是不是就自动跌0.5元，也就是变成0.7元。他是否也没有任何办法去讨回这0.5的分红？
2）大伙在买卖spy和call的是否都不知道对手是谁。假如真的有人没有call走spy，难道broker不会把spy和分红自己留下？(我是假设如果有broker采用SPY+short ITM CALL的策略，那么他就会尽量先call走客户的spy，把地上拣钱的事留给自己，反正不违反吧？)
answer:
1. No, he can't ask it back. otherwise, how option MM can make money on this strategy?
2. The Dust Settles
•Market Maker A has exercised 500,000 call options, but must turn around and deliver against 99.9% of his corresponding short calls (499,500 contracts). In the end, Market Maker A retains a balance of 500 short call options. He holds stock for 500 of the long call options he exercised and ends up with 50,000 shares of Stock XYZ (1 option contract = 100 underlying shares). He collects a dividend of $0.10 on each of these shares, or $5000 total.*
•Market Maker B has exercised 500,000 call options, but must turn around and deliver against 99.9% of his corresponding short calls (499,600 contracts). In the end, Market Maker B retains a balance of 400 short call options. He holds stock for 400 of the long call options he exercised and ends up with 40,000 shares of Stock XYZ. He collects a dividend of $0.10 on each of these shares, or $4000 total.*
•Both market makers have collected the dividend payments associated with those shares, and both remain fully hedged with short deep-in- the-money calls. This means they can trade out of the hedged position (or wait until expiration if it is near) after they collect the dividend. *Note: This example is for illustrative purposes only. The dividend payment is offset by the time premium left in the option, so the full dividend may not be captured. |
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狗仔卡
发表于 2010-6-18 01:50 PM
dodge that
