零风险的策略

btoh

一直不明白，GRPN为什么存在这种奇怪的option价格。
例如，7月过期的11 put价格为1.80， 11 call价格为0.9. 如果short100股，卖出1个put, 买进一个call。总共赚0.9元每股。风险是零，将近9%的回报率。
这是不是捡钱？

vlo

好象还真是这么回事，高手给看看？

9号胡同

all in!

胡同儿串子

想了半天，还真是个好setup啊。。。分享

Forevergreen

能short得了么？ 估计有什么条件不符合， 不然那些专门挑这些空子的HF老早扑上来了。。。

btoh

即便不能short, 做bear box也是有稳利可图。

90ufo

借股票short要付利息, 这GRPN借一年105%,一个月~=9%, 差不多等于买卖OPTION得到的premium.  

newtype11

回复 90ufo 的帖子

请问一下在哪里可以查到借GRPN股票的interest rate?

tiantian88

sell put and buy call are same strategy, there is no hedge at all. The put and call option skew does not guarantee the profit if the stock price drop down to 10.1, you break even, if lower you lose, if higher you win. ideal case is when GRPN option expire on July 21th, the stock price is above 11. This big option skew is due to huge negative sentiment. 根本谈不上稳赚

jlht

jlht

Cannot short the stock....

silicon_beaver

btoh 发表于 2012-5-30 17:53
一直不明白，GRPN为什么存在这种奇怪的option价格。
例如，7月过期的11 put价格为1.80， 11 call价格为0.9 ...

No. Option straddle doesn't work this way.

You could short both (11 calls and 11 puts), receive premiums but exposed at unlimited risks.

Or buy both (11 calls and 11 puts) meanwhile expect a sharp price movement, high than sum of total cost (here are sum of 11 calls + 11 puts).

Either above strategy is quite risky. Not recommended unless you could follow the stock’s TA and FA.

btoh

如果可以short。 整个策略是：short 100 shares GRPN, buy one 11 call, sell one 11 put. No matter where the stock price is, you get the premium difference of the put and call. No matter where the stock price is, your risk is 0.

如果不可以short, 策略换成：buy one 6 put, sell one 11 put, buy one 11 call, sell one 6 call. You get positive premium, with 0 risk.

tt92020

tiantian88

You are trying to play theoretical scenario. Then what about stock price drop below 6 on July 21th. There is no 0 risk thing in the world. You can claim high probability trade by identifying certain  option skew.

btoh

回复 tiantian88 的帖子

老大，您能不能掏出笔，查查这些option的价格，然后算算再发言。我懒得跟你算这些基本的东西。
我知道risk不可能为0，这是我发问的原因。Risk肯定存在，但不在策略中，而在其它一些unknown的因素中，这些是我想弄清楚的。

vlo

理论上是没错的，不知道catch在哪里。我刚才用最新的价格算了一下，buy order用的是ask price, sell order用的是bid price,一个组合的profit是30刀，risk free.考虑到有的spread很大，实际profit可以更高一些。

jlht

Ding Btoh, this could be a risk-free trade using box_spread:

http://www.optiontradingpedia.com/box_spread.htm

But as vlo said, the catch point is important, and the strategy needs level 3 options trading, not everyone has this level.

svca

This is indeed a good box spread setup.  Thank you Btoh.

tiantian88

The catch is this 4 legs box options spread trade cannot guarantee your final trade premium. I am not sure How vlo use sell with bid price and buy at ask price and still has profit, as today's close,  the trade is with $4.85 credit if sell at bid price and buy at ask price. you will lose $0.15 per contract. Let 's say a better deal, you get 1 contract trade with $5.25 credit, no matter where stock price at on July 21th, you will have 2 legs option will be exercised, 4 legs commissions and 2 legs option assignment fee, how much the trade profit left over. No need to mentioning the margin requirement for this type of trade.

If my comments does not sounds much encouraging, please pardon me. This finding is good to share. But not enough efficient to form a trade. Why not figure out some nice pair trades with better profit potential and less margin requirement.