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标题: GAMMAR SCAPLING 两种方式比较 [打印本页]
作者: 闲云野鹤    时间: 2025-2-22 15:16
标题: GAMMAR SCAPLING 两种方式比较
本帖最后由 闲云野鹤 于 2025-2-23 22:27 编辑

atm=100buy call=10sell 50 stocks( price=100)delta of call动态gainafter call exercise realized gain
100
10
gain of short stock
0.5
105
12.6
-250
0.52
10
-750
110
16
-500
0.6
100
-500
120
24
-1000
0.7
400
0
130
34
-1500
0.8
900
500
price is droppingcall pricegain of short stockafter call expired realized gain
95
7.75
250
0.45
25
-750
90
6
500
0.4
100
-500
80
4
1000
0.3
400
0
70
3
1500
0.15
800
500
60
1
2000
1100
1000
atm=100buy put=10buy 50 stocks( price=100)delta of put动态gainafter put expiry realized gain
100
10
gain of buy stock
-0.5
105
7.75
250
-0.45
25
-750
110
6
500
-0.4
100
-500
120
4
1000
-0.3
400
0
130
3
1500
-0.15
800
500
price is droppingput pricegain of buy stockafter put exercise realized gain
95
12.6
-250
-0.52
25
-750
90
16
-500
-0.6
100
-500
80
24
-1000
-0.7
400
0
70
34
-1500
-0.8
900
500
60
37
-2000
-0.9
700
1000

如果你只看着call的手续费10， 然后想着要after call exercise realized gain 就是说要超过120才赚钱就错了，其实随着股价上涨那些动态的gain才多，比如股价从100-》105， 涨了5块，那50 股亏了250， 但是call本身涨了2.6（ 假装delta 变成了0.52， 涨5块 5*0.52=2.6), 那动态gain 就是260-250， 多了10块，如果你这时关掉仓位赚10块.
用一个月后的MES来看看买PUT买股票情况：



march 21 ATM=6030buy put=92buy 25 spy stocks( price=600)delta of put动态gainafter put expiry realized gaintheta -1.7/day
603092gain of buy stock-0.493
60358912.5-0.484-12.5-447.5
60408825-0.475-5-435
605084.550-0.45812.5-410
60608175-0.44220-385
607077.5100-0.42527.5-360
613061250-0.32995-210
price is droppingput pricegain of buy stockafter put exercise realized gain
602095.5-25-0.511-7.5-485
601099.5-50-0.529-12.5-510
6000104-75-0.548-15-535
5990108-100-0.568-20-560
5980113-125-0.588-20-585
march 21 ATM=6030buy call=92sell 25 stocks( price=600)delta of call动态gainafter call exercise realized gain
603092gain of short stock0.507
603594.8-12.50.5161.5-472.5
604098.5-250.5257.5-499
6050104.5-500.54212.5-542.5
6060111-750.55920-597.5
6070117.75-1000.57528.75-655
price is droppingcall pricegain of short stockafter call expired realized gain
602085.6250.489-7-435
601079.75500.471-11.25-424
600073.85750.452-15.75-417.5
599068.41000.432-18-422.5
5980631250.423-20-430


2025-02-23 MES 从6029涨到6057， 期权变了。 重新算一下动态盈利， PUT降得比预测的多。
march 21 ATM=6030buy put=92buy 25 spy stocks( price=600)delta of put动态gainafter put expiry realized gain
603092gain of buy stock-0.493
stike=60576030 put=77.25spy=602.68,gain 67-0.316-6.75
两天前估计82-0.4417.5
march 21 ATM=6030buy call=92sell 25 stocks( price=600)delta of call动态gainafter call exercise realized gain
603092gain of short stock0.507
60576030 call 105spy=602.68,lost 670.556-2
两天前估计104.5-250.525-2



如果ITM 每隔之间大于0.5， 比如买ATM CALL， 股价涨，那个ATM CALL就会变成 ITM， 然后间隔大于0.5， 就会比卖的50股长得快，动态盈利为正。如果OTM每隔之间小于0.5， 比如卖ATM CALL， 股价跌，那个ATM CALL就会变成OTM， 然后间隔小于0.5， 就会比卖的50股跌的少，动态盈利为正。

如果ITM 每隔之间大于0.5， 比如买ATM PUT， 股价跌，那个ATM PUT就会变成 ITM， 然后间隔大于0.5， 就会比买的50股长得快，动态盈利为正。
如果OTM每隔之间小于0.5， 比如卖ATM PUT， 股价涨，那个ATM PUT就会变成OTM， 然后间隔小于0.5， 就会比买的50股跌的少，动态盈利为正。

现在发现近期的期权能做到以上要求： ITM 每隔之间大于0.5， OTM每隔之间小于0.5。 远期的做不到。远期的只能用来做GAMMAR SCAPLING。
远期的CALL ITM大于0.5， 适合买CALL， 然后股价涨。OTM 大于0.6， 如果股价跌，CALL跌的比50股还要多，动态盈利为负。





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