GAMMAR SCAPLING 两种方式比较

闲云野鹤

atm=100	buy call=10	sell 50 stocks( price=100)	delta of call	动态gain	after 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 dropping	call price	gain of short stock			after 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=100	buy put=10	buy 50 stocks( price=100)	delta of put	动态gain	after 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 dropping	put price	gain of buy stock			after 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=6030	buy put=92	buy 25 spy stocks( price=600)	delta of put	动态gain	after put expiry realized gain	theta -1.7/day
6030	92	gain of buy stock	-0.493
6035	89	12.5	-0.484	-12.5	-447.5
6040	88	25	-0.475	-5	-435
6050	84.5	50	-0.458	12.5	-410
6060	81	75	-0.442	20	-385
6070	77.5	100	-0.425	27.5	-360
6130	61	250	-0.329	95	-210
price is dropping	put price	gain of buy stock			after put exercise realized gain
6020	95.5	-25	-0.511	-7.5	-485
6010	99.5	-50	-0.529	-12.5	-510
6000	104	-75	-0.548	-15	-535
5990	108	-100	-0.568	-20	-560
5980	113	-125	-0.588	-20	-585
march 21 ATM=6030	buy call=92	sell 25 stocks( price=600)	delta of call	动态gain	after call exercise realized gain
6030	92	gain of short stock	0.507
6035	94.8	-12.5	0.516	1.5	-472.5
6040	98.5	-25	0.525	7.5	-499
6050	104.5	-50	0.542	12.5	-542.5
6060	111	-75	0.559	20	-597.5
6070	117.75	-100	0.575	28.75	-655
price is dropping	call price	gain of short stock			after call expired realized gain
6020	85.6	25	0.489	-7	-435
6010	79.75	50	0.471	-11.25	-424
6000	73.85	75	0.452	-15.75	-417.5
5990	68.4	100	0.432	-18	-422.5
5980	63	125	0.423	-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=6030	buy put=92	buy 25 spy stocks( price=600)	delta of put	动态gain	after put expiry realized gain
6030	92	gain of buy stock	-0.493
stike=6057	6030 put=77.25	spy=602.68,gain 67	-0.316	-6.75
	两天前估计82		-0.44	17.5
march 21 ATM=6030	buy call=92	sell 25 stocks( price=600)	delta of call	动态gain	after call exercise realized gain
6030	92	gain of short stock	0.507
6057	6030 call 105	spy=602.68,lost 67	0.556	-2
	两天前估计104.5	-25	0.525	-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。