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本帖最后由 闲云野鹤 于 2025-2-23 22:27 编辑
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。
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