防守型期权组合
牛经沧海
8/8/2017
二月时分，在此分享“一个回报可达36.9%的交易。”半年光阴匆匆飘过，来到夏秋之交。对于美股而言，八九十月多为多事之秋。有鉴于此，这里特别分享一个以守为攻的方子。
【操作】
投入270,900，到期最大回报34,100， 最大回报率12.6% （余164天，合年化28%）
交易如下（长仓仍然是春天选的，偏低）：
|
Symbol -Long |
Symbol - Short |
Delta Delta |
Qty |
Shrs Eq |
Value |
Max Val |
Residual |
Ret Pot % |
|
AAPL Jan 19 '18 $100 Call |
AAPL Jan 19 '18 $150 Call |
0.311 |
15 |
466.5 |
66,750 |
75,000 |
8,250 |
12.4% |
|
GOOGL Jan 19 '18 $700 Call |
GOOGL Jan 19 '18 $850 Call |
0.165 |
5 |
82.5 |
67,450 |
75,000 |
7,550 |
11.2% |
|
AMZN Jan 19 '18 $700 Call |
AMZN Jan 19 '18 $850 Call |
0.135 |
5 |
67.5 |
67,500 |
75,000 |
7,500 |
11.1% |
|
FB Jan 19 '18 $120 Call |
FB Jan 19 '18 $160 Call |
0.261 |
20 |
522 |
69,200 |
80,000 |
10,800 |
15.6% |
|
|
|
|
|
|
270,900 |
305,000 |
34,100 |
12.6% |
为什么这个组合属防守型？
个组合可以能承受10%的修正：
|
Symbol -Long |
Symbol - Short |
Ret Pot % |
Stock |
Even Price |
Resilience % |
|
AAPL Jan 19 '18 $100 Call |
AAPL Jan 19 '18 $150 Call |
12.4% |
159.8 |
144.5 |
-10% |
|
GOOGL Jan 19 '18 $700 Call |
GOOGL Jan 19 '18 $850 Call |
11.2% |
945.25 |
834.9 |
-12% |
|
AMZN Jan 19 '18 $700 Call |
AMZN Jan 19 '18 $850 Call |
11.1% |
989.25 |
835 |
-16% |
|
FB Jan 19 '18 $120 Call |
FB Jan 19 '18 $160 Call |
15.6% |
171.1 |
154.6 |
-10% |
平安一夏！
