分化股票多头计谋(国外英文资料).docVIP

合成股票多头策略(国外英文资料) ETF option trading strategy synthetic stock bulls I. account information Guoxin Securities - Foshan Nanhai Avenue Securities Sales Department Investor Name: Zhou Guibing Derivatives account: 260008000211 Two, synthetic stock bull strategy theory analysis 1. definition: synthesis of stock bull strategy refers to the use of options to replicate a trading strategy of stock returns, through this strategy, investors can obtain earnings and shares the same, but the synthetic stock at lower costs. 2., the construction method: sell a exercise price from the current share price is close to the put option, and then buy a same maturity date and the same exercise price of the call option. 3. when to use the strategy: investors are bullish or lack of money to gain leverage gains. 4. maturity income plan Construction cost = call option rights - put option rights Potential maximum loss: exercise price + construction cost Potential maximum profit: no upper limit Breakeven point: the underlying stock price = exercise price + construction cost 5. option contract options 1) the price, term: when the market price is completely reasonable, the same period, the same exercise price of the subscription, put the time value of the option implied volatility are quite, this choice theory on the option contracts can be any combination of the same option exercise price. In real terms, taking into account the money option vesting risk, real options cost is high and the fair value of the option portfolio for the synthesis of the stock bull strategy selection, and select the near month contract operation covers expected trading period; 2) time value: because the strategy contains the right warehouse and the duty warehouse, the value of time can be hedged, so it is not considered; 3) implied volatility: it can be used as a reference to admission time; Three, simulation case 1. case background and strategy use As a senior investors, I belong to the type of risk appetite, transaction