股票选择权之推广及操作策略幻灯片课件.pptVIP

Sean Tseng 風險之微調控管 Hedge = Exposure tuning What I want is what I get. Risk(exposure) = Systematic exposure + Specific exposure Fully or partially hedge market risk Short index futures 市場大好 兩者都賺 市場不好 只賺個別表現 四象生八卦 Different strikes different amount Different strike Different ratio 八卦之後就千變萬化 Different strikes different amount 創造自己的策略 了解部位特性(向量分析) 市場規劃(market View) 方向 direction, 價位 price, 時間 time, 機率 probability. 主要看法 Primary view, 次要看法 Secondary view. 建立主要部位 Build your initiate positions. Set the positions to meet your major market view. 動態調整部位 Revise your positions. Add or drop positions to fit your concerns. 了解部位特性(向量分析) (X,Y) Type\price Number Up 1 Down 1 K Long 1 +1 -1 100 Short 1 -1 +1 100 Long call 1 +1 0 100 Short call 1 -1 0 100 Long put 1 0 +1 100 Short put 1 0 -1 100 Sum 0 0 部位組合之捷徑 Short future + long call (-1, +1) + (+1, 0) = (0,+1) Long future + long put (+1, -1) + (0,+1) = (+1, 0) Short call +long put ( -1, 0) + (0, +1) = (-1, +1) Long call + long put (+1,0) + (0,+1) = (+1,+1) 部位組合之捷徑 Short 3 stock at 100: (-1,+1)*3= (-3,+3) Long 2 call at 100: (+1, 0)*2= (+2, 0) Short 3 put at 100: ( 0, -1)*3= ( 0, -3) The over all position: (-1, 0) What will it look like? 履約價不同較難辦 配合圖形思考　 每一個stirke，代表一個轉折 主要類型 價差型　Spread Call for bull spread Put for bear spread 跨式型　Strangle 兩個Strike以上請用軟體計算 +1 future @ 5080 +4 4800 Put @ 45 -10 5400 Call @30 -5 5000 call @181 -1 future @ 5080 -10 4800 put @ 45 +10 call@6000 +20 call@6100 +40 call@6200 3 day to expiration Implied spot 6099 Figure 9: Aggressive Delta trade Analysis on payoff chart Define market view Build your position Draw the payoff chart Look at the chart What is the best, it is possible. What is the worst, it is possible. 有幾分把握作幾分的事 又七分把獲不作八分的事 小結　To sum up option strategies 選擇權像是玩麻將. 一方面要胡牌,一方面要小心放炮. To make money on one side, and to protect risk on the other side. 一手要攻,一手要守,攻守之間便是選擇權策