schwab 裏對用spx hedge 的介紹和例子。居安思危，大佬們多談談哈

來源: start2020 於 2024-12-07 10:40:36 [] [博客] [舊帖] [給我悄悄話] 閱讀數 : (14005 bytes)
本帖於 2024-12-07 12:34:55 時間, 由普通用戶 start2020 編輯

https://www.schwab.com/learn/story/how-to-hedge-your-portfolio

用2% 倉位做保護, 隻是理論，3 個月是期權 time decay 很厲害

Portfolio value at expiration of three-month SPX put options

Portfolio value at expiration of three-month SPX put options
SPX percentage change Unhedged portfolio percentage change SPX value Value of two SPX 5,425 puts Portfolio value (no hedge) Portfolio value with SPX puts Hedged portfolio percentage change
+5% +5% 5,696 0 $1,050,000 $1,030,00 +3.00%
0% 0% 5,425 0 $1,000,000 $980,000 -2.00%
-5% -5% 5,153 $54,400 $950,000 $1,004,400 +0.44%
-10% -10% 4,882 $108,600 $900,000 $1,008,600 +0.86%
-15% -15% 4,611 $162,800 $850,000 $1,012,800 +1.28%
-20% -20% 4,340 $217,000 $800,000 $1,017,000 +1.70%
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