防守型期權組合
牛經滄海
8/8/2017
二月時分，在此分享“一個回報可達36.9%的交易。”半年光陰匆匆飄過，來到夏秋之交。對於美股而言，八九十月多為多事之秋。有鑒於此，這裏特別分享一個以守為攻的方子。
【操作】
投入270,900，到期最大回報34,100， 最大回報率12.6% （餘164天，合年化28%）
交易如下（長倉仍然是春天選的，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%
|
為什麽這個組合屬防守型？
個組合可以能承受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！
|
