一個放空 SPY straddle的操作

一個放空straddle的操作

今天鈍刀小試開盤放空spy

129 call and put 各5個和約，剛開張，不敢多弄，哈哈

周末被迫來吃免費的pizza所以做了一下簡單的功課

1）感覺做sp500的sell side比做QQQQ的sell side要好：
a:相比之下sp500的time value更貴
b:strike price選擇更多
c:容易hedge.金融板，製藥板，石油板可供選擇的個股很多
所以往後做sell side我要弄sp500。
Any thoughts?

2）6月這個OEsp500應會收在1310之下，1260之上

幾個選擇：
1）sell both spy 129 call and put
2) sell both spy 131 call and 126 put
3) both sell both spy 129 call and put
and buy both spy 131 call and 126 put

不想把活弄得太細，所以選擇了1）。
TA:
1) 1310為趨勢線的壓力線，同時也是阻力線。1260為已驗證的強支撐線。
2) 金融板，製藥板滯漲。

同時賣spy 129 call and put，premium $2.60.指數在1290上，both spy 129 call and put have the most advantageous at the money time value which is something hard to miss，所以下了market單，不等了.若指數收在1264-1316，即可保證不賠，勝算很大。

感覺Game on sell side is defensive play and that on buy side is aggressive play.預期指數會震蕩，所以不用老看盤了。

還是老本行，隻做當月的，不做下月的，還是短線option

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SPYRY $1.35->$3.10

overnight.

我的女孩，不是你不好...
我內心的痛苦，你可知道？

隻是，第一次就當頭一棒，太狠了點，嗬嗬
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我在考慮應該的應對措施

比如，我現在認為這個OE SP500不會到1290了。操作上怎麽辦？

129 put昨日就該止損，拖到現在，是否該buy 126 put hedge?還是昨天就應買？我個人是不情願買SPY option的，因為time value太貴。而現在QQQQ option的價位都不合適。
用個股hedge的話，我還沒有shopping around.

如果在現在這個位置指數回漲（我目前認為會），給出回漲信號後（會當做二次確認底部），我是否有guts to short 126 put and 129 call?

這顯然帶著濃厚的短線意識，跟play market neutral比較矛盾。
Any thoughts?

5個和約全當買經驗了，讓我記憶深刻一把，much more than deserved
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Depending on your outlook on the markets (especially, SP500), then plan and set things up accordingly...

(1) The most conservative approach is to close all the positions first if your positions are using up too much trading powers. Leave yourself some room (money wise) to catch the next fish. If just some tiny bit, hold on to it and wait for the small bounce in the working.

(2a) If you think SP500 would not go above 1290 on the up side, start writing calls somewhere above that mark. Of course, balancing your perceived/potential returns and risk estimate (what the maximum downside is that you can take in your account) as major part of money management.

(2b) On the other hand, what if the market (SP500) would bounce up tomorrow? What is the risk and how to accommondate?

(3) You thought of the mark on the up side, what about the downside target, 1220, 1200, 1180, 1155?
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隻是5個和約，現在損失$700

從trading history講，是曆史上最差的一個。

Can't imagine if I entered a sizable position on option short while didn't bother to watch the ticker with not predefining any protective means.

Even for one day!
SP500 down 25 points! What a luck!
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目前最大感受：Measurable倉位的風險控製在入倉時就應設定。
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我覺得short option的止損

直接平倉在市場波動可能性依舊很大的情況下可能不是最好的選擇。

比如若1260或1250的put價格合適的話，用賬麵損失買這些put可能比直接平倉認賠完事要好。這樣做實際上是認賠把賬麵損失轉到新買的損失限定的put上。
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let's look at why we entered the trade in the 1st place when selling strangles or straddles, we are betting the underlying will move in a narrow range and our strikes will not be hit. We pocket the time premiums.

when spy moves far away from 129, the put becomes deep ITM and there is no time premium any more. If we hedge using 125/126 put, we are paying time premium now. To justify it, we bet the market is going to make a big move soon.
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That's right

I am betting the market is going to make a big move soon on either direction. If it goes down, I am still on the cut losing position. If it goes up, I am like buying a straddle with realizing the paper loss on 129 put short.

Now my newly added XLF position's gain just broke even with SPY continuing loss. From now on, I am on the gain side.

Did I miss anything here? :-)

That's why I said I changed back to buy side right away the other day :-)

Or in such a case, you are going to add short position on 1300 or 1290 calls? Of course, suppose we've certainly cut the loss on the very day when the straddle short was placed.

我錯過了時機，錢不多，就將錯就錯試驗吧
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that makes perfect sense if you want to long a straddle now.

for me to manage a short straddle, I simply long/short spy to make it delta neutral periodically. In your trade, I would have been shorting spy from 129 to now without much judgement on the market direction or volatility.
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也不是完全的long straddle

"that makes perfect sense if you want to long a straddle now."
還是認賠或撈本優先，因為比例是3:1。續跌的話，賺錢的可能性大。現在回頭漲的話，隻能說是減小損失了，除非指數漲到1280。

for me to manage a short straddle, I simply long/short spy to make it delta neutral periodically. In your trade, I would have been shorting spy from 129 to now without much judgement on the market direction or volatility.

謝謝。這個用的capital太多，我可能就平倉認賠算了。
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讀股九鑒：第一鑒 破刀式

無論是大砍刀還是小飛刀，若被命中，股市中一律是撿起被打落的牙，轉身就跑，如果還能跑的話。

SPY 129 put SPYRY 昨日收盤$3.70.被此操作第一日大砍刀第二日小飛刀連續命中。計將安出？

鑒於此操作是放空put,如果市場盤整或向上，時間在我手。有沒有心理上在此刻認賠的基礎上在多一點少賠，持平甚至盈利的可能性？街亭城小，事關重大。援手可從同一處發出多把飛的更快的飛刀，也可從多處發出飛刀，提高命中率，擊落正在落的飛刀。

XLF昨天在指數續跌中挺起撐盤。指數處於選擇方向的位置。如果指數續跌，非得要XLF領跌。如果買進XLFRG hedge事後指數停在1265附近，賠的是XLFRG.所以，投入的量在目前的賬麵損失處，可以博得一個雙向大波動的機會。

目前賬麵損失$700, 三個選擇：

1）買入XLF 33 put XLFRG 15個和約 $750
2）買入XLF 33 put XLFRG 10個和約 $500
+ 買入XLF 32 put XLFRF 10個和約 $200
3）買入XLF 32 put XLFRF 30個和約 $600

對於此風險的較量，此處的比例組合至關重要。否則，很可能貌似棋高一著消劫連回了大龍，實則更痛苦的自填一眼接不歸在後頭。曆史上，張靈甫想將計就計以外線反包圍圈住圍點打援，主動將3萬鐵騎拉上山，由於援軍不利，隻能徒奈我何，天滅王牌軍。

今日開盤marker order買入XLF 33 put XLFRG 15個和約 @$0.55
目前:+$600 <=> -$650

這個能不能喚作智取生辰剛？
Let's see.
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129 spy straddle short hedge

is interesting.

Now the market fluctuates without big move. It's

+$220 <=> -$900
Always -$700

Both options have $0.30 time value left to decay.

So if the market drops, I am on the gain side because of the position size.
If the market goes up, spy should go up faster than XLF.

Interesting to think about.
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賣了一半XLF put，錢不多，比例搞法測試。
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我在strike price附近$0.15以內才考慮straddle，今天的收盤位置就不予考慮了。
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生辰綱沒取著 算偷著花石綱了

SPY 129 put/call straddle short:
5 contracts
in +$2.60
out -$5.00

Loss: -$1,200

XLF 33 put long hedge:
7 contracts
in -0.55
out +0.85

Gain: +210

XLF 33 put long hedge:
8 contracts
in -0.55
out +1.60

Gain: +840

Result:840+210-1200 = -150
excluding commissions.

SPY 129 call short still open waiting for worthless expiration.

Not bad comparing to the arbitrary cut loss at -$700.

戰略上選擇XLF正確，但操作上可待改進。
前一半XLF put平倉早了，否則就智取生辰綱了。
有待總結。
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