中期Near The Money Call 实例:TSLA和SYNA

前文讨论了利用Near The Money Call在股票维持上涨动能时盈利, 提到了自创的3M理论来pick,即 Momentum, Multiple non-correlated evidences 和 Market。

1)Momentum(动能): 股票正处于突破后的上升趋势中, 有良好的TA指标和基本面。

2) Multiple non-correlated evidences (多个互不关联的证据),如:

  • 大牛, Investors Business Daily 或 Barron’s 推荐, 如 stock on IBD Top 50 or section leader
  • 客观观察到的经济现象: 如CMG要排长队,LD最近爱到Nordstrom 扫货,街上和parking lot里某种牌子的电动车大增,隔壁某公司忽然大举扩张(通常是并购前兆)等。
  •  Outperforming sectors: 如去年的新能源,生物科技和互联网等

3)Market(大市走向):我们期望市场平稳或上扬,但如果出现较大幅度的调整, 股票往往会跟随大市向下, 再好的momentum可能也无济于事。

以下是我个人经历,希望能帮助大家加深对期权的理解有所帮助。

TESLA (TSLA)-特斯拉

刚开始留意TSLA时是$22左右(后面没有0), 记得微博上关注的朋友吼了一嗓子,当时刚到硅谷,正在热血沸腾创业中,觉得电动车这个概念有点意思,就入了点,放在那里忙startup去了,结果一放就是N年,期间上上下下,都没有太在意。到了2013年,开车听收音机NPR刚好在谈Elon Musk的宏伟计划【1】,以前TESLA是稀罕之物,但此时硅谷的TESLA电动车越来越多,几乎每天都能看到好几辆【2】。这是我2013年某日在位于山景城的Computer History Museum的Parking Lot里拍摄到的。和别州的朋友,他说也观察到了同样的现象【3】。碰巧在微博中有位土豪朋友说他准备入一辆特斯拉电动车,感觉Tesla正在成为一种fashion【4】。我想车买不起,好歹买些Option,没准还能赚到一辆车呢!

The Parking Lot of Computer History Museum, Mount View, California

The Parking Lot of Computer History Museum, Mount View, California

当时买到车的人都把VIN 贴出来,可以看出Tesla产能大增,但仍供不应求【5】。

Tesla到2013年初即开始上涨,当时还没这么出名,到5月初上涨了40%到$55,当时Elon已经放出风来,Tesla会第一次实现break even。TSLA已基本满足了‘3M’的条件。知名媒体造势,TA, FA都不错,5个不相关的证据表明公司正在高速发展,整个股市也没有大的起伏。因为将在2013年5月10日公布财务报告。因为振幅巨大,二个月后到期的Option被炒得很高,但还是一咬牙以$3.30入了SEP 21 13 $70 Call,已经基本不算是Near The Money Call了,但我还是希望有更多的时间ride the uptrend。结果如我所愿,TSLA在5月10日ER后大涨,并在接下来的2个月内一直保持强大上涨动能,轻松翻倍。我在实现>5倍利润后了,逐步减仓出场。当时对call followup action还没有使用娴熟,否则roll up或roll forward都可获利更多。该合约到期时TSLA的股价为$181,即call的intrinsic value是$111,已上涨了33.6倍!可是谁又能hold住?

Sep 21 $70 Call Purchased on May 7th, 2 days before earning report.  TSLA reached $181 at the expiration day

Sep 21 $70 Call Purchased on May 7th, 2 days before earning report. TSLA reached $181 at the expiration day

仔细想来,在数千只股票中挑出大牛股纯属幸运。而命运是公平滴,你总得匀别人一点。我在前文也提到前面的2个M(momentum和multiple irrelevant evidences)只是必要条件,如果没有Market配合,有一千个靠(call)它的理由,如果市场在从购买期权到期权到期这段时间如果出现较大的调整,还是很难获利。

SYNAPTICS就是这么个惨痛滴血本乌龟的经历。今年开始SYNA一直不错,它家的股票也是IBD Top 50 和Sector Leaders 的常客,TA (Technical Analysis), FA (Fundamental Analysis)要多棒有多棒。更为严重的是,身边有几位曾在硅谷知名公司工作过的朋友跳槽到了Snaptics,表明该公司进入了新一轮高速发展期。(在上市公司密集的地方,只要注意观察,不需要提前看到财务报表,也可能发掘到很多机会,以后在专文讨论)Snaptics的确就是个机会,它轻松满足所有的条件,我“果断”以$4.30入了2个月到期的SYNA 19 APR14 65.0 C call(当日的股价为$65),。人算不如天算,在我入场后,大势开始了一轮长达2个月的调整, SYNA一直在strike price 之下,看着theta (time decay)一点 一点的蚕食,心里一直在纠结是否要追加投资roll forward。最后决定不追,由它去吧!到了expiration day, SNAP还是没到$65, 靠, 一文不值了! 我恶狠狠滴把SYNA的sticker从我的watch list 上删掉了!

SYNA was below $65 until my $65 calls expired. It then advanced to $90

SYNA was below $65 until my $65 calls expired. It then advanced to $90

谁知几个月之后,我无意中又看了SYNA一眼,发现在call到期的第二天就一跃in the money,而且几个月连续上涨到$90多!一天之差,我见了外婆!

总结:期权要考虑到股票,strike & expiration date,当然比纯买股票难很多!所以赌动能也不靠谱, time erosion 太可怕了!所以不中是应该的,中了是运气。懂Monte Carlo的童鞋请帮忙算算长期回报。

下回介绍用Deep In The Money Call取代margin的办法。

Mid Term Call Strategy – Near The Money Call

We briefly discussed the short term strategy which utilizes DOTM (Deep Out Of The Money) Call to bet earning report. The stock can go either direction to certain level. Nevertheless, there is a option strategy to make a profit: We might long calls to profit from sudden jump, long puts to profit from plummeting stocks, long strangles or straddles, short iron condors to profit from drastic movement in either direction, or you might bet against no drastic, but no movement or mild movement by longing iron condors or shorting strangles/straddle. However, you should remember no matter what kind of setup you decide to take, your counterpart, very likely a market maker (MM), has already place the bid based on their sophisticated algorithm which is in favor of themselves. At the end of day. I mean at the end of market close of expiration day, MMs are likely the ones who profit eventually.

In the previous discuss of short term strategy,  theta (time decay) is the archenemy of DOTM (deep out of the money) near expiration call owner and the stock must appreciate rapidly. Theta can be found to describe the negative impact of time (i.e decreasing time value) pass to option price for both calls and puts. If delta is -0.80 (delta is always negative unless we can rollback the clock), which means the option will be devalued by $0.80 if other factors remain the same. The diminishing of time value accelerates when there is only 2 weeks left and race to the climax on the expiration day. If you need more leeway to allow your stock of interest to appreciate, you can choose Near the Money (NTM) Call which has approximately 2 months to expire. By that way, we will have sufficient time to ride the tide, but also have followup strategies when the tide is against us.

Each person has his own standard to pick stocks. I personally prefer the self-invented “3M” system to increase the probability of success:

1)Momentum: The underlying stock just breaks up and is in a confirmed uptrend, which is supported by favorable technical indicators and fundamentals.

2) Multiple non-correlated evidences, such as:

  •  The stock is recommended by Investors Business Daily and/or  Barron’s, such as it is on IBD Top 50 or one of the sector leaders.
  •  Phenomenon observed by myself, such as long line when dinning at Chipotle Mexican Grill, more electric cars on streets or in parking lots, more handbags of a brand, a full house of customers in Nordstrom, huge new job listing of your neighboring company (which usually means a M&A event might be imminent)
  •  Outperforming sectors:such as new energy, biotech and internet stocks of last year.

3)Market: We expect market will remain stable or maintain the uptrend. However, if there is a significant correction, most stock will go down with the broad market, no matter how pretty your chart appears to be.

We can purchase a high value, liquidated stock with delta around 0.5 and expect a ROI of 3-5 folds.

Here is a breakdown analysis of Greeks and I just assign an subjective probability value for simplicity:

delta: Let’s just assume we have a very nice pick and the uptrend will maintained. The probability of a winning delta is 80%.

gamma: The movement  (of either direction) can be accelerated or decelerated, P = 50%.

vega: If only consider the price of the expiration day, vega is not relevant.

theta: The time decay of the 1st one and half months are still manageable. Let’s just assume it will devalue 30%, or 70% favorable.

Overall, we have probability of 28%, not bad if we can gain 5x ROI.

Take home messages:

1. relatively low probability (not terribly low as DOTM),relative high ROI (not as high as DOTM),limited loss.

2. Followup possible: If the stock appreciates but time is running out, we can roll forward. If the stock is skyrocketing, we can roll up and let the profit run.

3. replicable, but ROI is not guaranteed. If we are successful one out of three trades (100% loss in 2 trades), we are only break even when we get 300% ROI on the winning trade. However, the probability of higher ROI will go much lower.

4. Not scalable: Except for those high volume liquidated stocks, Market Makers won’t allow you to purchase a great deal of NTM calls. They will lift the ask price when you are buying.

In essence, we can optimize our approaches to make right picks by refine our technical analysis and fundamental analysis, we can reveal more irrelevant events to predict the direction of the underlaying stock. However, we do not have the capacity to control the market and avoid adverse impact of an unexpected events. Thus, a prudent investor should have a sound exit strategy in mind before he press the buy button. Good luck!

 

买Call中期策略- Near The Money Call

上次讨论了短期策略利用DOTM (Deep Out Of The Money) Call来赌 ER。当然赌earning report的各种各样的期货玩法。赌剧烈运动的可以bet大涨 (long call),大跌 (long put), 大涨或大跌 (long strangle/straddle 或 short iron codor), 也可以bet小幅波动  (short strangle/straddle 或 long iron condor)。请牢记无论选择那种玩法,您的对手(买方/卖方),Market Makers一定计算好了的赔率并设定了对他有利的价格,笑到最后的很可能是他们。

在短期策略中, theta (time decay) 对call持有者是个巨大的威胁,股票必需在很短的时间内快速上扬。这里theta用来表示时间对期权价格的影响。如果theta指为-0.80 (注意theta 只能是负值),这表明在股价和其它因素不变的情况下,第二天该期权的价格将下降80c。通常对有time premium 的call在最后两个星期,time value开始显著下降,到expiration day达到最低值并趋向0。如果您需要更多时间让股票增值,可以选择二个月左右的Near the Money (NTM) Call, 这样就有充分的时间ride the momentum, 如果风向不对,也有机会补救。

个人有不同的选股标准,我比较倾向于我自创的3M体系来提高成功率:

1)Momentum(动能): 股票正处于突破后的上升趋势中, 有良好的TA指标和基本面。

2) Multiple non-correlated evidences (多个互不关联的证据),如:

  • 大牛, Investors Business Daily 或 Barron’s 推荐, 如 stock on IBD Top 50 or section leader
  • 客观观察到的经济现象: 如CMG要排长队,LD最近爱到Nordstrom 扫货,街上和parking lot里某种牌子的电动车大增,隔壁某公司忽然大举扩张(通常是并购前兆)等。
  •  Outperforming sectors: 如去年的新能源,生物科技和互联网等

3)Market(大市走向):我们期望市场平稳或上扬,但如果出现较大幅度的调整, 股票往往会跟随大市向下, 再好的momentum可能也无济于事。

我们可以选择流动性较高, 股票价格较高(以后专文讨论),delta 0.5左右的call,预期获得3-5倍的回报。

大概分析一下Greeks对期权价格的影响:

delta: 假定该股票会保持趋势,继续上行,胜率 80%。

gamma: 加速减速各半,各 50%。

vega: 振幅可高可低,但如果只考虑到期日的情况,则与之无关。

theta: 前1个半月theta的影响较小, 假定 70%。初步算来盈利的可能性为28%

总结:

1. 较低概率,较高回报,损失有限, 但盈利无上限。

2. 可以有后续手段: 如果上涨但速度不够, 您可以Roll forward得到跟多的时间,如果快速上行,您可以roll up 获得更高的利润。

3. 可重复,但收益难以保证:假如买对3次,一次成功(33%)得到3倍的回报,其他2次亏光,ROI仍是0。如果成功的那次得到5倍的回报,则ROI为67%。

4. 不可规模化:除某些交易量巨大的股票外(如GOOGL),您也不可能以同样的低价格购买到大量的 NTM call。在您买进的同时,MM会逐步抬高call的价格。

总之,我们可以优化我们利用技术指标来判断动能的方法,可以找到更多不互相关联的证据来支持股票上涨的观点。但我们无法左右大盘的走向和突发事件的发生,投资者应该在买入时就有exit  strategy,有备无患。下文将分享我个人的经验和教训。

Short Term Strategy By Owning Calls

We briefly introduced factors which influence the price of an option, such as delta, gamma, vega and theta. The value of a delta can be qualified as the correlation of the option and its underlying stock. If a stock goes up $1, and a call goes up 80c, and a put goes down 30c, delta of that call is 0.80 and delta of that put is -0.3.  The deeper the strike price goes into the money, the higher the correlation, approaching 1 for call and -1 for put. Thus delta of a call is between 0 and 1 and delta of a put is between -1 and 0.

It is generally believe that the market will remain bullish in the next couple of years, most stocks will follow the trend and go up. Thus, I would like to discuss the riskiest short term call “strategy” first.

Short Term (less than 2 weeks) – Bet Earning Report with Deep Out of The Money Calls

If you are right about the market response to an earning report, you may achieve 100 fold or higher reward. Today is July 24, 2014. Visa will release its Q3 2014 earning report after market close. Current price of V is $223 and its Deep Out Of the Money (DOTM)call option,  V Jul25′ 235 Call has bid/ask of 0.13/0.20, delta is 0.05,with unlimited reward and limited risk, that is $13 (use bid price) per contract. If V goes up to $224, the call will goes up 1 delta ($0.05), that is $0.18.

V Jul25 14 235 Call

IF Visa’s ER greatly exceeded the expectation and its share price went up 10%, that is $245. Congratulations! You will instantly achieve 100 fold ROI , that is, a single contract will worth approximately $1000  (intrinsic value is already $245- $235 = $1,  $10 X 100 = $1000). That sounds great, huh? However, what if its ER is great but market response is little bit lukewarm and V ONLY appreciated 5.5% to $235 by 4PM ET July 25 2014? I am sorry, all of the call became worthless.

Here is a breakdown analysis of Greeks and I just assign an subjective probability value for simplicity:

delta: Let’s just assume you are a stock guru, we have inside information, ER is fantastic and market responds positively (ER beat does not necessarily guarantee a positive market response). The probability of a winning delta is 75%.

gamma: The movement  (of either direction) can be accelerated or decelerated, P = 50%.

vega: After earning report is released, the uncertainty diminished quickly, which will cause the collapse of vega and the depress the option price. P = 10%.

theta: Very negative when it is close to expiration day. Since it is Deep Out of The Money (DOTM), the chance of the underlaying climb to the strike are quite slim. P = 20%.

Overall, the probability of profit based on my subjective probability is 0.75%. Actually, OptionHouse provides a probability calculator. The probability to reach the break even ($235.13) is 10%, and the probability to achieve 100 fold ROI is 0.5%. How is that? The probability is approximately the same as  8 heads in a row!

V Probability

Take-home messages:

1. Low probability, high ROI, limited loss with unlimited potential.

2. No time for followup actions: V Jul25′ 235 Call的bid/ask spread is 50%,  it will expire tomorrow (July 25, 2014). It is too costly and has no time to take sensible followup actions.

3. Non-replicable: It seems easy to bet correctly once, but it is impossible to bet correctly consistently.  Have you seen anyone who won lottery more than once?

4. Non-scalable: It is impossible to acquire large amount of these kind of DOTM calls. The maximum is $6760 for 338 V Jul25′ 235 Calls. When market makers (MM) see someone is accumulating, they will ruthlessly skyrocket the call price, this will definitely cut into your ROI.

Giving the extremely low P and high ROI,  shall we play it? Personally I redeem it more like lottery. We all buy lottery, but the goal of buying lottery is entertainment, not investment or winning a large lump sum. We won’t using our down payment to purchase lottery tickets or this kind of DOTM calls.  The DOTM call strategy can be served as a way of entertainment. With $13 a pop and an unlimited dream, it is not a bad game to play.

P.S: At 4:30 PM ET, V released better than expected earning report,but stock plummeted. It is very like the V Jul25′ 235 Call will expire worthlessly.

 

 

 

 

 

买Call短期策略

上次的期权风险初探从趋势上讨论了影响option价格的一些因素如方向(delta), 加速度(gamma),振幅(vega)和时间(theta)等。我们在这里先量化delta: 它是指股价变化对期权价格的影响。如果股票上涨$1, 某个Call 上涨80c,则该Call的delta为0.80, 某个Put 下跌30c,则该Put的delta为-0.30。delta实际上是测量了期权价格和股票价格的关联度,call的delta在0和1之间,而put的delta在-1和0之间。

个人认为市场在未来1-2年内将会维持平稳向上的趋势,个股也以看涨为主,因此先抛砖探讨Call的短期玩法。

短期(2周以内)- 利用Deep Out of the Money Call 博ER

如果能赌对Earning Report的方向, 在很短时间会有高达上百倍的回报。Visa 会在今日收盘后公布2014年第三季度财报。V现价为$223,它的Deep Out Of the Money (DOTM)call option,  V Jul25′ 235 Call,现价为0.13, delta为0.05,可能的获利没有上限,损失有限,即每个合约$13。 也就是说如果V马上上涨至$224,该call将升至$0.18。

V Jul25 14 235 Call

如果盘后公布的财报远超预期,V上涨至$245 (+10%),恭喜!您得到了100倍回报,即每份合约$1000。听起来不错。不过如果盘后公布的财报虽然远超预期,但V到July 25收盘时只上涨至$235.00 (+5.5%),对不起,这些Call将为一文不值。大概分析一下Greeks:

delta: 假定我们是神算,有内幕,有大牛指点,ER果然beat,市场反应正面 (beat不一定涨,你懂的),胜率 75%。

gamma: 加速减速各半,胜率 50%。

vega: 财报公布后, 不确定性大减,一般vega会暴跌,胜率 10%。

theta: 非常负面,先假定在到期前能爬到in the money 的可能性为 20%。

粗略算下来的盈利的概率为0.75%。通过概率计算表格算出到$235,也就是break even的可能性为10%,而100倍盈利或以上的可能性为0.5%。这与连续投掷8次硬币,每次都是HEAD的概率相当。

V Probability

总结:

1. 低概率,高回报,损失有限,每单只要13刀,但盈利无上限。

2. 无法补救: V Jul25′ 235 Call的bid/ask spread 高达50%, 过一天就要到期, 来不及设法补救。

3. 不可重复: 猜中一次似乎不难,难的是反复猜中!见过老中lottery的吗?

4. 不可规模化:您不可能以同样的低价格购买到大量的 DOTM call。 您最大只能用 $6760 买到338 个 V Jul25′ 235 Call。当MM看到有人大量购入时,会豪不留情的抬高价格,不可能让您有那么高的回报。

Probability这么低,ROI这么高,该玩还是不玩?这是不是和我们都“玩”的Lottery有点像?只是我们玩Lottery的目的是娱乐,而不是盈利,也不会把down payment拿去全买了彩票。因此我们赌ER时,也要有娱乐精神,胜固可喜(记得回来发包子),败亦欣然,权当怡情花费,买彩票了。

后记: Visa 财报超出预期,但股票大跌, V Jul25′ 235 Call会expire worthlessly.

 

 

 

 

 

A Primer For Option Risk

Understand Option Trade

The higher the risk (or the lower the probability) , the higher the Return on Investment (ROI) and vice versa. We should reject any trade setup which associates with low probability and low ROI. In earning report (ER) season or a volatile market, deep Out-of-Money (OTM) options can be instantly doubled, tripled or zoomed to ten folds or higher.  However, it is extremely difficult for retail investors to profit from this kind of opportunities, or repetitively profit from those opportunities (It is a different story if you have insider information). On the contrary, Market Makers (MM) are more than happy to add extra amount of volatility premium on the option price to hedge their risks.

Some brokerage firms may provide the following information for options and option combos:  Profit Probability, Max Return, Chance of Max Return, Max Loss, Change of Max Loss。It looks like this:

SPXW price

SPX JUL25 ‘14 1975 CALL has unlimited profit potential, or grow N (N>1) folds. Of course, the bigger the N, the lower the probability.   Actually, at the current volatility level (VIX), the probability of double this call option is 15.86%. The distribution of probability looks like this:

SPXW probability

We will discuss the algorithm to calculate probability later . However, never put all your money in a position which Max Loss is 100% and Chance of Max Loss > 0%. There is 46% chance that this SPX JUL25 ‘14 1975 CALL may worth nothing at the expiration. If you put all your money in this position, you may be luck to make big money, but some unexpected events can easily wipe out all the positions.

Option Risk

Someone might experience and be upset when stock goes up sharply, but its call option changes a little or stays the same.  Here is an introduction to the factors which influence the price of an option. It is based upon owning a call option and expect the stock to appreciate.

1. Direction (delta)

If you pick the wrong direction, it is almost impossible to make a profit. Similar to owning a stock, if a stock goes down, it is very likely its underline calls goes down as well.

2.  Gamma

Even if you pick the right direction, but the stock goes up slowly. You can hold stock as long as it remains bullish, but you cannot hold a call like that. Although stock goes north, but it  has not surpassed the strike price and your OTM call becomes a ITM on the expiration day. I am sorry, your calls expires worthlessly.

3. Volatility (vega)

Suppose you bought a stock used to be a very volatile stock, goes up and down 3-5% percent daily, but become much less volatile recently.   That will adversely influence the call option. The higher the vega, the higher the premium on the option. Vega usually collapses after earning report is published when uncertainty is diminishing rapidly. That is the reason that you may bet the ER right but did make much from it.

4. Time (theta)

Time is the only factor which goes one way – down down down! A stock can go up or down, can accelerate or decelerate, can become more volatile or  less volatile. Time can only decay the option value! On the expiration day, theta is extremely negative for the near the money options. Vega and gamma simply run out of time to influence the option price.

5. Split & Dividend

Uneven stock splits,  such as GOOG split into GOOG and GOOGL, might add uncertainties to the option price. It is generally advised to avoid holding the option during this kind of stock splits. Dividend might greatly influence the call price of the value of dividend dwarfs the vega. In that case, you should exercise or sell the call to avoid loss. For example, on December 6, 2012, COSTCO issued a special dividend of $7 (7.2% of the share price). The next day COST closed down $5.36.  Holding a COST call option at market close of December 5th 2012 can result in huge lost because of the sizable dividend.

6.  Liquidity Risk

There is much less option traders than stock traders. Thus, there is usually huge spread between bid and ask price. It can easily make a 10% loss if you buy a option and  decide to sell it shortly.

Summary:

1. Investment is a Marathon, not a sprint.

2. Never all in a trade whose Max Loss is 100% and Chance of Max Loss > 0%.

3. To profit from owning an OTM call option,  you need to be on the right side of delta, gamma, vega and theta. You’d better avoid split and dividend.

Are you ready?

 

 

期权风险初探

看到坛子里大家对期权这么感兴趣,早就想把我一些教训和浅见和大家交流交流。今天终于把给合作方的胶片写完,注册了域名,争取能一星期写一篇博客。如果能帮助大家切磋技艺,少走弯路,就善莫大焉了。

读懂期权报价

期待的回报越高,可能性越低,反之亦然。 概率(Probability)和投资回报率 (Return on Investment ROI)总是此消彼长,高回报需要冒高风险,太稳妥是赚不了大钱滴。Out of The Money (OTM)期权可以在瞬间带来几倍,甚至几十倍的回报。但这种小概率事件是普通投资者很难捕捉到,或很难反复捕捉到(有内幕另当别论)。想反, MM们看透了散户一口想吃成一个大胖子,在ER前豪赌一把的心理,肆无忌惮地抬高期权的价格,抵消了卖期权者的风险。关于ER再专文讨论。券商可能会提供 期权或期权组合的Profit Probability, Max Return, Chance of Max Return, Max Loss, Change of Max Loss。是这个样子滴:

SPXW price

这个SPX JUL25 ‘14 1975 CALL有可能上涨N倍,当然N越大,可能性越小。事实上以现在的VIX水平,估算此call上涨一倍的可能性是15.86%。概率分布如下:

SPXW probability

关于概率的算法以后在专文讨论。当您看到Max Loss是100%而且Chance of Max Loss大于0%时就要小心了,这是说如果all in,您有被外婆的可能。这个本周到期的 SPX JUL25 ‘14 1975 CALL有46%的可能一文不值!所以玩期权千万别all in Chance of Max Loss大于0%的position, 可能很幸运这周没外婆,下周没外婆,但碰到要911这样的突发事件想不见外婆都难!

期权风险

童鞋们可能会碰到股票大幅上涨,Call仅微动或纹丝不动的情况。以下以Call为例简单介绍影响期权价格的因素。需要bet 对所有的因素都对了才能盈利!

1. 方向 (delta)

这是唯一和股票相同的地方。一旦方向判断失误,基本不可能盈利。买入股票和Call,如果股票下跌或不动,Call一般都会下跌。

2. 加速度 (gamma)

方向选择正确,却碰到只了慢牛,股票可以慢慢滴hold,但Call等不起。到了Expiration date,如果OTM还没有超过strike,成为In the Money (ITM),对不起,call expire了。

3. 波动性 (vega)

如果原来股票上窜下跳,现在服服帖帖的,vega给期权带来的影响为负值。反之为正。一般ER之后vega都会暴跌,所以很多ER bet了,期权却涨幅不大。

4. 时间 (theta)

时间是唯一一个单方向的影响因子。股票可涨可跌,加速度可快可慢,振幅可高可低,但除非时光倒流,时间只会给期权减值!Expiration day当天,Near The Money 的期权theta都是超级negative, gamma和vega都难以影响期权的价格。

5. 拆股和分红 (Split & Dividend)

不对称拆股,如GOOG拆分为GOOG和GOOGL给期权带来的影响很难预测,尽量不碰为佳。分红会给期权带来很大影响。一般如果能没有足够的资金 exercise, 应该在除息日前一天(ex-dividend day)将 call 卖出。例如:2012年12月6日,COSTCO 发放了$7 (股价的7.2%)特别红利。除息日股票下跌$5.36,如果您没有在ex-dividend day当天或之前卖出,将蒙受巨大损失。

6.  流动性风险 (Liquidity Risk)

期权的玩家远远少于股票的玩家。以此,绝大多数期权都有相当大的ask/bid spread。一买一卖就有可能造成10%以上的损失。

总结一下:

1. 投资是马拉松,不是短跑

2. 永远不要all in MaxLoss 100%且Chance of Max Loss大于0%的position

3. 要bet 对delta, gamma, vega和theta你的OTM 期权才能赚钱,期间最好不拆股,不分红,只涨, 飞快地涨才有的赚

童鞋们,你们准备好了吗?