標題: 美股選擇權
ALLANLIN
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發表於 2012-8-26 16:24  資料 私人訊息 
美股選擇權
最近有ㄧ本書介紹以美股選擇權做賣方,先以 sell put,若拿到股票
再以 covered call
號稱月月收權利金 2--3%
請教,有買美股同學,有這麼好康嗎?
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QUOTE:
原帖由 ALLANLIN 於 2012-8-26 16:24 發表
最近有ㄧ本書介紹以美股選擇權做賣方,先以 sell put,若拿到股票
再以 covered call
號稱月月收權利金 2--3%
請教,有買美股同學,有這麼好康嗎?

沒看過這書,所以只能從自己的經驗回答,我的作法是找預期報酬率高,但尚未跌到購入價位的股票來研究要不要賣put,賣put的gain對我是short term capital gain,稅率會比較高,而且要一兩個月搞一次,有些煩瑣。

每月2-3%權利金現在大概是有的,但是因為現在VIX很低,要在市場覺得有風險的股票上才會有,
舉例而言,CIG March 16, 2013 strike price $10就好像有2-3%權利金。 但是好像是因為option market, liquidity不那麼好,成交量有時是沒有的。

這方法的我看到的一個風險是如下:
Let's say we write, CIG March 16 put with a strike priceat $10 for $0.3. There are several scenarios that could happen,

1) CIG closes on March 16th at $10.01 or above, we pick $0.3 up. 3% for half month, not bad! I think this is what
the book is telling people to do.
2) CIG closes on March 16th at at $9.99 but higher than $9.7, stock got put to us, but since we received $0.3 up front, you make money.
3) CIG closes on March 16th at a price <$9.7, then we lose money "temporarily."
Now scenario 3 has 2 sub scenarios.
3a) let say CIG close on March 16th, not so much below $9.7.  Let say $9.5.  Then we can try to sell covered call to make it back.
3b) How about CIG closes at $8 per share on March 16th? Since we paid $9.7 for the stock,
now we have to write quite covered calls for 5-6 times to just earn the money back.  If the much lower price is not due to the general market becomes lower but due to company specific issues, we probably can not make the money back.
Here (senario 3b) lies the real risk!

To reduce the company-specific risk, we can try to do this on SPY or QQQ.  However, with the low VIX nowadays, I don't think we can get 2-3% a month even if we are lucky and that these ETFs were to be never put to us.

For this reason, I would only write puts when I am willing to buy the stock at the strike price for the put.

現在VIX很低,幹這個比較沒搞頭。


說到VIX很低,interest rate 現在也很低,結果LEAP也變得很便宜。
BRK-B 收盤101.21,
BRK-B LEAP Jan 2015 strike 45, bid 55.25 ask 57.8,
假如買在57.8,借錢投資的年利率是~2% per year
假如買在56.55 (~mid point of bid and ask),借錢投資的年利率是~0.3% per year。
This is much better than borrowing margin loan to invest.
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QUOTE:
原帖由 ALLANLIN 於 2012-8-26 16:24 發表
最近有ㄧ本書介紹以美股選擇權做賣方,先以 sell put,若拿到股票
再以 covered call
號稱月月收權利金 2--3%
請教,有買美股同學,有這麼好康嗎?

可以提書名嗎?  巴菲特也做option.  See the story below.
http://www.investopedia.com/stock-analysis/streetauthority/thedifferencebetweenwarrenbuffettandyou.aspx?partner=YahooSA#axzz2I4Tdx4Qz

QUOTE:
You don't have to be a billionaire guru to benefit from this strategy -- you just have to act like one. You say you wouldn't touch them with a ten-foot pole? You're not alone.


In a 2011 survey, securities broker TD Ameritrade (NYSE: AMTD) found that more than three-quarters of "buy and hold" investors have never bought or sold stock options.


The reasons? "Too risky," according to a third of the respondents. Twenty-five percent said they "don't need them," and another 23% admitted they "don't know how they work."


Yes, stock options can be risky, but so is investing in Apple (Nasdaq: AAPL). And, no, stock options are not necessarily "needed" by everyone -- only those investors who want to reduce exposure to market volatility, preserve capital and, yes, generate income.


Take Warren Buffett, for example.


The King of Buy and Hold first bought stock in Coca-Cola (NYSE: KO) in 1988. At the time, Buffett said he expected to hang on to the shares of this "outstanding business" for "a long time." Today, Coke is Buffett's largest holding. As of September 30, the Oracle owned 400 million shares of Coke, valued at $15.2 billion -- a fifth of his equity portfolio.




We'll show you how to turn $1k to $10k - 100% free!  



But Buffett is not the type of investor who'll buy shares of a favored company at just any price -- not even Coca-Cola.


The world's greatest investor is a bargain hunter. If Buffett likes the company but believes its share price is too high, he'll wait until the market "cooperates" by correcting lower before he'll buy shares.


And that's where options come into play.


In April 1993, Buffett's beloved KO was trading at about $39 a share (before two splits) -- a price he regarded as too expensive at the time. But did the self-made billionaire let his cash sit idle while waiting for a downturn? Not a chance.


Buffett employed an options strategy that in this case earned him income of $7.5 million -- all without buying or selling a single share. Here's how he did it...


After determining that $35 would be a reasonable entry point for KO, Buffett wrote 5 million put options with a $35 strike price. A put is an option contract that gives the owner the right, but not the obligation, to sell 100 shares of the underlying stock at a specified price (which is known as the "strike price" -- in this case $35). In exchange for writing the puts, Buffett in this instance received a premium of $1.50 a share from the buyers of the puts. (In options, the premium, or cost, is determined by such factors as the stock price, strike price and time remaining until expiration.)


If KO were to fall below $35 the buyers of the options that Buffett wrote would exercise those options and sell their shares to him. In other words, Buffett would be obligated to buy KO at $35, which is precisely what he wanted to do in the first place.


If KO instead were to rise during the life of the contract, the owners of the options wouldn't exercise them. They'd let them expire and Buffett would simply pocket the $7.5 million premium ($1.50 X 5 million shares). And that's just what happened -- Buffett received $7.5 million in instant income for the opportunity to buy shares of KO at $35 each.


The best part: You don't have to actually be a billionaire guru to benefit from this strategy -- you just have to act like one.




Action to Take --> My friend Amber Hestla, an options strategist at ProfitableTrading.com, a StreetAuthority sister site, is putting the finishing touches on a report that details who should (and shouldn't) try these strategies and answers nine other commonly asked questions about boosting income with options. If you'd like learn more about generating income using options, then simply click here and tell us where to send the report.


And be sure to check StreetAuthority.com tomorrow, where we'll republish my exclusive interview with Amber from StreetAuthority Insider, a free publication that all paid-up StreetAuthority newsletter subscribers receive at absolutely no additional cost.

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發表於 2013-2-28 07:58  資料 文集 私人訊息 
Buffett's KO put selling is quite well known. I think I read it in one of Timothy Vick's book about Buffett years ago.

However, I have not heard that Buffett writes covered call. In the KO case, he was expecting a much higher price, it would seem to be counter-intuitive to write covered calls-- risking having KO stock being called away.

Yes, I am just copying Buffett shamelessly.  
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QUOTE:
原帖由 shyang1620 於 2013-2-28 07:58 發表
Buffett's KO put selling is quite well known. I think I read it in one of Timothy Vick's book about Buffett years ago.

However, I have not heard that Buffett writes covered call. In the KO ca ...

Yang-san:

1. Buffett wrote put contracts (while he actually owns nothing of KO, correct?) based on the story I posted.

2. I have tried only buy/sell call or put option, but never actually write put contract.  I think it is worth trying out.
Question remains is that do I actually need to own any shares before writing the "put" contract?
Based on the story, it seems that Buffett did it without owning any KO.
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QUOTE:
原帖由 King818 於 2013-2-28 08:08 發表


Yang-san:

1. Buffett wrote put contracts (while he actually owns nothing of KO, correct?) based on the story I posted.

2. I have tried only buy/sell call or put option, but never actual ...

King-san

Right, it is just a way for him to buy KO.

Let's say we want to buy CIG at 10 and not at 12.
If we write 1 put contract, at $10 for $0.3. We will have to put up $10*100=$1000 as collateral.
If the 100 CIG shares are put to us. then we essentially buy 100 shares of CIG with $1000-$30=$970.
If the put contract expired without the stock being put to us, then we earn $30 on $1000 collateral over 16days!

If we are very sure that we are willing to pay $10 for CIG, then yes, either case, are ok.  This is a "head I win, tail I don't lose situation."

We could put an buy order at $10, but then if the stock price never dips there, we tied up $1000 for 16 days without anything to show, or very little to show.

KO is a company without much business risk. Doing this on KO makes great senses.
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QUOTE:
原帖由 shyang1620 於 2013-2-28 07:37 發表

沒看過這書,所以只能從自己的經驗回答,我的作法是找預期報酬率高,但尚未跌到購入價位的股票來研究要不要賣put,賣put的gain對我是short term capital gain,稅率會比較高,而且要一兩個月搞一次,有些煩瑣 ...

Dear shyang san:

Thank you very much. It is so kind of you.

I will try  your etf stragetgy.

I am very happy to learn another ways to    have passive income.

Thanks again.

[ 本帖最後由 ALLANLIN 於 2013-2-28 11:48 編輯 ]
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QUOTE:
原帖由 shyang1620 於 2013-2-28 08:29 發表


King-san

Right, it is just a way for him to buy KO.

Let's say we want to buy CIG at 10 and not at 12.
If we write 1 put contract, at $10 for $0.3. We will have to put up $10*100=$ ...

The takeaway for this strategy is:

Point 1:

QUOTE:
當你發現好資產,但是股價高於你設定的合理價格,你可以操作Nake Put,以打折的方式買到好公司

Pont 2:
機會成本 -- 不必閑置資金去等待合理價格.  隨時可主動出擊練兵!
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發表於 2013-2-28 14:52  資料 私人訊息 
個人覺得會選上巴菲特的方法主要是要賺很多空閒的時間
如果還有時間去玩選擇權
還不如多看一些心靈成長的書

大部分的零和遊戲來得快 去得也快
沒聽過有零和遊戲玩到成為世界首富的
但卻有抱自家股票的大股東富可敵國

個人寧可多一點時間去心靈成長
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發表於 2013-2-28 17:21  資料 主頁 文集 私人訊息 
要幫別人的課程打廣告之前,
請先到對方的部落格打巴菲特班的廣告再回來,
禮尚往來才算規矩 !!
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QUOTE:
原帖由 mikeon88 於 2013-2-28 17:21 發表
要幫別人的課程打廣告之前,
請先到對方的部落格打巴菲特班的廣告再回來,
禮尚往來才算規矩 !!

Yes!
另一方面,巴菲特班已經相當有名,不知者誤以為別人的課程有巴菲特班背書就更不好了。
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發表於 2013-2-28 17:52  資料 主頁 文集 私人訊息 
是的,我正擔心這一點。
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發表於 2013-2-28 18:02  資料 主頁 文集 私人訊息 
選擇權浮存金

From: mikeon
Sent: Wednesday, March 18, 2009 7:46 PM

Fitch調降波克夏評等的原因,是它涉入太多的衍生商品
巴菲特在2008年報解釋,為何會去玩指數選擇權,

跟人對賭未來10-20年指數會比去年底高
因為可藉此先獲得一筆權利金,稱為「derivatives float」

(選擇權浮存金)

老巴認為最後會輸錢的機率很小,因為
1. 保留盈餘會讓上市公司的盈餘上升,

在20世紀,道瓊指數因此漲了175倍
2. 用選擇權浮存金去投資,報酬率也不用太高,

0.7%的年複利, 即能cover指數的下跌

不過,短期因指數下跌,須提列損失,
會計上用Black-Scholes公式來評價衍生商品
這條公式的缺點是震盪幅度很大,

在下跌時很容易高估損失

我的疑問是,

如果是穩贏的,為何別人會跟他玩 ?


From: youran Liang

Sent: Thursday, March 19, 2009 8:47 AM

應該沒什麼好疑問的吧
當沖 95% 賠錢,期貨、選擇權 90% 賠錢,

還不是一樣有很多人喜歡玩
巴菲特思考後覺得沒有什麼風險才投入交易,

但其他人可不一定會認真思考

-------------

波克夏所進行的選擇權交易
最好的情況則是波克夏免費得到了 49 億美元
最壞的情況是指數全都跌到0

(選擇權浮存金有大約 15%
的年複利報酬率就能cover)

先不說跌到 0 的機率幾乎是不可能
就算跌到 0,

波克夏要承擔這些損失好像也不怎麼困難
至少在我看來,
這些交易的勝率很高,風險也在可控制的範圍
雖然機率上不能說穩贏,

但我認為至少是非常不錯的交易

如果是我
大概要1.對未來非常悲觀。

2.大筆現金在手。3.有進行風險轉嫁
才敢跟巴菲特賭 10 幾年後的指數吧

其實我比較想賭 10 幾年後老巴還在不在,
贏了有錢拿,輸了也高興

(表示還有精采的波克夏年報可以看)




From: 蘇政謙
Sent: Thursday, March 19, 2009 9:39 AM

我的想法是
巴老是賣出幾個期間介於10~20年的指數賣權,
這個賣權在學理之所以有價值是因為離到期日還很長,
所以有時間價值(定義詳下說明)

至於誰會買這個賣權??
我認為符合以下幾個條件的人會買:
1.持有大量股票想抱個10~20年的投資人

e.g公司大股東
2.不論持股是單一個股還是好幾種股票,

其持股的波動度與大盤指數接近
3.想規避持股在未來10~20年股價下跌的風險

去買衍生性商品避險就像我們買保險一樣,

雖然我們付了保費但其實不希望未來理賠,
因為一旦理賠就代表不好的事情發生,
所以會去買巴老發行的賣權的投資人
其實也不見得希望未來可以履約,
除非他從賣權的獲利可以cover持股股價下跌的損失,
但這不太可能發生,
就像我雖然預期這輩子工作到退休收入大概有2,000萬,
但我的保險保障卻只有800萬,
因為買2,000萬保障所需的保費太貴了!!!

資料來源:

http://www.pfcf.com.tw/front/bin/ptlist.phtml?Category=100153
在權利金之中,除了內涵價值外,
其餘的部分就是時間價值。
這部分的價值將隨時間而遞減。
價內的時間價值最大,
價內或價外越深的選擇權,時間價值越小。
它在權利金中所佔的比重和價內價外的程度
還有距離到期日的時間有關。
當履約價為價外時或價平時,內涵價值為0。
當履約價為價內,買權與賣權的計算方式不同

買權:
內涵價值=標的物目前市價—履約價格

賣權:
內涵價值=履約價—標的物目前市價

時間價值=權利金 - 內涵價值


From: 黃欽宏

Sent: Thursday, March 19, 2009 10:06 AM
有趣的是,老巴也擁有大量的股票,
但他選擇當賣權的賣方(sell put),而非買方…

10~20年的選擇權非常貴,
選擇權的買方在契約初期就要付一大筆錢,
荷包會大縮水
實務上避險不會用這麼長期的契約,

了不起是用1~2年的,
到期前再看看要不要續約

老巴做這個交易的動機不難猜,

但他的交易對手的動機就難猜了



From: 蘇政謙
Sent: Thursday, March 19, 2009 10:34 AM

呵呵,我之前舉的例子只是簡化版,

方便同學們瞭解衍生性商品可以是一種保險,
而非僅是媒體妖魔化的投機商品,金融風暴的元兇...

實務上巴老的這批賣權可能會先賣給某一家投資銀行,

比方高盛,
高盛付給巴老49億美金, 再由其交易室
用模型將長天期的選擇權分成市場上熱門的
短天期選擇權
比方欽宏兄說的1~2年期的合約,
再拋給市場上的各式各樣的投資人,
假設賣了52億美金,
則這一系列交易的報酬率就約當6%

上述交易,高盛要負擔的就是模型與現實不符的風險,

這種交易型態就是過去十年華爾街金融機構
盈餘能快速成長的主要動力,
但當市場走勢劇烈波動時,
就很容易出現模型與現實走勢相反的情形,
因此造成金融機構鉅額的虧損
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發表於 2013-2-28 18:03  資料 主頁 文集 私人訊息 
不認同buffett的derivatives game

From: Chris L.
Sent: Friday, March 20, 2009 5:29 AM

政謙 兄這個說明有點不對吧...

(前面幾個同學的觀念也好像....)
1.option 跟 forwards, futures 一樣吧,

當老巴把put option 賣出之後,
在金融市場就是自由買賣的商品
老巴的put option是以四大指數為標的,

那每天的指數的變化,就影響option的price,
在市場自由的買賣
所以沒有人會長期持有20年option到真的20年,

通常都是進入市場直接交易option的,賺取利差
也不需要所謂賣給某大卷商,

再用什麼module來run 什麼什麼....
通常會如此做的,都是很複雜的commodities,

如用幾個put 配上幾個call,
包裝成一個商品等等(以此類推)

2.option 通常不會realized的,理由很簡單,

option 越到履約日的時候,
他在市場上的price 越接近realized後的獲利。
(就是約定價-市場價),
這時option的持有人已經達到獲利,
所以不需要兌現。 (這個可能大家會想很久ㄡ)

我倒是覺得很奇怪,

為什麼老巴要涉入option這種東西...
看到同學的理由,還是覺得不對
1.沒有人可以準確的預測某個時間點的股市。

(偉大的費雪先生在1929年10月15號,
距離美國大崩盤的時間一週左右的時間,
還發表股市多頭消息)
2.為什麼buffett使用B &S的公式

來做mark to market的計價,
而不直接採用市場的價格
(這樣才是mark to market 的精神,
當option上市的時候 一開始的計價
是用B&S的option price 公式。)
3.這次,buffet使用了option price,

先賺了現金(free cash),
但是很明顯,卻賠了盈餘(profit),到底那個好呢??

我還是不認同buffett的derivatives game.......


From: youran Liang
Sent: Friday, March 20, 2009 8:32 AM

是這樣嗎?
1.現實中的確是如此,

但難道不能視所有賣權的買方為一個整體看待嗎?
2.如果履約後有獲利的話,表示指數低於履約價,

那怎麼不會實現?
難道最後一個接手的都是笨蛋?
若不是買了無利可圖的東西,
就是有利可圖卻不履約白白送錢)

關於Chris L桑的疑問:
1.歐文費雪是著名的經濟學家沒錯,

但我原本以為只有大蕭條前的美國人會覺得他偉大。
我想老巴應該也沒有打算要準確預測吧?
(至少我是看不出來)
2.我看了年報還以為這種計價方式是普遍被使用的,

難道不是?
3.他並沒有實際賠了盈餘。要是我取得一筆現金,

且最後獲得豐厚報酬的機率大到某個程度,
但是代價是要在我連續幾年的損益表上顯示我賠很多錢,
為什麼我要拒絕?


From: 吳百正
Sent: Friday, March 20, 2009 8:51 AM

我來越廚代庖一下:
1.巴菲特賣的PUT應該是OTC商品,

並未於交易所掛牌交易,
故並無活絡市場之成交價格可供參考。
在會計原則來說,是允許用B-S模型來評價的。

2.我想你說的「實現」應該是指「履約」吧?

在活絡市場交易的選擇權是比較少有履約之情形,
因為履約只能拿到內含價值,
但在市場上賣除了內含價值之外,
還可以有時間價值可以收,
一定比較有利 (但仍有例外,例如深度價內的歐式PUT)。
但OTC商品,因為無活絡的市場,除非提前解約,
否則通常還是會持有到履約的。

3.關於巴菲特買的這個超遠期的PUT,

我只能說他是個無可救藥的樂觀者。
不過光是通貨膨脹的因素,
廿年應該就可以提供巴菲特相當有利的保護。


From: Chris L.
Sent: Friday, March 20, 2009 9:07 AM

是這樣嗎?
1.現實中的確是如此,

但難道不能視所有賣權的買方為一個整體看待嗎?

??不太了解意思呢?? 跟我講的沒有衝突吧!!

2.如果履約後有獲利的話,表示指數低於履約價,

那怎麼不會實現?
難道最後一個接手的都是笨蛋?
(若不是買了無利可圖的東西,
就是有利可圖卻不履約白白送錢)

很簡單,賣方直接贖回就可以了

(在本案的苦主是Buffett先生),
大家可省去一大筆交易費
在現實的市場就是如此。

關於Chris L桑的疑問:
1.歐文費雪是著名的經濟學家沒錯,

但我原本以為只有大蕭條前的美國人會覺得他偉大。

這樣子啊 ! 那些豬頭經濟學家,

還有財政官員現在還在用MV=PQ這個公式...難怪....
我想老巴應該也沒有打算要準確預測吧?
(至少我是看不出來)
2.我看了年報還以為這種計價方式是普遍被使用的,

難道不是?
3.他並沒有實際賠了盈餘。要是我取得一筆現金,
且最後獲得豐厚報酬的機率大到某個程度,
但是代價是要在我連續幾年的損益表上顯示我賠很多錢,
為什麼我要拒絕?

其實buffett利用option
這個簡單的derivatives來做財務槓桿,
可以利用interest rate, inflation rate 及tax上
來或取利益呢..
很聰明的作法.....(think about it ...)


From: 蘇政謙
Sent: Friday, March 20, 2009 10:02 AM

百正兄回答的很好,感恩阿....
另外補充一下,

通常會在交易所買賣的選擇權通常天期都比較短,
像老巴這種10~20年的,確實不常見

之前有提過我對這類交易的想法,

老巴也自知可能無法親眼看到這批option到期的狀況,
但就像前陣子跟避險基金業者作一個長期的賭約一樣,
他希望用這類的交易來引起媒體話題及教育投資大眾,
當這批option及賭約到期,印證了他的看法是對的時後,
老巴可能在天堂上看著大家,口中喃喃自語說:

"I told you so long time ago...."


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發表於 2013-2-28 18:07  資料 主頁 文集 私人訊息 


QUOTE:
原帖由 ALLANLIN 於 2012-8-26 16:24 發表
最近有ㄧ本書介紹以美股選擇權做賣方,先以 sell put,若拿到股票
再以 covered call
號稱月月收權利金 2--3%
請教,有買美股同學,有這麼好康嗎?


選擇權當賣方?
風險不會無限大嗎 ?
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