sec2100 發表於 2019-4-14 20:48:06

gamma and theta trading和其他選擇權交易的危險事

https://seekingalpha.com/article/4254075-gamma-scalping-101-gamma-theta-trading

sec2100 發表於 2019-4-14 23:20:40

The main reasons for this distribution are:

On the long term, institutional investors buy long-dated puts, lifting up the long lower strikes and all the back of the term structure.
Other investors sell upper calls in covered call structures or collars (they lose upside gains, but add a yield of option premium to their portfolio). In both cases, these trades cap the medium-to-long upper strikes.

On the short-term, wing options (small puts and small calls which are way out of the money), are priced in pennies. Paying an extra penny doesn’t cost much to your bank account, for the benefit of a large gain should the stock suddenly go up or down. This is why small options tend to have higher volatilities. Much more on that later.

As a result, longer-dated options tend to be more expensive than shorter-dated options. The term structure (implied volatilities of ATM option as a function of maturity) tends to be sloping upward.

This being said, while long-term volatilities are slowly moving, short-term volatilities change much faster, and the short term of the curve frequently has an ‘inverted’ shape.
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