選擇權賣方常常要想買便宜的保險

Jim

If you do credit spreads and lever up, it's true your loss is limited but the volatility of your pnl is too large (because you are levering on the volatility of the underlying).

Hi, 劉大
1. 這一段不懂...為何 credit spread 的 pnl 會波動較大? 莫非是這一字眼" lever up " 增加槓桿 ?
2. 看來 newwurldmn 是裸賣的愛好者，10 put 之後又加 5 put ...。
3.

No vol seller gets away clean and the only way to survive is to have fewer chips on the table so you have more chips for the next hand.

從這一段話中看到他應該是用資金部位來做風險管理，但 130000 的資金，月目標0.5%，只用10 put ，每1 put 要負責65 USD...不是很熟 SPY 的價位。
轉成TXO來說, 130K USD 約等於 4M NTD, 月目標 4M*0.5%=20K，賣 10 口 Put 怕是賺不到的...，但是增加口數又違反以資金部位做風險管理的rule....
以上是我的理解，或許劉大有更好的看法能轉為 TXO 的實踐作法。

Jim

對了..如果說5萬一口賣方，4M可以做80 put , 等於1 put 負責250 NTD ...( 20K/80=250 )
似乎可行。

Jim

Conditions
1. 14-22 DTE ( days to expiration ) 在 TXO  ( taiwan exchange option )
2. 目標淨收10點
3. 要有價差保護

嗯...這很難下在優雅的位置...

Jim

劉大，
你這篇貼文裡的 MJ888
1. 也是作遠月的
2. 也說這樣賣很無聊的，但可獲利
3. 也長久獲利 ( MJ888 留言時已9年 )



MJ888
May 13, 2012

~I have been profitable every year since 2003.
~  I like to sell far out of the money strikes using farther months (60, 90, or even more days until expiration).
~ When I started selling options, I sold a lot of far out of the money, farther month ES ratio credit spreads. Sounds boring? Yes, usually they are very boring but profitable. Because of sky high margin requirements on ES these days, I have decided to trade something else to give me a better return on margin used.