LJM保守型賣方基金崩裂的原因探討
一家歷史最悠久，績效最透明的選擇權賣方基金崩壞的原因探討:
https://www.elitetrader.com/et/threads/ljm-preservation-and-growth-fund-collapsed-by-82-percent-wtf.318065/
Mav,
You have been around for a long while, but have you seen prices Monday night to Tuesday morning ???? They were absolutely insane. On Friday when we hit lowest 5 point away from Tuesday night, option prices where moon away from what went went on Tuesday night. No one EVER saw anything like this. Think about it, I was able to sell S&P put option expiring in 4 days, 1000 points away from strike at 9 points. This was utter madness.
相當於台指期在10000點，還有四天到期的周選，履約價在6000點的賣權，報價36點。
頁:
[1]