重點整理:
1. spread trading is sophisticated
2. volatility spreads involve studying volatility relationships and creating spreads based on mispriced volatility
3. probability theory is only valid over many occurrences (or long periods of time)
4. spreading strategies take advantage of
a. laws of probability: hold option positions over long periods of time
b. protecting the trader against incorrectly estimated inputs into the theoretical pricing model
5. options trader prefers to spread for the same reason that the casino prefers the bets to be spread around the table
6. spreading maintains profit potential but reduces short-term risk
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我的理解:
現行通用來計算選擇權理論價值的是 B-S pricing model, 它的輸入變數包括 --- 結算日期. 利率. 指數. 波動率...等 (也就是文中所提estimated inputs into the theoretical pricing model), 這B-S model的計算公式裡應用到 [對數常態分配], 所以作者所謂的機率指的就是這 [對數常態分配]. 作者主張creating spreads based on mispriced volatility, 這mispriced說的是選擇權市價和理論價的差值, 買進那些市價比理論價低的契約, 而賣出那些市價比理論價高的契約, 如此來組成價差交易 (spread)