SPX、SPY、ES選擇權

wind

請問大家，我用 interactive broker 交易 SPX 週選擇權，只能看到買賣各 1 檔，
這是什麼原因，如何才能看到多些檔數，跟 market data 訂閱有關嗎？
若是 , 該訂閱什麼 ? 感謝

sec2100

該問題很棒。

可以直接在開盤期間問IB的線上服務人員，你可以打中文，他們會用中文回答。或是在台北時間白天打到香港，一樣有說普通話的人回答。我想如果有買market data的話，至少是即時的。但是，聽說，如果你用群益期貨的看盤系統，一樣也可以看到spx的即時盤。用群益的系統，下IB。或是用TD Ameritrade的即時系統，下IB，不知道可不可行?

交易SPX，是真的高手。以目前SP的指數在2500左右，乘上50為125000，賣一口Put需要的保證金至少在10%以上，為12500元，換成台幣為375000元。

sec2100

A few comments:
1) SPX is 10X SPY (good for commissions)
2) SPX is European style (Good: no early assignment)
3) SPX spreads are wider (not so good, but should not be huge issue).
4) SPX is index and has no discrete point Dividend action (good).
5) With SPY you can trade the underlying to manage your position, but you are unable to directly trade SPX underlying -- buy 10SPYs or 2 ES's, but still not directly comparable)

A side note: typically SPX also has exchange fees that may impact your commissions (TDA eats these for most cases, so you should double check your case) Exchange fees are typically an additional 65cents (guesstimating from poor memory) - so may swamp your expected transaction costs. --

sec2100

關於SPX的周選:

http://www.cboe.com/products/sto ... eeklys-options-spxw

sec2100

相關討論

https://www.elitetrader.com/et/t ... rading-them.323321/

sec2100

I guess you could buy and hold, or trade, UVXY and make money - but it’s always about timing. If recession doesn’t materialize soon enough then you’d lose due to decay. But possibly a good alternative could be to buy and hold LEAP SPX or SPY options: puts or put spreads or butterflies, where you can at least control what level of SPX you’re aiming at and then just wait until it gets there.

With UVXY you just can’t visualize where it will be and what your P&L may be when SPX hits 2000, for example. But with SPX LEAP puts you have pretty good control of the SPX price level, time, and P&L - for example when buying a 2500-2400 put spread for 2021, you can figure out exactly how much money you’d make.

Btw, look at how VXX and UVXY behaved last December, how/whether you’d make money, and how much “better” you could do if that downtrend continued consistently for couple more weeks (which may not happen during a recession anyway, as things may be just shaky for a year+).


https://www.elitetrader.com/et/t ... g-recession.336827/

sec2100

spx的乘數是100，下方是其規格說明:

http://www.cboe.com/products/sto ... x/spx-options-specs

sec2100

https://www.elitetrader.com/et/t ... span-margin.339215/


問:
I have to choose between /ES Futures Options and SPX Options. I am trying to see where leverage for options is more? In Portfolio Margin for SPX or SPAN margin for /ES Options?
I trade with TDAmeritrade.



答:
CME SPAN Margin vs OCC PM margin will not be the determining factor. It will the house risk that your broker allows. You should give their risk team a similar portfolio in ES and SPX and ask them for the house requirement. Remember to use double the size for ES as it is half the contract size. Do you really want to push your margin that far? Are you a naked option seller?

補充:
Recommend heeding Robert's advice on which has more leverage, but note that TDA's fees for Futures Options greatly exceed those for SPX options. (perhaps not your primary concern, but was about 6X last year for equivalent size. (more like 3X with the new January fee structure)

sec2100

WIND，你現在還有在IB交易SPX嗎?