LJM保守型賣方基金崩裂的原因探討

sec2100

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/t ... percent-wtf.318065/

sec2100

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。