好的選擇權賣方不會輸錢!

sec2100

https://www.elitetrader.com/et/threads/how-legit-is-options-selling.328866/page-6

In my experience as a professional market maker, I would be extremely confident in assuming 90%> of market making firms are net short vega. If options selling was not profitable firms/traders/myself would cease to exist and liquidity would vanish leaving all of you the inability to purchase options. Being short vega takes an esoteric approach to the market, not directional. If you have convinced yourself selling options is an unprofitable strategy, I will be here to tell you flat out, that you are wrong.

"But what about optionsellers.com?" Those are fucking amateurs, plain and simple. They; have no understanding of risk, had no skin in the game, employed the cheapest, most amateur, laughable strategy known to junior/experienced option traders, also greedy.

EntrepreneurOPs

看準隱含波動率會向上, 自然就Long Vega, 如果看衰隱含波動率, 就Short Vega.  做這樣的交易, 心中要先設定一個基準的波動率 (Benchmark volatility, BEV), 也就是交身員自認為合理的隱含波動率, 低於這個水準的選擇權便可以買進, 若遠超過於此的就可以賣出. 預期獲利的計算方式如下 Vol difference 乘以 Vega 乘以 Contract size. ATM options的Vega較大, 所以即使ATM options的 vol看起來沒有最好, 但獲利卻可能最高. 而極度的OTM或ITM的options就算隱含波動率偏離得嚇人, 但若Vega很小, 也是賺不到大錢. 如果要run一個很大的Vega的交易部位, 其實一樣低於BEV的選擇權就買進, 高於BEV的就賣出, Delta不平衡的就用期貨來調整. 若不想押隱含波動率的方向, 只想賺各個合約及不同時點間, 隱含波動率差異的蠅頭小利, 則可以透過合約數量的調整, 讓Vega的exposure很小. 這就是造市者最主要的獲利來源

sec2100

EntrepreneurOPs 發表於 2019-1-20 08:39
看準隱含波動率會向上, 自然就Long Vega, 如果看衰隱含波動率, 就Short Vega.  做這樣的交易, 心中要先設定 ...

文中第四行的第二個ATM是不是要改成ITM?

EntrepreneurOPs

sec2100 發表於 2019-1-20 08:48
文中第四行的第二個ATM是不是要改成ITM?

謝謝訂正筆誤
已改正

benjamin

EntrepreneurOPs 發表於 2019-1-20 08:39
看準隱含波動率會向上, 自然就Long Vega, 如果看衰隱含波動率, 就Short Vega.  做這樣的交易, 心中要先設定 ...

感謝分享

chillershen

感謝，吸收了。

EntrepreneurOPs

像劉大說的: 先把目標設為 [不輸錢], 最後才能賺到錢

sec2100

EntrepreneurOPs 發表於 2019-1-21 20:32
像劉大說的: 先把目標設為 [不輸錢], 最後才能賺到錢

謝謝自營家。