選擇權賣方常常要想買便宜的保險

sec2100

am not sure what "net seller" exactly means. If someone trades term structure only (calendars of some sorts), is he a net seller or a net buyer? Even saying "net sellers of risk premium" does not say enough, though it says more.

From what I have seen, the guys who do really well over time are guys who do both, intelligently sell and buy risk premium. This does not mean that you could not retire selling vol if you have started doing it in 2001, but if you have picked a random point in time and ran a book for 10 years, your "bootstrapped" performance would not have been stellar (read - you would have blown up).

My model has always been to sell rich risk premium and protect myself with the cheaper one. Or, if I can find cheap risk premium, it's all the better.  I do think that for someone with a small account the balance should be more toward selling risk premium (it is much easier to find overpriced capacity-constrained vol), but for anyone trading reasonably sized book it's not true any more.                                         

May 12, 2012


資料來源: SLE/elitetrader.com

sec2100

Most option sellers I dealt with as a market maker did not fare well (I can't imagine how you could have done well being short any risk premium in the Fall of 08). I do like selling vol myself, but on a very select class of assets where vol is unreasonably bid and I have some many other long risk premium bets on that it's a small line on the total set of strategies. The short convexity aspect bothers me too much to do it as a main business - you eat like a chicken and you shit like a pig.

May 13, 2012

SLE, elitetrader.com

sec2100

以下為newwurldmn在ET的發言。發言時間在2012年5月15日。這位仁兄在ET的發言頗有可看性。他說，賣方的報酬率設定為一年5-6%。同時，他選擇賣的Put是權利金相對於一口現貨的市值約0.5%。當然，在台灣，你要賣0.5%的Put，在10000點時，你要選擇報價50的Put來賣，一定不是很價外，還蠻危險的。所以，在現在的環境下，難度不低。所以，賣方現在絕對不是一件說保守又可以賺很多錢的事業。

朋友，好好享受下面的發言吧，很短。
  

I meant 5-6%/year.

If I had 130,000 in cash. I would sell 10 puts on the spy every month that's 50bps in premium: so the june 123 put. I haven't done any test on this strategy. But it seems to me that historically a short vol strategy is worth 5% return with managable risk. If you do credit spreads and lever up, it's true your loss is limited but the volatility of your pnl is too large (because you are levering on the volatility of the underlying). Here you are aren't levering on that. Additionally you could sell 5 puts for 1% premium a month and then you have delevered your position more.

If you don't have the capital to do this, then you probably can't do your strategy consistently because you will have a drawdown at somepoint. No vol seller gets away clean and the only way to survive is to have fewer chips on the table so you have more chips for the next hand.

jason0728

謝謝老師 無私分享

Jim

If you do credit spreads and lever up, it's true your loss is limited but the volatility of your pnl is too large (because you are levering on the volatility of the underlying).

Hi, 劉大
1. 這一段不懂...為何 credit spread 的 pnl 會波動較大? 莫非是這一字眼" lever up " 增加槓桿 ?
2. 看來 newwurldmn 是裸賣的愛好者，10 put 之後又加 5 put ...。
3.

No vol seller gets away clean and the only way to survive is to have fewer chips on the table so you have more chips for the next hand.

從這一段話中看到他應該是用資金部位來做風險管理，但 130000 的資金，月目標0.5%，只用10 put ，每1 put 要負責65 USD...不是很熟 SPY 的價位。
轉成TXO來說, 130K USD 約等於 4M NTD, 月目標 4M*0.5%=20K，賣 10 口 Put 怕是賺不到的...，但是增加口數又違反以資金部位做風險管理的rule....
以上是我的理解，或許劉大有更好的看法能轉為 TXO 的實踐作法。

Jim

對了..如果說5萬一口賣方，4M可以做80 put , 等於1 put 負責250 NTD ...( 20K/80=250 )
似乎可行。

sec2100

對。lever up是加大槓桿。
400萬要賺2萬，我相信在台灣，沒有人能辦的到(太少了)
但如果有人能夠將慾望降的那麼低，那一定是顏回第二。
我目前是1000萬，一個月賺錢的目標是5-8萬，其實我蠻接近顏回了，哈哈。
基本上，我會選標準型的月選(離到期日約14-22天)，然候賣100-150口(會分二到三批進場，下單時間分散、履約價分散，以達到diversification的一點效果)
價差保護，淨收10點
這樣就可以達到我的目標
當然，隨著盤勢的變化，可以進行必要的調整

但過去五年我都不是做標準型的月選，而是做遠月選+周選+中間月份再避險
未來可以慢慢會回到月選的世界

Jim

Conditions
1. 14-22 DTE ( days to expiration ) 在 TXO  ( taiwan exchange option )
2. 目標淨收10點
3. 要有價差保護

嗯...這很難下在優雅的位置...

Jim

劉大，
你這篇貼文裡的 MJ888
1. 也是作遠月的
2. 也說這樣賣很無聊的，但可獲利
3. 也長久獲利 ( MJ888 留言時已9年 )



MJ888
May 13, 2012

~I have been profitable every year since 2003.
~  I like to sell far out of the money strikes using farther months (60, 90, or even more days until expiration).
~ When I started selling options, I sold a lot of far out of the money, farther month ES ratio credit spreads. Sounds boring? Yes, usually they are very boring but profitable. Because of sky high margin requirements on ES these days, I have decided to trade something else to give me a better return on margin used.

sec2100

Jim，你研究的還真仔細。

在elitetrader.com中，比較有聲望或是發言比較有內容的名字有:

Maverick74(elitetrader.com的看板人物，他本身很推薦backspread，但對很價外選擇權的積極賣方多有指摘)
sle
i960(他非常喜歡賣atm的選擇權，他很不喜歡人家賣太多otm的選擇權，gamma風險太大)
atticus
newwurldmn
opt789
stardust9182(他有點自大)
riskarb
drownpruf
martinghoul
MJ888(他主要是交易原物料期權)
iconchef(他交易op的時間不長，但發言蠻有內容的)
stymie(他蠻喜歡交易asian time zone的期權)
optioncoach(發言活躍於2005年)
vanzandt(是一位醫生)
galvinlee888
LuisHK(不太確定我的拼字對不對)
marketsurfer(這傢伙是爭議性人物，住佛州，認識尼德赫夫)
Gotcha(倡儀玩op真的不能投入太多本金，不要玩過頭)
Scataphagos
Robert Morse (MM)，他交易選擇權大約也超過20年，很資深)
stevegee58
Windlesham1
trader666
ktm
vixtrader
sig
xenomorph(標準反派角色，對選擇權賣方非常不屑(你也可以說他很正派，倒過來想就對了)
spydertrader
sellindexvol66
其他:待jim來發掘

註: 以上為elitetrader.com發言者的人物，我相信其中有一個人用了二個以上的nickname。同時，劉行不保證這些人言論的真實及實用性。我相信，好好研究一下這些人的發言，會比看任何一本選擇權的書都有益處。當然啦，國情不同，美國的選擇權很豐富，台灣的選擇權能玩的只有台指選擇權，且有政府護盤機制，所以單調很多。