没看明白也没关系，也许就是我痴人说梦而已。
“最理想情况下的盈利7%”是怎么来的？为什么这么低？
北美实时股市股票
- 主题发起人 vickyzyd
- 发布时间 2014-03-12
“最理想情况下的盈利7%”是怎么来的？为什么这么低？
我比较倾向于猪倌的看法，原因很简单，IBM波动不大，想大量吃掉delta不太可能，时间值太小，时间太长，太多不确定因素，但但从目前来看，50%上升，50%下降的可能
为什么要把这两块钱跟beta比较，比较的根据是什么？
你说的是有道理的，只是我依然没有找到足够理由去卖DEEP ITM 的OPTION。 我会再慢慢体会体会。
（2.40+0.96） / 47.66 （成本）= 7% 大致估算， 如果最理想情况下两边全收的话。一个半月时间，7% 绝对不低了。
用beta比较可能很不直观，因为option价格跟beta是某种指数关系，而不是乘数关系，要准确解释还要借助BS模型，不过短期内实在没有勇气再钻研BS模型了，呵呵。
比较直观的还是比较LULU和IBM的IV 吧，比如都比较Jan 2016 ATM put的价格，LULU put@60 价格10.3（17.5%的股价）， IBM put@160 价格16（10.1%的股价）；对应的，现在LULU put IV index 43.81%， IBM 是25.8%；IBM对LULU的IV的比例：25.8%/43.81%=0.5889；
以LULU的ATM price 17.5%倍股价的为基准，IBM的ATM price应该=17.5%*0.5889=10.3%，跟实际中的IBM ATM price 10.1%倍股价基本一致，说明用IV做标准IBM 的 ATM time value和LULU是一样的。
那么再比较风险（压力测试），LULU的put IV index区间是29.36%到60.48%，IBM是11.04%到25.98%。IBM已经到IV上限了（0.7%的空间），而LULU距上限还有38%的空间，意味着在股价和其他条件不变的情况下，如果IV波动到上限，short LULU put的投资人会立刻亏损38%，而short IBM put的投资人则亏损0.7%。
再看潜在收益，LULU的IV下限是当前IV的67%，IBM是43%，意味着在股价和其他条件不变的情况下，如果IV波动到下限，short LULU put的投资人盈利37%，而short IBM put的投资人盈利57%；
结论，尽管LULU波动更大，今天操作IBM的风险收益更好。
明白了你的7%，但是我不太明白这个实验想说明什么呢？
你的投资方式未来3个月最大收益大约是2个7%：14%，上下风险封口；
而short Apr put@170，最大收益52.6%，风险下不封口；
两种方式分界点在股价157的位置，股价在155和157之间你的方式收益好，超过157以后short put@170收益更好，低于155，你没风险，我购入股票。
不太正确。
我的STRADDLE， 目标是股价在150-170内任何区间，这样就全收， 一个半月7%，2月20日后再根据股价设定。 当股价超过170或者低于150的时候，开始亏损（有3块钱的缓冲），风险无限。
你的单向，150 下风险无限， 170 元收益封顶。
我的目标是吃掉所有时间，对股价基本不关心。你实际上是看好股价上升，有很大的股价趋势的倾向，含有少许时间价值。 你的成本要高些。前面我有个跟贴有误，ITM的OPTION 的MARGIN要求要更高，因为你有更大的概率被ASSIGN。 比如我的MARGIN占用是46 左右，你要64。
我只是想说明，你的操作实际上是在看涨IBM，形式上是在做OPTION，实际上是在买入股票。 你的INTENT和你的实际操作不怎么MATCH。 你看涨，但是为了2块钱的时间价值付出170封顶，占用更大MARGIN要求的代价。随时还可能被ASSIGN。应该有更好的办法。
最后编辑: 2015-01-08
买call的赚翻了吧
昨天看好aapl的jan092015call@110，可是账户还在转向ib的路上啊
今天sp500应该在2060左右，下周某个时候可以到2100
最后编辑: 2015-01-08
跟你的想法正好相反
我觉得你对margin的理解不对，margin只和股票的类别和strike price有关，assign的概率太复杂了，没法操作。
broker不会承担任何assign判断的风险，一律按100%会assign计算，非常明白的算法：
你的PUT @150, 价格 $2.40， margin=150*0.3-2.4=42.6
我的put @170，价格$18，margin=170*.3-18=33
1) my margin requirement: (20% of underlying security value instead of 30%)
Short Put
Initial margin requirement:
100% of option proceeds, plus 20% of underlying security value less out-of-the-money amount, if any
minimum requirement is option proceeds plus 10% of the put’s aggregate exercise price (number of contracts x exercise price x $100)
proceeds received from sale of puts(s) may be applied to the initial margin requirement
after position is established, ongoing maintenance margin requirement applies, and an increase (or decrease) in the margin required is possible
Position
Short 1 Feb 150 puts(s) at $2.40
Underlying stock at $155.00
Put is out-of-the-money
Initial Margin
Margin requirement: $2,840.00
Proceeds from sale of short put(s): $240.00
Margin call (SMA debit): $2,600.00
2) your requirement: (20% of underlying security value instead of 30%)
Short Put
Initial margin requirement:
100% of option proceeds, plus 20% of underlying security value less out-of-the-money amount, if any
minimum requirement is option proceeds plus 10% of the put’s aggregate exercise price (number of contracts x exercise price x $100)
proceeds received from sale of puts(s) may be applied to the initial margin requirement
after position is established, ongoing maintenance margin requirement applies, and an increase (or decrease) in the margin required is possible
Position
Short 1 Feb 170 puts(s) at $18.00
Underlying stock at $155.00
Put is in-the-money
Initial Margin
Margin requirement: $4,900.00
Proceeds from sale of short put(s): $1,800.00
Margin call (SMA debit): $3,100.00
到2100的时候可能有一波30点的回吐，之后会再向上。现在美国国内和国际形式都有利，美元高涨，股市成为流入美国的资金的最好最方便的避险市场。美联储有说要年中以后才考虑加息，所以这波行情可以到4月份。夏天到了，欧洲对能源的需求不会象冬天那么强烈，那么石油价格可以恢复到65美元左右。这波石油行情的主要原因是俄罗斯，我在去年乌克兰危机的时候就预见到美国要用石油价格来打击俄罗斯的经济。
当然要注意is的报复，法国就不能幸免。听说伊波拉在is流行，小心is把伊波拉作为武器传回美国本土。
你引用的是美国券商的margin要求，我找了2个加拿大的券商naked option margin要求：
1、IB Canada
https://www.interactivebrokers.ca/en/index.php?f=marginCA&p=opt
100% * option market value + maximum (((30% * (underlying market value) - out of the money amount), 10% * strike price, $250 * number of contracts). Short sale proceeds are applied to cash. 30% above is 15% for broad based index options.
你的1手put@150，margin=2.4*100+Maximum（0.3*155*100-5*100，0.1*150，250*1）=240+Max（4150，15，250）=4390
Short Proceeds=2.4*100=240
Net margin requirement=4390-240=4150，等效于$41.5/share
我的1手put@170，margin=18*100+Maximum（0.3*155*100，0.1*170，250*1）=6450
Short Proceeds=18*100=1800
Net margin requirement=6450-1800=4650，等效于$46.5/share
2、Questrade
http://www.questrade.com/pricing/margin_centre/options
http://www.questrade.com/pricing/margin_centre/stocks
你的1手put@150，margin=Max（0.3*155*100-5*100，150*100*0.05）=Max（4150，750）=4150
Net margin requirement=4150-2.4×100=3910，等效于$39.1/share
我的1手put@170，margin=Max（0.3*155*100，170*100*0.05）=Max（4650，850）=4650
Net margin requirement=4650-18×100=2850，等效于$28.5/share
看起来，Questrade更适合我short IM put。
你说的是哪个sp500? INDEXSP:SP500V?
INDEXSP:.INX
This is better, it can go to 2100 in a short time
Morgan Stanley Announces Redemption of S&P 500 Crude Oil Exchange Traded Notes
January 08, 2015 08:15 PM Eastern Standard Time
NEW YORK--(BUSINESS WIRE)--Morgan Stanley (NYSE:MS) announced today that it will redeem all of its outstanding S&P 500 Crude Oil Linked ETNs due 2031 with a CUSIP of 61760E390 (NYSE Arca:BARL) (the “ETNs”). Morgan Stanley expects to provide the call notice via The Depository Trust Company on January 27, 2015 (the “call notice date”). The repurchase settlement amount of the ETNs will be determined on the call notice date and will be paid to the investors on January 30, 2015, the third business day after the call notice date. Accordingly, the last day of trading for each ETN is expected to be January 29, 2015.
Other exchange traded notes, structured notes and debt securities issued by Morgan Stanley are not affected by this redemption.
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. With offices in more than 43 countries, the Firm's employees serve clients worldwide including corporations, governments, institutions and individuals. For further information about Morgan Stanley, please visit www.morganstanley.com.
Contacts
Morgan Stanley
Media Relations
Mark Lake, 212-761-8493
January 08, 2015 08:15 PM Eastern Standard Time
NEW YORK--(BUSINESS WIRE)--Morgan Stanley (NYSE:MS) announced today that it will redeem all of its outstanding S&P 500 Crude Oil Linked ETNs due 2031 with a CUSIP of 61760E390 (NYSE Arca:BARL) (the “ETNs”). Morgan Stanley expects to provide the call notice via The Depository Trust Company on January 27, 2015 (the “call notice date”). The repurchase settlement amount of the ETNs will be determined on the call notice date and will be paid to the investors on January 30, 2015, the third business day after the call notice date. Accordingly, the last day of trading for each ETN is expected to be January 29, 2015.
Other exchange traded notes, structured notes and debt securities issued by Morgan Stanley are not affected by this redemption.
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. With offices in more than 43 countries, the Firm's employees serve clients worldwide including corporations, governments, institutions and individuals. For further information about Morgan Stanley, please visit www.morganstanley.com.
Contacts
Morgan Stanley
Media Relations
Mark Lake, 212-761-8493
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