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2023-07-10
不明觉厉，学习学习
@期权酱：
期权的牛熊市差价策略是无风险套利吗？
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gbcgblgbd
2023-07-10
gbcgblgbd
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在理想主义的情况下，牛熊市价差策略可以在某种程度上实现无风险套利，即无论市场是上涨还是下跌，都能获得一定的收益。实际上是市场的波动性、流动性、交易成本和期权定价模型的假设等因素可能导致实际收益与预期收益存在差异。 牛熊市价差策略也是需要承担一定的风险的 l 标的资产价格的剧烈波动：如果标的资产价格波动超过策略所预期的范围，可能会导致亏损或未能达到预期的套利效果。 l 波动率变化：期权的价格受到波动率的影响，如果市场波动率的实际变化与预期不符，策略的收益可能会受到影响。 l 期权价格和流动性变化：期权的价格和流动性可能受到供需和市场情绪等因素的影响，如果价格和流动性发生变化，可能会对策略的执行和盈利能力产生影响。 总之，任何策略面前，都要考虑市场的动向，就像计划永远赶不上变化。 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