人生在探索
2021-12-04
这篇文章不错,转发给大家看
@期权小班长:
滴滴回港,期权大单是如何套利的
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tg-height=\"2240\">想写写我的看法,抛砖引玉,一起讨论。</p> <p>12月2日有6笔大单,最下面两笔和最上面4笔分别是两套组合:日历价差和盒式套利。</p> <p>我们先说说第一套策略,</p> <ul> \n <li>DIDI put 2021 1217 17 7.5 </li> \n <li>DIDI put 2021 0121 17 7.5</li> \n</ul> <p>明显的日历价差策略,是指到期日行权价都相同但买卖方向不同的两个期权组合。最常用的方法是<b>平值期权</b>空近期多远期。</p> <p>看涨就买远期call卖近期call,看跌就买远期put卖近期put。和单腿期权买方相比,既能实现远期做多做空的目的,又能够赚取近期时间衰减价值。</p> <p>所以这个策略明显是看跌,卖出12月17日到期17put,买入1月21日到期17put。这么看来大单不认为回归价格高于7.5。当然也不排除是在报价出来前看跌,今天就平仓的可能性。</p> <p>第二个策略盒式套利,</p> <p>也可以叫箱式套利,期货常用套利策略。是由一个牛市价差组合和一个熊市价差组合构成。这个套利方法有点复杂,原理是call的价格与行权价的现有价值之和应该等于Put的价格加上标的股价现价,如果不相等,那么就有套利机会。</p> <p>按昨天收盘价7.8计算,确实不相等。这个策略交易方向看起来是“卖出看涨+买入看跌+买入看涨+卖出看跌”</p> <p><img src=\"https://static.tigerbbs.com/c9bcb7035c222d32e438a1f77e94285f\" tg-width=\"-1\" tg-height=\"-1\"></p> <p>不过我也是刚刚接触盒式套利,了解不够深入,我周末琢磨琢磨再补充一下,可以评论区继续讨论。</p> <p>祝大家周末愉快!</p></body></html>","htmlText":"<html><head></head><body><p>今天对于大盘我个人的想法是,市场在保权重股,让小盘和中盘随便崩,所以大盘股sell put依然安全,但是周五就不开仓了,我们来吃个瓜。</p> <p><a target=\"_blank\" href=\"https://laohu8.com/S/DIDI\">$滴滴(DIDI)$</a> 要回港了,但是公告里信息很少,现在怎么回去的方式众说纷纭,这篇文章里面都写了 <a href=\"https://laohu8.com/TW/601878859\" target=\"_blank\">滴滴回归港交所,投资者手中的股票怎么办?</a></p> <p>现在大家最关心的就是退市价格,不知道有多少人跟我一样马上去翻了期权大单异动:<img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/6d6c800e992d4afa638acf580b75b803\" tg-width=\"1080\" tg-height=\"2240\">想写写我的看法,抛砖引玉,一起讨论。</p> <p>12月2日有6笔大单,最下面两笔和最上面4笔分别是两套组合:日历价差和盒式套利。</p> <p>我们先说说第一套策略,</p> <ul> \n <li>DIDI put 2021 1217 17 7.5 </li> \n <li>DIDI put 2021 0121 17 7.5</li> \n</ul> <p>明显的日历价差策略,是指到期日行权价都相同但买卖方向不同的两个期权组合。最常用的方法是<b>平值期权</b>空近期多远期。</p> <p>看涨就买远期call卖近期call,看跌就买远期put卖近期put。和单腿期权买方相比,既能实现远期做多做空的目的,又能够赚取近期时间衰减价值。</p> <p>所以这个策略明显是看跌,卖出12月17日到期17put,买入1月21日到期17put。这么看来大单不认为回归价格高于7.5。当然也不排除是在报价出来前看跌,今天就平仓的可能性。</p> <p>第二个策略盒式套利,</p> <p>也可以叫箱式套利,期货常用套利策略。是由一个牛市价差组合和一个熊市价差组合构成。这个套利方法有点复杂,原理是call的价格与行权价的现有价值之和应该等于Put的价格加上标的股价现价,如果不相等,那么就有套利机会。</p> <p>按昨天收盘价7.8计算,确实不相等。这个策略交易方向看起来是“卖出看涨+买入看跌+买入看涨+卖出看跌”</p> <p><img src=\"https://static.tigerbbs.com/c9bcb7035c222d32e438a1f77e94285f\" tg-width=\"-1\" tg-height=\"-1\"></p> <p>不过我也是刚刚接触盒式套利,了解不够深入,我周末琢磨琢磨再补充一下,可以评论区继续讨论。</p> <p>祝大家周末愉快!</p></body></html>","text":"今天对于大盘我个人的想法是,市场在保权重股,让小盘和中盘随便崩,所以大盘股sell put依然安全,但是周五就不开仓了,我们来吃个瓜。 $滴滴(DIDI)$ 要回港了,但是公告里信息很少,现在怎么回去的方式众说纷纭,这篇文章里面都写了 滴滴回归港交所,投资者手中的股票怎么办? 现在大家最关心的就是退市价格,不知道有多少人跟我一样马上去翻了期权大单异动:想写写我的看法,抛砖引玉,一起讨论。 12月2日有6笔大单,最下面两笔和最上面4笔分别是两套组合:日历价差和盒式套利。 我们先说说第一套策略, DIDI put 2021 1217 17 7.5 DIDI put 2021 0121 17 7.5 明显的日历价差策略,是指到期日行权价都相同但买卖方向不同的两个期权组合。最常用的方法是平值期权空近期多远期。 看涨就买远期call卖近期call,看跌就买远期put卖近期put。和单腿期权买方相比,既能实现远期做多做空的目的,又能够赚取近期时间衰减价值。 所以这个策略明显是看跌,卖出12月17日到期17put,买入1月21日到期17put。这么看来大单不认为回归价格高于7.5。当然也不排除是在报价出来前看跌,今天就平仓的可能性。 第二个策略盒式套利, 也可以叫箱式套利,期货常用套利策略。是由一个牛市价差组合和一个熊市价差组合构成。这个套利方法有点复杂,原理是call的价格与行权价的现有价值之和应该等于Put的价格加上标的股价现价,如果不相等,那么就有套利机会。 按昨天收盘价7.8计算,确实不相等。这个策略交易方向看起来是“卖出看涨+买入看跌+买入看涨+卖出看跌” 不过我也是刚刚接触盒式套利,了解不够深入,我周末琢磨琢磨再补充一下,可以评论区继续讨论。 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