‌$特斯拉(TSLA_老虎社区_美港股上老虎

2022-02-04

‌$特斯拉(TSLA)$‌发现特斯拉的深度价内期权组合的年收益率竟达13%！

具体策略是：

1、卖出23年1/20日到期的call@500；

2、同时卖出同日到期的put@1400；

到期日在500-1400价内就必定行权从而形成必卖必买。

按昨天收盘时的期权买盘价，经过计算发现稳稳的高卖（946）低买（836.2），年收益率达到13.13%。这个策略近乎于无风险套利：特斯拉1年后腰斩到500的可能性近乎为零；在加息行情下明年初涨破1400的可能性也极低。如券商app能识别此组合那保证金也会比较低。

PS：如果你要更安全的put，也可以卖更高的put（比如最高的2475），但是收益率会降低（946/908=4.2%）

‌@期权小班长‌

原因何在？是不是值得研究下？

免责声明：上述内容仅代表发帖人个人观点，不构成本平台的任何投资建议。

精彩评论

期权小班长
2022-02-07
期权小班长
比较可惜的一点是，我之前卖了1年期的期权，发现不能和近期期权形成组合。另外深度价内期权流动性不太好，不知道两张深度能不能自动行权对冲，除此之外我觉得没什么太大问题
- 期权小班长回复未料胜先料败:
  好像不是到期自动买进这么简单，还是要看对手盘，小心小概率无法结算事件，不过理论特斯拉应该没有太大问题吧。另外市场确实看在马斯克的面子上给了更高的溢价。
- 未料胜先料败:
  到期自动买进卖出（如系统在结算日先卖后买产生几个小时的融券, 当日融券也不会产生融券利息；最坏情况是系统当日先买后卖就要准备好备兑金）。这样的期权定价关系，是不是说明市场认为一年后股价涨至少15%?
未料胜先料败
2022-02-11
未料胜先料败
因为是卖方到期策略且是双向的组合策略，基本上不怕没有对手盘。到期日只要在价格区间内，任何方向的买方不行权都不用担心：行权日当天或以后可直接在市场买或卖正股备兑，买方放弃行权当得到完全的权利金（减去某个方向上的备兑亏损）时收益率会更高。最大亏损是发生在到期跌破500或涨破1400，有经验的同学应该知道该做啥止损吧（买或卖空正股做好备兑）。所以这个组合策略最重要的是准备好备兑金。
allen618
2022-02-04
allen618
刻舟求剑
- 冯升:
  精辟

发表看法

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