热爱陪我度过漫长岁月
2022-06-18
[微笑]
//
@深圳王爷
:其实，无论买call还是put，都是小资金不得已的玩法，只为以小博大。而大资金，大都是卖call和put的，稳稳收取权利金，就算被行权也无所谓，反正资金量足够。
@捷克Jack：
为什么要用期权来对冲下跌行情？
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。
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家豪Lee
2022-06-18
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</span>//<a href=\"https://laohu8.com/U/3470106692551216\">@深圳王爷</a>:其实，无论买call还是put，都是小资金不得已的玩法，只为以小博大。而大资金，大都是卖call和put的，稳稳收取权利金，就算被行权也无所谓，反正资金量足够。</body></html>","htmlText":"<html><head></head><body><span>[微笑] </span>//<a href=\"https://laohu8.com/U/3470106692551216\">@深圳王爷</a>:其实，无论买call还是put，都是小资金不得已的玩法，只为以小博大。而大资金，大都是卖call和put的，稳稳收取权利金，就算被行权也无所谓，反正资金量足够。</body></html>","text":"[微笑] 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<span style=\"color:rgba(240,0,0,1);\"><b>要么就赚尽期权的权利金，要么就让它亏小赚大！</b></span> \n</blockquote><p>牛市里，投资者(尤其是个人投资者)是不太会考虑占用资金去对冲的，因为在绝对的收益率面前，一点点回撤并无大碍。但如果市场转向了，不再是牛市，那对冲就显得必要了。</p><p>此处对冲针对多头，有两种：一种是针对熊市的下跌行情，另一种是针对涨不动也跌不动的浮动行情。无论哪一种，期权都是最佳的对冲品种。</p><h4><span style=\"color:rgba(255,0,0,1);\"><b>浮动行情：备兑期权（Covered Call/Put）</b></span></h4><p>什么时候卖出Covered Call最合适？一般是认为<span style=\"color:rgba(255,0,0,1);\"><b>持仓的标的上涨动能快要枯竭、或者已经轻微开始回撤的时候</b></span>，比如，\"出其不意\"地放量大涨，或者放量大涨后的若干天内。</p><p>举个例子，<a target=\"_blank\" href=\"https://laohu8.com/S/00700\">$腾讯控股(00700)$</a> 在6月8日放量大涨6.7%，这种涨幅虽然在两个月内出现了3次，但是放到历史上都是很罕见的。</p><p><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/a7cd6af2de2e023f19e685dd7f6b7c26\" tg-width=\"1761\" tg-height=\"735\"></p><p>7月底到期的期权，400行权价的Call，也同样是在那两天达到一个峰值，最高成交价为26.32。</p><p><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/7e71f84876c15e0e45c2511cf5656cc3\" tg-width=\"1170\" tg-height=\"1556\"></p><p>如果把日期向前调几日，4月29日单日暴涨了11.07%，而当时7月低到期的期权最高成交价为27.51。明明4月29日腾讯股价最高价只有388，而6月8日则高达406.8，相差近5%，但是6月8日的期权成交价却还不如此前高。<span style=\"color:rgba(255,0,0,1);\"><b>这主要期权卖方从时间价值递减中获得的好处。</b></span></p><p>因此，每当那些持仓股出现历史级别大规模的波动，尤其是突破布林带时，除了追涨杀跌，也可以考虑备兑期权。</p><p><i>风险提示：备兑期权的持方最希望碰到的是接下来遇到波动不太大的行情，如果走出了连续的单边，那么该亏损的基本免不了，该赚钱的会提前止盈。</i></p><h4><span style=\"color:rgba(255,0,0,1);\"><b>下跌行情：买波动率较低大盘PUT</b></span></h4><p>对美股来说，<a target=\"_blank\" href=\"https://laohu8.com/S/.SPX\">$标普500(.SPX)$</a> 以及<a target=\"_blank\" href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a> 都是被广泛认可的标杆（benchmark），而针对这两个指数的ETF、衍生品，不但种类丰富，而且流动性也好。</p><p>如果资金量较大，可以直接选择指数期权，甚至股指期货，而对资金量更小的投资者来说，选择对应ETF的期权也是不错的。</p><p>标普500指数ETF SPY的期权，就很适合来对冲</p><p>第一、<span style=\"color:rgba(255,0,0,1);\"><b>指数的波动率相对大部分个股较低，损耗小</b></span>，作为期权的买方，不用损失更多波动率带来权利金；</p><p>第二、指数作为标杆，<span style=\"color:rgba(255,0,0,1);\"><b>容易拿来估算</b></span>资产组合所需要对冲的资金。</p><p>如何匹配？打个比方：</p><blockquote>\n 现在有一个资产组合A，由50%的<a target=\"_blank\" href=\"https://laohu8.com/S/AAPL\">$苹果(AAPL)$</a> 和50%的<a target=\"_blank\" href=\"https://laohu8.com/S/BABA\">$阿里巴巴(BABA)$</a> 。以过去半年为维度，AAPL的beta=1.29，BABA的beta=1.61，那么这个资产组合的整体的beta=1.45。简单来说，这个资产组合A每波动1.45%，大盘(<a target=\"_blank\" href=\"https://laohu8.com/S/SPX\">$(SPX)$</a>)应该波动1%（实际上还有更多的变量）。 \n</blockquote><blockquote>\n 用大盘SPX来对冲股票资产组合，完全对冲时，则需要1:1.45来安排。 \n</blockquote><blockquote>\n 为了对冲这个资产组合的下跌，固然可以直接做空1.45倍相应金额的SPY，但同时，也可以选择买SPY的PUT来进行。以8月19日到期的SPY366美元行权价的平价PUT来看，当前的Delta=-0.474，意味着SPY每下跌1%，不算其他损耗的情况下，这张期权价格上涨0.474%。 \n</blockquote><blockquote> <img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/a094ac3a555fb67fa861762081250d1f\" tg-width=\"2532\" tg-height=\"1170\"> \n</blockquote><blockquote>\n 于是，资产组合A:SPY:Put = 1.45:1:0.474，换算过来，资产组合A:put=3:1。也就是说，<span style=\"color:rgba(255,0,0,1);\"><b>资产组合A中的每1000美金，需要价值3000美金的8月SPY Put来进行完全对冲</b></span>。 \n</blockquote><p>当然，实际操作中不必那么复杂，并且不用追求完全对冲（因为还要不断地调整），<span style=\"color:rgba(255,0,0,1);\"><b>你只要选择你认为合适的比例进行对冲即可</b></span>。比如你认为下跌风险更大，就调高对冲仓位，成为一个净空头。</p><p>目前<a target=\"_blank\" href=\"https://laohu8.com/S/SPY\">$标普500ETF(SPY)$</a> 366的平价期权的来看，386的价内期权的delta=-0.676，而346的价外期权的delta=-0.305。</p><blockquote>\n 当SPY上涨时，由于平价Put变成价外，Delta变小，Put产生的亏损会小于资产组合的盈利；当SPY下跌时，平价期权会变成价内期权，Delta增大，Put产生的盈利会大于资产组合的亏损。 \n</blockquote><p><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/d546e6fe4cf4c8e896acf539d0fc7387\" tg-width=\"1170\" tg-height=\"1440\"><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/b47dc5cd260ecf98a3cdd31fc59b7b07\" tg-width=\"1170\" tg-height=\"1143\"></p><p>总之就是，<span style=\"color:rgba(255,0,0,1);\"><b>大盘涨了，用于对冲的Put亏得少，大盘跌了，用于对冲的Put赚得多。</b></span></p><p><i>风险提示：最大的不利因素是时间价值的衰减，毕竟作为期权的买方，每天都会损失相应的的时间价值，这也是为何尽量选择到期日2个月以上的期权，因为相对衰减得少。但是相对股价的波动，远期期权的时间价值变化不太重要。</i></p><p>实际操作中，期权的确是最常见的对冲衍生品，它一方面占用的资金小，另一方面有“亏少赚大”的功效。个人投资者可能不太容易上手，但是在机构交易者中，是非常常见的。</p><hr><p>欢迎关注公众号：杰克不拉客</p></body></html>","htmlText":"<html><head></head><body><blockquote> <span style=\"color:rgba(240,0,0,1);\"><b>要么就赚尽期权的权利金，要么就让它亏小赚大！</b></span> \n</blockquote><p>牛市里，投资者(尤其是个人投资者)是不太会考虑占用资金去对冲的，因为在绝对的收益率面前，一点点回撤并无大碍。但如果市场转向了，不再是牛市，那对冲就显得必要了。</p><p>此处对冲针对多头，有两种：一种是针对熊市的下跌行情，另一种是针对涨不动也跌不动的浮动行情。无论哪一种，期权都是最佳的对冲品种。</p><h4><span style=\"color:rgba(255,0,0,1);\"><b>浮动行情：备兑期权（Covered Call/Put）</b></span></h4><p>什么时候卖出Covered Call最合适？一般是认为<span style=\"color:rgba(255,0,0,1);\"><b>持仓的标的上涨动能快要枯竭、或者已经轻微开始回撤的时候</b></span>，比如，\"出其不意\"地放量大涨，或者放量大涨后的若干天内。</p><p>举个例子，<a target=\"_blank\" href=\"https://laohu8.com/S/00700\">$腾讯控股(00700)$</a> 在6月8日放量大涨6.7%，这种涨幅虽然在两个月内出现了3次，但是放到历史上都是很罕见的。</p><p><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/a7cd6af2de2e023f19e685dd7f6b7c26\" tg-width=\"1761\" tg-height=\"735\"></p><p>7月底到期的期权，400行权价的Call，也同样是在那两天达到一个峰值，最高成交价为26.32。</p><p><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/7e71f84876c15e0e45c2511cf5656cc3\" tg-width=\"1170\" tg-height=\"1556\"></p><p>如果把日期向前调几日，4月29日单日暴涨了11.07%，而当时7月低到期的期权最高成交价为27.51。明明4月29日腾讯股价最高价只有388，而6月8日则高达406.8，相差近5%，但是6月8日的期权成交价却还不如此前高。<span style=\"color:rgba(255,0,0,1);\"><b>这主要期权卖方从时间价值递减中获得的好处。</b></span></p><p>因此，每当那些持仓股出现历史级别大规模的波动，尤其是突破布林带时，除了追涨杀跌，也可以考虑备兑期权。</p><p><i>风险提示：备兑期权的持方最希望碰到的是接下来遇到波动不太大的行情，如果走出了连续的单边，那么该亏损的基本免不了，该赚钱的会提前止盈。</i></p><h4><span style=\"color:rgba(255,0,0,1);\"><b>下跌行情：买波动率较低大盘PUT</b></span></h4><p>对美股来说，<a target=\"_blank\" href=\"https://laohu8.com/S/.SPX\">$标普500(.SPX)$</a> 以及<a target=\"_blank\" href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a> 都是被广泛认可的标杆（benchmark），而针对这两个指数的ETF、衍生品，不但种类丰富，而且流动性也好。</p><p>如果资金量较大，可以直接选择指数期权，甚至股指期货，而对资金量更小的投资者来说，选择对应ETF的期权也是不错的。</p><p>标普500指数ETF SPY的期权，就很适合来对冲</p><p>第一、<span style=\"color:rgba(255,0,0,1);\"><b>指数的波动率相对大部分个股较低，损耗小</b></span>，作为期权的买方，不用损失更多波动率带来权利金；</p><p>第二、指数作为标杆，<span style=\"color:rgba(255,0,0,1);\"><b>容易拿来估算</b></span>资产组合所需要对冲的资金。</p><p>如何匹配？打个比方：</p><blockquote>\n 现在有一个资产组合A，由50%的<a target=\"_blank\" href=\"https://laohu8.com/S/AAPL\">$苹果(AAPL)$</a> 和50%的<a target=\"_blank\" href=\"https://laohu8.com/S/BABA\">$阿里巴巴(BABA)$</a> 。以过去半年为维度，AAPL的beta=1.29，BABA的beta=1.61，那么这个资产组合的整体的beta=1.45。简单来说，这个资产组合A每波动1.45%，大盘(<a target=\"_blank\" href=\"https://laohu8.com/S/SPX\">$(SPX)$</a>)应该波动1%（实际上还有更多的变量）。 \n</blockquote><blockquote>\n 用大盘SPX来对冲股票资产组合，完全对冲时，则需要1:1.45来安排。 \n</blockquote><blockquote>\n 为了对冲这个资产组合的下跌，固然可以直接做空1.45倍相应金额的SPY，但同时，也可以选择买SPY的PUT来进行。以8月19日到期的SPY366美元行权价的平价PUT来看，当前的Delta=-0.474，意味着SPY每下跌1%，不算其他损耗的情况下，这张期权价格上涨0.474%。 \n</blockquote><blockquote> <img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/a094ac3a555fb67fa861762081250d1f\" tg-width=\"2532\" tg-height=\"1170\"> \n</blockquote><blockquote>\n 于是，资产组合A:SPY:Put = 1.45:1:0.474，换算过来，资产组合A:put=3:1。也就是说，<span style=\"color:rgba(255,0,0,1);\"><b>资产组合A中的每1000美金，需要价值3000美金的8月SPY Put来进行完全对冲</b></span>。 \n</blockquote><p>当然，实际操作中不必那么复杂，并且不用追求完全对冲（因为还要不断地调整），<span style=\"color:rgba(255,0,0,1);\"><b>你只要选择你认为合适的比例进行对冲即可</b></span>。比如你认为下跌风险更大，就调高对冲仓位，成为一个净空头。</p><p>目前<a target=\"_blank\" href=\"https://laohu8.com/S/SPY\">$标普500ETF(SPY)$</a> 366的平价期权的来看，386的价内期权的delta=-0.676，而346的价外期权的delta=-0.305。</p><blockquote>\n 当SPY上涨时，由于平价Put变成价外，Delta变小，Put产生的亏损会小于资产组合的盈利；当SPY下跌时，平价期权会变成价内期权，Delta增大，Put产生的盈利会大于资产组合的亏损。 \n</blockquote><p><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/d546e6fe4cf4c8e896acf539d0fc7387\" tg-width=\"1170\" tg-height=\"1440\"><img referrerpolicy=\"no-referrer\" src=\"https://static.tigerbbs.com/b47dc5cd260ecf98a3cdd31fc59b7b07\" tg-width=\"1170\" tg-height=\"1143\"></p><p>总之就是，<span style=\"color:rgba(255,0,0,1);\"><b>大盘涨了，用于对冲的Put亏得少，大盘跌了，用于对冲的Put赚得多。</b></span></p><p><i>风险提示：最大的不利因素是时间价值的衰减，毕竟作为期权的买方，每天都会损失相应的的时间价值，这也是为何尽量选择到期日2个月以上的期权，因为相对衰减得少。但是相对股价的波动，远期期权的时间价值变化不太重要。</i></p><p>实际操作中，期权的确是最常见的对冲衍生品，它一方面占用的资金小，另一方面有“亏少赚大”的功效。个人投资者可能不太容易上手，但是在机构交易者中，是非常常见的。</p><hr><p>欢迎关注公众号：杰克不拉客</p></body></html>","text":"要么就赚尽期权的权利金，要么就让它亏小赚大！ 牛市里，投资者(尤其是个人投资者)是不太会考虑占用资金去对冲的，因为在绝对的收益率面前，一点点回撤并无大碍。但如果市场转向了，不再是牛市，那对冲就显得必要了。 此处对冲针对多头，有两种：一种是针对熊市的下跌行情，另一种是针对涨不动也跌不动的浮动行情。无论哪一种，期权都是最佳的对冲品种。 浮动行情：备兑期权（Covered Call/Put） 什么时候卖出Covered Call最合适？一般是认为持仓的标的上涨动能快要枯竭、或者已经轻微开始回撤的时候，比如，\"出其不意\"地放量大涨，或者放量大涨后的若干天内。 举个例子，$腾讯控股(00700)$ 在6月8日放量大涨6.7%，这种涨幅虽然在两个月内出现了3次，但是放到历史上都是很罕见的。 7月底到期的期权，400行权价的Call，也同样是在那两天达到一个峰值，最高成交价为26.32。 如果把日期向前调几日，4月29日单日暴涨了11.07%，而当时7月低到期的期权最高成交价为27.51。明明4月29日腾讯股价最高价只有388，而6月8日则高达406.8，相差近5%，但是6月8日的期权成交价却还不如此前高。这主要期权卖方从时间价值递减中获得的好处。 因此，每当那些持仓股出现历史级别大规模的波动，尤其是突破布林带时，除了追涨杀跌，也可以考虑备兑期权。 风险提示：备兑期权的持方最希望碰到的是接下来遇到波动不太大的行情，如果走出了连续的单边，那么该亏损的基本免不了，该赚钱的会提前止盈。 下跌行情：买波动率较低大盘PUT 对美股来说，$标普500(.SPX)$ 以及$纳斯达克(.IXIC)$ 都是被广泛认可的标杆（benchmark），而针对这两个指数的ETF、衍生品，不但种类丰富，而且流动性也好。 如果资金量较大，可以直接选择指数期权，甚至股指期货，而对资金量更小的投资者来说，选择对应ETF的期权也是不错的。 标普500指数ETF SPY的期权，就很适合来对冲 第一、指数的波动率相对大部分个股较低，损耗小，作为期权的买方，不用损失更多波动率带来权利金； 第二、指数作为标杆，容易拿来估算资产组合所需要对冲的资金。 如何匹配？打个比方： 现在有一个资产组合A，由50%的$苹果(AAPL)$ 和50%的$阿里巴巴(BABA)$ 。以过去半年为维度，AAPL的beta=1.29，BABA的beta=1.61，那么这个资产组合的整体的beta=1.45。简单来说，这个资产组合A每波动1.45%，大盘($(SPX)$)应该波动1%（实际上还有更多的变量）。 用大盘SPX来对冲股票资产组合，完全对冲时，则需要1:1.45来安排。 为了对冲这个资产组合的下跌，固然可以直接做空1.45倍相应金额的SPY，但同时，也可以选择买SPY的PUT来进行。以8月19日到期的SPY366美元行权价的平价PUT来看，当前的Delta=-0.474，意味着SPY每下跌1%，不算其他损耗的情况下，这张期权价格上涨0.474%。 于是，资产组合A:SPY:Put = 1.45:1:0.474，换算过来，资产组合A:put=3:1。也就是说，资产组合A中的每1000美金，需要价值3000美金的8月SPY Put来进行完全对冲。 当然，实际操作中不必那么复杂，并且不用追求完全对冲（因为还要不断地调整），你只要选择你认为合适的比例进行对冲即可。比如你认为下跌风险更大，就调高对冲仓位，成为一个净空头。 目前$标普500ETF(SPY)$ 366的平价期权的来看，386的价内期权的delta=-0.676，而346的价外期权的delta=-0.305。 当SPY上涨时，由于平价Put变成价外，Delta变小，Put产生的亏损会小于资产组合的盈利；当SPY下跌时，平价期权会变成价内期权，Delta增大，Put产生的盈利会大于资产组合的亏损。 总之就是，大盘涨了，用于对冲的Put亏得少，大盘跌了，用于对冲的Put赚得多。 风险提示：最大的不利因素是时间价值的衰减，毕竟作为期权的买方，每天都会损失相应的的时间价值，这也是为何尽量选择到期日2个月以上的期权，因为相对衰减得少。但是相对股价的波动，远期期权的时间价值变化不太重要。 实际操作中，期权的确是最常见的对冲衍生品，它一方面占用的资金小，另一方面有“亏少赚大”的功效。个人投资者可能不太容易上手，但是在机构交易者中，是非常常见的。 欢迎关注公众号：杰克不拉客","highlighted":2,"essential":2,"paper":2,"link":"https://laohu8.com/post/689862859","repostId":0,"isVote":2,"tweetType":1,"commentLimit":10,"vote":{"id":1715,"gmtCreate":1655470835740,"gmtModify":1655470835740,"gmtBegin":1655470835740,"gmtEnd":1656162022292,"objectId":689862859,"type":1,"upper":1,"title":"你会选择用期权来对冲下跌行情吗？","introduction":"你会选择用期权来对冲下跌行情吗？","totalSize":75,"choices":[{"id":6326,"gmtCreate":1655470835740,"gmtModify":1655470835740,"voteId":1715,"sort":1,"name":"会","userSize":31,"voted":false},{"id":6327,"gmtCreate":1655470835740,"gmtModify":1655470835740,"voteId":1715,"sort":2,"name":"不会","userSize":27,"voted":false},{"id":6328,"gmtCreate":1655470835740,"gmtModify":1655470835740,"voteId":1715,"sort":3,"name":"我考虑考虑","userSize":17,"voted":false}]},"symbols":["BABA","AAPL",".SPX","SPY","SPX",".IXIC","00700"],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":3081,"xxTargetLangEnum":"ZH_CN"},"isVote":1,"tweetType":1,"viewCount":2842,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":155,"xxTargetLangEnum":"ZH_CN"},"commentList":[{"id":7485592,"commentId":"7485592","gmtCreate":1655550504477,"gmtModify":1655550505412,"authorId":3440587783569585,"author":{"id":3440587783569585,"idStr":"3440587783569585","authorId":3440587783569585,"name":"家豪Lee","avatar":"https://static.tigerbbs.com/b2693b7340c4c47d4747d27179c90dc0","vip":1,"hat":"https://static.tigerbbs.com/5c5b6ed6e3b5dcb14f9ef3ceb365e412","crmLevel":4,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":689687013,"objectIdStr":"689687013","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"<span 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