不過之後冇再繼續, 專心番處理好今年戶口虧損部份.
到最近見戶口情況好轉, 開始又諗吓應該點樣喺指數企於高位仍然可以獲利, 而風險冇增大. 於是又碰上了 calendar spread, 剛巧兩個 calendar positions又俾我賺>100%, 所以又花少少時間溫習吓, 不過今次集中點不是 trade management (rolling), 而係 breakeven point 和 result / risk ratio.
除咗 calendar, 又有冇其他策略可以一試? 找到了 Butterfly Spread, 因為 butterfly 同 calendar 嘅 P&L好相似. 於是將上面賺錢嘅 calendar, 搵番historical option prices, 用 butterfly 模擬一次, 結果竟然 butterfly 賺嘅百份比更高 (calendar +126% vs butterfly +140%)
ABNB $118 |
Open Trade |
25/8 |
26/8 |
29/8 |
30/8 |
31/8 |
1/9 |
2/9 |
Stock price |
117.5 |
117.03 |
112.82 |
113.54 |
112.56 |
113.12 |
113.4 |
115 |
Calendar |
1.11 |
1.02 |
0.91 |
1.2 |
1.08 |
0.75 |
1.39 |
1.95 |
Butterfly |
2.81 |
2.83 |
2.64 |
3.05 |
2.87 |
1.68 |
3.42 |
5.7 |
Stock Price% |
|
-0.400% |
-3.983% |
-3.37% |
-4.204% |
-3.728% |
-3.489% |
-2.128% |
Calendar P&L% |
|
-8.108% |
-18.018% |
8.108% |
-2.703% |
-32.432% |
25.225% |
75.676% |
Butterfly P&L% |
|
0.712% |
-6.05% |
8.541% |
2.135% |
-40.214% |
21.708% |
102.847% |
GOOG $110 |
Open Trade |
29/8 |
30/8 |
31/8 |
1/9 |
2/9 |
|
|
Stock price |
111.4 |
110.34 |
109.91 |
109.15 |
110.55 |
110.74 |
|
|
Calendar |
0.76 |
0.86 |
0.87 |
0.85 |
1.1 |
1.29 |
|
|
Butterfly |
2.5 |
2.9 |
3.26 |
3.52 |
4 |
5.03 |
|
|
Stock Price% |
|
-0.952% |
-1.338% |
-2.02% |
-0.763% |
-0.592% |
|
|
Calendar P&L% |
|
13.158% |
14.474% |
11.842% |
44.737% |
69.737% |
|
|
Butterfly P&L% |
|
16.000% |
30.4% |
40.8% |
60% |
101.2% |
|
|
- 方向對, Butterfly 賺幅比 Calendar 多. 如果虧損, Butterfly 跌幅比例大. 但如果考慮整體賺/蝕 Return/Risk ratio, Butterfly 仍然佔優 (e.g. +102% vs 75%, -40% vs -32%)
- Calendar 開倉/平倉比 Butterfly 容易, 管理也容易. 但 Butterfly 開倉/平倉bid/ask 也不是太濶
- Calendar breakeven points 固定, Butterfly 可以調節兩翼價格去改變 breakeven points