CHUANYE妹妹的OPTION SPREAD

“我的做法比较简单,就是买 long term 的calls/puts (I have QQQQ Jan 07 41's puts and Jan 43's calls)做保护,然后每个月卖short term calls/puts.买/卖的比例是1:3(一个long term call/put 卖3个short term calls/puts),要留有60%以上的margin.

一般来说我是在OE前后卖short terms,当short term的value 减少到90%,我就会买回来cover.否则就留到OE时再看要不要cover.如果short term 亏了,我就会买回来后立即卖下一个月的(rollover).

当long term的范围不能再做保护(QQQQ换到另一个箱型时),我会把原来的puts/calls同时卖掉,然后重新开一个买卖的range.在那个range 里再开始做. "

“我觉得这个做法关键是确定某时期的trading range,能不能买卖最低/高?"

“个做个股可能不合适.对QQQQ就像机器差不多一样做就可以."

BY chuanye

"for IB, margin is about 10% underlying stock price
the actual formula:

100% * option market value + maximum (((20% * (underlying market value) - out of the money amount), 10% * strike price, $2.50 * multiplier * number of contracts).

so 300 contracts of QQQQ ~= $125k "

BY keesa

感谢chuanye和keesa