[精品文章] Ming: 北美期權攻略

[精品文章] Ming: 北美期權攻略

VIX May, June and July future are trading at 1.12, 3.58 and 4.92 rich premium respectively.

Even with only 5 days to expiration for the May future, it is trading more than one in premium. If it is not the index and equity options expire this week, I wonder how the market can hold up like this.

Well…..I know that the market sentiment is improving, earnings are OK, worst credit crunch should be over, oil price is trading in range, Fed and central banks are helping us…..and so on…..

As a short-term trader, I trade what I see not what I think. I try to form a trading theme and strategy for the later part of this month.

Tactics:

I will let the market to run for a bit and pass the option expiration this week. Then, if the following conditions are met, I will scale in to short some front month index calls.

1/ VIX futures are still in rich premium.
2/ Reverse to the mean start taking process.
3/ Market news are in quite mode.
4/ RSI and Momentum go further in divergence

The above information are my personal opinion and for reference only.

[ 本帖最後由 Ming 於 22-10-2008 04:34 編輯 ]
1

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  • 白戶則道

short NDX June call

built a small  short position on NDX June call this morning.

5/19/08 3:35 pm
NDX at 2013 down 18 points from intraday high of 2050 at 1:30 pm.
The weak close today compare to the recent days is the key element to watch. However, the volume is not so heavy as I expected. If I see the last thirty minutes with heavy selling, I guess this down leg may have further to go.


5/20/08 12:37 pm
potect the porfit from the short NDX call by selling some NDX put as a hedging. I still think there should be more down side, but I take what is in front of me.
Watch NDX 1975 and SPX 1400 level in the next few trading days. Then, I may consider to go long for a trade.

5/21/08 3:17 pm
still keep the profit from the NDX short call. look at BKX as it tested the 76 area, the lower level for Jan, Mar and Apr. I picked up some finanical stocks. The market may rebound from this level as Monday is a holiday, and for those who short the market, they will likely to cover for profit.
Long: JPM

[ 本帖最後由 Ming 於 22-5-2008 03:23 編輯 ]

Delta change for SPX & NDX, 5/23/08

there is a bit strange for the at-the-money and slightly out-of-money June options. i.e. the value of the call side doesn't drop much as the market fall, and value of the put side increases less than it should.

noted that premium usually being mark-down in the Friday afternoon by the pit as to reflect the weekend and holiday time value decay, but this time is not.

that means the option traders and the market participants see the market will likely to rise in the very near future. Monday is an exchange holiday, and follow by month-end window dressing, I'm not suprised to see the market rebounds from this level.

position: short NDX and SPY puts

[ 本帖最後由 Ming 於 24-5-2008 08:20 編輯 ]

六 月 飛 霜?

Ming : 5/19/2008 -- short NDX June call
Wow, that's a very good call !   

The U.S. markets sank quite a bit before their Memorial Day long weekend,
have you closed your short NDX calls yet?  Or are you going to hold them
into June (per "Sell in May, Go Away")?

By the way, which brokerage firm do you use to trade your options?
Ming : 5/21/2008 -- Long JPM
Ming : 5/24/2008 -- short NDX and SPY puts
Short puts .... which expiration month???

小 心 六 月 飛 霜 噢!  是 月 投 機 雙 化 忌,大 不 利!  

Ming : 5/16/2008 -- 3/ Market news are in quite mode.
"quite mode"?  Typo?  

[ 本帖最後由 banana 於 27-5-2008 03:08 編輯 ]
closed half position of short NDX call, remaining positions have become out-of-money short call position. Yes, Typo, should read: quiet. I use Fidelity. Short NDX and SPY June puts.

Yes, summer is not a good time to have huge bets. I paid a price (very large) for such mistakes. This summer I will stay 2-3 weeks in SC to depart from the market.

[ 本帖最後由 Ming 於 27-5-2008 04:14 編輯 ]

回復 5# 的帖子

呢 度 冇 乜 人 對 北 美 期 權 有 興 趣  
其 實 standardized options 簡 單、易 玩 好 多!

Memorial Day 後 美 市 升 了 少 少,
咁 你 有 冇 close 到 你 D June puts?

實 行 密 食 當 三 番?

BTW, do you usually sell  In, At, or Out -of-the-money options?

SC?  Do you mean South Carolina?
我 未 去 過 SC,有 乜 好 玩?  捲 大 煙? 打 golf?
1

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師兄是否身在外國?

上次唔知是不是你提過 VIX,之後都有留意這個參數。

在香港,其實恆指期權都好夠玩,好好玩了。再賭多瓣美期美權,咁真係 24 小時炒作。

今年夏天都應該幾熱,我都放下暑假,睇下大家表演好了。

[ 本帖最後由 winwin288 於 28-5-2008 21:37 編輯 ]
(以上不是任何投資建議或推介,請不要跟隨,買賣請自行決定,風險自負。)
首先謝謝 Bros的回复. 現在 NDX position 已成為 short strangle (2075/1850). 比它多小小時間, 會繼續監察這個 position.

差不多每一年. 我們會去 Hilton Head Island, South Carolina 度假, 放鬆一下. 以前學過打高球, 不太喜歡.  香港股市有很多投資產品, 應該充滿 opportunities. 不過我在美國, 24小時的壓力. 身體健康狀況實在無法負擔.

祝兄弟們過一個 nice 夏季。

[ 本帖最後由 Ming 於 29-5-2008 00:02 編輯 ]
Hi Ming C-Hing

Thx for sharing with us on US stock trading.  I really want to learn more about VIX and the relationship with US stock performance.  I still can't catch what is meant by "VIX futures are still in rich premium".  Does that mean that when VIX is around 19 it means less investors fear that DJ will drop and when it rises around >25 that means DJ is very likely to fall soon.

Also S&P 500 is a more substantial figure to watch the market trend than DJ?  Why?
Luvrab1:

Observation:
For instant 5/29/08, VIX (spot) = 18, its VIX (June ,July) Future = 20, 22 we say the VIX is trading at 2 and 4 points premium. In other times, it can trade at discount. For details, you can go to www.cobe.com

Spread:
This is the spread between spot and the near future of the VIX. 2 and 4 points premium we see today’s figure is a slightly bearish to the market in the near future, but it is not 100% necessary to say the market will trade down sharply. It needs to combine with other readings.

Range:
VIX trades in range. Simply put, are they in the lower or upper range of the band. A 20 days Bollinger Bands reading will give you the idea whether it is on the lower or upper range. Currently, it is 21/16. Keep in mind, this trading range can change from time to time.

VIX and S&P
The value of VIX is the calculated result of the S&P near month, at-the-money and out-of-money call/put option transactions. It is directly related to S&P not DJ. Remember, DJ is a group of 30 large cap. stocks across different sectors, therefore, S&P is a better representation of the market.

A contrarian indicator
When the VIX was high as 33 (it happened in March) vs., the historical average 23, we can OK to say the market is in extreme fear as investors rush to buy puts for protection. It marks as a turning point when the reading goes to the extreme in such range. (i.e. in this case, the market will go up) Therefore, we treat the VIX reading is a contrarian indicator.


Hope that help.

[ 本帖最後由 Ming 於 30-5-2008 06:32 編輯 ]