[精品文章] Ming: 北美期權攻略

原帖由 banana 於 22-7-2008 14:01 發表

Do you watch NBR?
If not, here is, perhaps, a word of comfort from an old-timer, Robert Morrow.

The above video archive will be replaced by another interview on Friday night,
July 25, 2008.  But the ...
sometimes. it broadcasts in th public channel at 5:30 pm ET. in my opinion, it is much better than those pay channels, like CNBC.
Surprise after surprise... AAPL  last night after hours dropped 10%... today only dropped 2.5%...
All indexes went up even though most of the earnings sucked... the only reason I can think of is the "invisible hand"....
原帖由 Ming 於 21-7-2008 20:18 發表
* I was wrong about Apple's earning. Lucky, I did not make any bet on AAPL. However, it will affect my NDX strangle position tomorrow. NDX future is down 31 points as I write.
* just listen to Bloomberg Radio few mins. ago. A guest said 70% of the reported S&P 500 companies beat earning estimates. Forecasts from the analysts are too pessimistic.
*my opinion, too early to say. Earning season still have couple weeks to go.
* added a short NDX 1900 Call as a hedge yesterday.

[ 本帖最後由 Ming 於 23-7-2008 21:25 編輯 ]
Based on the current trend, Tech sector might not be too bad as we see GOOG, MSFT, AAPL, INTC, T all are U-turning. XLK looks tasty.

Short-term: The Oil will continue to roll back, said Wong Sir. He predicts it will back to 115 ~ 120. Money in Commodities also continue to move back to equities. This should provide some support to all major indexes. We should thank Mr Paulson and his firefigthers to recuse us from the market disaster.
Outlook/Opinion, July 23 next 1-3 days
•        VIX Aug & Sept.future trading 1 point premium vs. cash.
•        VIX’s RSI(14)= 42.6, Mom(12)= -4.25, William’s % R(10)= -92.1
•        A short-term reverse to the mean is highly possible, then follow by a range bounce
•        NDX test last week, July 17 high (1862) this morning
•        Earnings so far OK of some exceptions. I think the market can stabilize here in the next 2 weeks
•        Take notice to the short-term inverse relation between oils and the stock market
•        Oil $120- 122 should have some support, such price back to mid-May and early June
          Weather experts forecast the number of hurricanes of this season is high, which will affect the oil refining  in the Gulf of Mexico. (my opinion, can't tell right now)
•        Not much economic news now until the FOMC meeting on Aug. 5

Trading Plan:
•        Selling premium to participate the reverse to the mean situation
•        Summer time, no large bet (my worst trading records always happen in the summer)

Position/Portfolio update, July 23
•        Adjusted positions
•        Short NDX strangle Aug (1900,1950/1750)
•        Other remains the same

[ 本帖最後由 Ming 於 24-7-2008 23:52 編輯 ]
*sold C Sept 22.5 call @ 0.93 for a small profit.
Be careful there, market need a rest b/4 moving up again. Reverse to the mean is taking its own process now.

[ 本帖最後由 Ming 於 24-7-2008 22:28 編輯 ]
The disparity of the call/put options in GLD (gold ETF) can offer you a view on the inflation expectation vs. appreciation of the US$

Observations:
-        GLD currently trading at $91.05 Dec 100 call trading at $3.4
-        While Dec 82 put trading at $2.1
-        In theory, both out-of-money options should be at the same price, or very close to the same price. In equity option, the put should price even higher than the call due to the demand of the put as a protection.
-        The total open interests of the call side in the next 5 months outweighs the put.

Explanation:
Investors buy gold or call option in gold to protect their US$ dominated asset as they view the inflation will get higher. Such demand increases the value of the call option. Second, the anticipation of interest rate hike (this is a strong $$ case) cannot offset the inflation expectation in the next couple of months. In short, the rate of change of inflation is faster than the rate of change of the $$.

Trading Tactics:
Do not think those investors who long calls are stupid by paying high premium to hold the position. However, I try to do the opposite by selling a credit spread with defined risk.

No position yet.

[ 本帖最後由 Ming 於 25-7-2008 02:38 編輯 ]
thank you ! support!

[ 本帖最後由 shaopeng 於 27-7-2008 14:45 編輯 ]

Option price tells you something is going to happen:

[July 26, 2008  3:24 p.m
SAN FRANCISCO (MarketWatch) -- Two more banks were shut down by federal regulators late Friday, who sold the banks' deposits to Mutual of Omaha Bank. It brings to seven the number of bank failures so far this year.
The Federal Deposit Insurance Corp. said it was appointed receiver of First National Bank of Nevada, based in Reno, Nev., and First Heritage Bank of Newport Beach, Calif. - both units of First National Bank Holding Co., of Scottsdale, Ariz. ]

The announcement by FDIC was about 5: p.m., Friday July 25. The US stock market closed at 4: p.m., and the option market closed at 4:15 p.m.
Just right after the stock market closed, the call/put price of the broad-based index options declined 5-10%, depending whether it is out-of-money or in-the-money option. The % drop in call was slightly larger that the put.

My first initial reaction to such decline that could be the result of the time value adjustment operated by the market markers and the pit traders. My second thought told me that was not the case, because the scale of the decline was too large. In about 5p.m. we knew the reason.

Mysterious questions remain:
1) Why both call and put option prices decline instead of directional increasing?
2) Someone must know the news one hour ahead of the FDIC announcement.

If you believe the market is efficient, and dissemination of news are fair enough to reach all the market participants. You probably still are a textbook nerd. Then, the interpretation of the news by a group of individuals who received the information before the general-public could offer the answer to Question #1.

The news appeared to be bearish, but it did not offer too large impact to the overall market. Therefore, they marked down the price of both call and put option to reflect their views. Say this in a simple way, the volatility of the options collapsed in just couple of minutes

[ 本帖最後由 Ming 於 28-7-2008 02:35 編輯 ]
1

評分次數

美國期權以前都有玩,但差價唔細,唔易玩。

期權成交最大係韓國,無差價,成交日日幾十萬張。幾恐佈。由於唔熟韓國經濟,唔敢玩。
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