選擇權搖錢樹 專業投資 | 選擇權教學

就是雙sell策略

Theta trader
• The opposite of Gamma trader
• Time is the best friend, volatility is the worst enemy.
• Long Theta and short Gamma by holding short option positions.
• Pick the short term option to enjoy the highest Theta value.
• Assuming: Nothing will happen.
• Risk: Something does happen.
• Rebalance Delta when necessary.

Theta trade implementation
• Short option and use futures to neutralize Delta.
• Short call and put to neutralize Delta.
• Case study:
– July 29 TXF =5318 , expiration 8/19, IMV = 29%
􀂃 -100 5300 call -115 5300 put

Managing a long Theta/short Gamma position
• Stay put, then wait and see. (That is directional trade).
• Or, dynamic rebalance the Delta position.
• Assuming this case:
– Four days later(8/2), TXF down to 5200 from 5318.
– Our Net Delta position become +7.5 million(or 7.2 TXF).
– We have to short –7 TXF to rebalance our Delta risk.
– At the same time we lose more on the put we short and profit less
on the call we short. So, we will end up with only a little profit even
receiving the time value for four days.
– After re-balance, if price goes up again, we have to buy back
futures to rebalance, and encounter another loss.

The trick of Theta trade
• Timing to short
– At times we believe the market volatility is getting lower. So, the
time value we received can be higher than the hedging loss in the
holding period.
– Short when actual volatility is high, when market is over shooting.
– Short when IMV is trending lower.
• Hedge
– Be patient, but be alert.
– Stay put before market makes decisive move.
– Hedging is actually a series of speculation.
– In smaller scale, and in shorter time span.