選擇權搖錢樹 專業投資 | 選擇權教學

選擇權Long gamma策略  就是雙BUY

對選擇權Long gamma策略而言，原本Delta中立的選擇權部位，當行情大幅下跌時，由於正gamma的關係，部位會自動變成負Delta，此時投資人可以利用買進買權的方式，一方面部位Delta調整成中立，另一方面等於將獲利拿來加碼部位的gamma值。

Gamma trader
• With Delta neutrality, not directional trade
• Long Gamma.
• Rebalance Delta after price move.
• Make money regardless either way the market goes
• Assumption: price will move sharply in either way.
• Risk: price stays put, but time flies. Lose time value

Gamma trade implementation
• Long option and use futures to neutralize Delta.
􀂃 Long call and short TXF, or long put and long TXF
• Long call and put to neutralize Delta.
• Case study:
– July 29 TXF =5318 , expiration 8/19, IMV = 29%
• Alternative one:
􀂃 +112 5300 put, +13 TXF
• Alternative two:
􀂃 +100 5300 call +115 5300 put

Two more thoughts
• If IMV changes,
– IMV up, Vega can make up some losses.
– IMV down, Vega will make loss worse.
• If Gamma is higher.
– Around the money and near expiration.
– Easier to benefit from Gamma
– Much worse in time decay.
– Implication: ?

The tradeoff between Vega and Gamma
• Gamma and Vega are both highest at the money.
• On second thought:
– Gamma is getting higher when approaching expiration
around the money.
– While, Vega is diminishing when approaching expiration.
– So, even though it is very likely to benefit from Vega and
Gamma, the question is which one is more?
– If this is a