選擇權 Theta trader

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%

獨孤求敗

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