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发表于 2014-5-17 10:36
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传闻中国很快要推出股指期权了。如果有不明白怎么做的同学,建议赶快去学学,不要继续在传统的技术分析里面折腾。成龙还是成蛇,只在一念之间。:WX:
下面是老和尚发现的一段对话,强烈建议同学们弄清楚先,
看到一伙计这么问,
Which could be a good strategy to beat a stock benchmark?
Andres Montoya
Analista Investment Advisory Group en BTG Pactual Colombia Top Contributor
Hello everybody. Actually, im programming some individual strategies for stocks in C# and VBA. Im looking for suggestions about which could be a good strategy to beat an index with the use of an algo system.
然后一牛人这么回答,
Rick Cromer
Professional Services at AVIO Consulting
Just buy SPY and sell Calls against it when it reaches it's upper range or IV Rank is above average, if SPY is at the lower end of it's normal price range (2 std dev bollinger), use a call ratio spread to maximize up moves and sell puts to continue reducing the cost bases of SPY. Stay away from companies because they are too unpredictable especially during earnings. You will outperform S&P 500 in an up and down market by 5-15% better each year.
老和尚解释道,
那人该是这么想的,
1. 当 SPY 在短期高点的时候,做个 covered call,赌它不往上大涨,赚一点再说;
2. 当 SPY 在短期低点的时候,做个不花钱的 call ratio spread, 万一涨很多时可以捞点回来;同时卖 Put,把持有SPY的代价降下来,当然可能AD。
注:
Call Ratio Spread
A cost neutral strategy of using calls, a 2:1 call ratio spread can be implemented by buying a number of calls at a lower strike and selling twice the number of calls at a higher strike.
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2014-6-8 07:01 |
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