another way of thinking: delta neutral

for example, you find that QQQQ options are too expensive, and QQQQ will not be that volatile through OE, you can sell Jun Call (or put) and buy some QQQQ to make it delta neutral. Your position is now short gamma, meaning any movement will cause loss to you. You are also theta short, meaning you make money from time decay.

The hard part as time goes by and QQQQ moves, your position will not be delta neutral any more. Most traders would adjust the QQQQ position to make it delta neutral again. Tricky part is where and when to rebalance.

In general, if the IV of the option you sold is higher than the realized volatility by June OE, you can make money without rebalancing.

The startegy could be the opposite way if you think IV is too low.

所有跟帖： 

• The first section seems to be write covered option? [e-mail]- ♂ (0 bytes) () 05/30/2006 postreply 16:56:19

• yes, but not 1:1 ratio. the ratio is delta of the option you sol -putwriter- ♂ (0 bytes) () 05/30/2006 postreply 16:58:32

• option pricing and volatility 这本书里讲得比较细。 -putwriter- ♂ (0 bytes) () 05/30/2006 postreply 17:03:46

• Is that this book? Thanks! [e-mail]- ♂ (115 bytes) () 05/30/2006 postreply 17:06:14

• 对！option trader人手一本。 -putwriter- ♂ (0 bytes) () 05/30/2006 postreply 17:07:17

• 谢谢！Just ordered. 有没有其他推荐书？ [e-mail]- ♂ (0 bytes) () 05/30/2006 postreply 17:08:08

• 够用了。他没讲的就是如何判断股票走向了。 -putwriter- ♂ (0 bytes) () 05/30/2006 postreply 17:09:40

• How about this one? [e-mail]- ♂ (260 bytes) () 05/30/2006 postreply 17:11:30

• 也是好书，但是入门读物，你不需要了。 -putwriter- ♂ (93 bytes) () 05/30/2006 postreply 17:15:33

• 大概怎么个用法？ [e-mail]- ♂ (141 bytes) () 05/30/2006 postreply 17:21:08

• 讲的是怎么用excel做模拟, 没有算法.你有程序就不用了. -putwriter- ♂ (0 bytes) () 05/30/2006 postreply 17:23:45

• 谢谢指教！putwriter兄晚安！ [e-mail]- ♂ (0 bytes) () 05/30/2006 postreply 17:32:10

• good nite. -putwriter- ♂ (0 bytes) () 05/30/2006 postreply 17:33:06