Straddle issue

Ok, this time I want to write in English becuase more easily to express my view:

1/ The straddle I did on 2628 long 33p & 35c was totally wrong. The thing is that the market is very very quiet. You can see from stock graph, the market is just fluctuate beteween 20000. I missed a change to stettle this rubbish trade when 2628 reach 32.x & 36.x

2/ This trade is rubbish because now I am facing "vol crush". The trade I did is Dec options which can relucant to Theo but not Vega !!! IV drops from 40 to now 31, it kills my trade. The thea lose $1 of my combined options value.

3/ I did this trade on late Aug, the front month IV was 36 and the back month was 39, which got decent % difference. It was not a good entry point. A bad volatility skew

4/ This type of calender spread was very popular by advanced options trader. The ppl select their opitons sticke price usually 1std +/- . The trade I did when 2628 was 34.1 so it basically a ATM options.

5/ buy a straddle for 20% IV. if you hedge each day, you need to adjust at standard deviation points in the stock that exceed 20% actual volatility moves. alternatively you can hedge by selling options with >20% IV or purchasing options that are less than 20% IV. So 40% IV of 2628 1 std = +/- $7.x by 120 days from expiration. To sell 40% IV, now is difficult.

6/ Short vol into earnings is that the short gamma can kill you. one method to overcome is to short back back month options (6 months more) .Theoretical you would want Delta/Vega/Theta to be real small Gamma to be big.

7/ Spread loss can cause an instant 10 to 15% loss per leg for a total of an instant 30% loss the very moment you put on a straddle! This is even worse if you put a straddle on options that have very wide bid ask spreads. The combined effect of these losses create a situation where you can profit only when a stock moves EXPLOSIVELY in one direction with a large magnitude...

8/ buy + selling in different months is a very advanced and complex trade which I didn't think about it before. My feeling is that this strategy is the real light to have decent profit, but I am sure at this moment, I am not capble to do these kinds of trade. I am not recommend to any non-expert trader, including me. I will stick on my plan and cut my straddle when reach 50% loss.

今日動作

平左sc 2628 @ 34 $0.37
sell 1800.HK 兩手 @ 8.4 蝕 $4020
buy 2628.HK 一手 @ 33.7
美國狂升....唔係咁快調整完呀 ....

27 Sep Weekly Review

今日星期日check 下自己的投資，發覺我好多時耐唔耐都會有一次較大的options 投資失誤，過到加下加下都有三萬。今年的投資回報暫時都係正數，但%好低。我自己好耐之前諗住set 每個月有四千蚊的期權金，而家已經可以逹到目標。

九月的期權金應該有五千蚊到，策略無乜點係做多左個2628 straddle ，睇下到時點救佢。

期權倉方面，有好大手的成交係十二月，無論指數還是股票期權，我估暗示十二月會有好大的波動。2628 方面已經係前文提過，所以我的佈署如下:

1) agent 走數，八、九月的salary要去勞工處追，但十月新agent應該無問題，資金方面可以預測到
2) 2628 otpions方面個 range 估 $30 - 40，所以我會係
3) 50 SMA 入一手，係星期五入左，因為no supply singal + 50 SMA + 可能要俾人行使
4) 如果俾人行使 會係 33 * 2 sp + 32 * 2 sp + 30 * 2 sp
5) 唔係就33 * 1 + 32 *2 + 30 *2
6) straddle 不理住，暫時止蝕係value 一半 + 十月尾至十一月中左右的時限
7) 1800 會唔理價位入其它股票
8) 2899 睇下明天要不要止蝕/ 平手放出

Oct (17/8/2009)

OCT-09  18400 P      639    1148     +1144
OCT-09  20400 P     1446    815      +768
27/8/2009 19400p (728pts) 17400p(198pts)  2:1
24/8/2009 18400p 23200c short strangle ? OI+300
25/8/2009 18000p 18200p 2:1
22/9/2009 21000p  446 OI+646
24/9/2009 21000c 個六百點位有幾百幾百咁加options ，我估係long因為IV 得2x jar..
23200c -600我估十月頭去唔到

講下宏觀個市:
1)有人話唔需要理，索羅斯都唔會多睇，但大家唔洗深入研究都要知，政經永壤係政治行先
2) 美國已經講左話唔會咁快退市，我自己估差不多，G20諗住個市造上去帶動經濟，點會咁快俾佢停
3) 保護主義係美國佬帶動，而家去到歐洲。我自己都係做下show 係個G20 嚇下中國。要俾d 政客交待下嘛，而家gobalisation，大家都要吸取Great depression教訓，點會打貿易戰。
4) 經濟需要時間增長, 但無人話佢會倒退

綜合來講:
1) 個市p/e 17.5 左右，唔算平唔算貴，牛皮市機會大，這是我最驚的(做左straddle)
2) 十月期權倉無乜大OI，可能d 大戶未轉倉/ 牛皮

IV 狂跌

我的straddle IV 係咁跌，由40 去到得返34。加上2628的股價又去返34左右，時間值無左成蚊，攪到而家蝕緊八千幾蚊。我預左最多止蝕係無一半，大約萬二左右。計設這個止蝕位係書本一名作者的習慣。

40已經好低ga la..咁都可以去到33.....我估點都會爆下邊gwa....救下我好喎

今日入一手2628正股@ 34.8，因為成交底，有no supply signal，星期一升極好。估會係21000以上結算。

跌得勁

而家跌左成五百幾點，我個2628 straddle 又打回原形，重要IV 跌，都廢事計佢蝕幾多，暫時不理住。最好跌到34蚊等我平2628 sc 。今日動作如下:
平sp Sep 2628 @ 34 * 2 $ 0.18
開sp Oct 2628 @ 34 $1.01

今日成交幾勁，2628 琴日我睇張圖升左三個浪但成交量係跌的，自己都係琴日先發覺+ 無乜信心。今日如果真係大成交下跌幾百點，而明天又跌，好可能調整市開始左。暫時無乜策略，都係等開sp 2628。

九月中

而家去到九月中，暫時我都係找工同追糧，無乜好理個市，話今個星期有糧出，睇下點吧。

今日得到出糧希望就真係認真咁睇下個市，而家金係咁升，今次中左post，遲左三個月，我其實有諗過放棄，最好都無，但無加倉lor..得三手。

之後期權倉有:
sp 2628 @ 25 *4 $3500
sc 2628 @ 40 *2 $0.49
lc 2628 @ 35 * 5 Dec $2.73 IV 40
lp 2628 @ 33 * 5 Dec $2.75
sp 2628 @ 33 * 2 $1.27/ 1.07
sp 2628 @ 34 * 2 $1.31/ 1.48
sc 2628 @ 34 $0.78 <-- itm 但有stock cover ..無事
3968 的五手sc 平左了，今次賺得好少around $2200....但最後都係蝕本...大約蝕六千...不過好彩走得快..唔係挾死..
而家期權倉全面向好....2628 IV 跌到得返 33 ...不是很好..耐心等
得閒拿返個計數機返公司先...雖然我好似成日蝕，但今年已經賺到我的double pay 返來

而家股票倉最廢係1800，要攪攪佢。2628 開始變好，希望去到$38。十月可能係淡倉，到時先再算，暫時都係向好。941 應該會升，不用理佢。最後係晚上confrim 有大手2628 options OI ，加左五千幾張係Dec @ 30 p & Dec @ 40 c。我估係short 兩邊賺權金，即大戶個range可能係咁。