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。

風暴來臨

九月會係風暴來臨。一定會爆上/ 爆落，暫時本人偏淡。期指倉暫時只有八萬張，唔夠張數，應該過多幾日先會來。期權倉似做左backspread ，大上大落。匯率方面美金好似有點變強。日本大選，應該日元會變強。EUR/ GBP好似跌，AUS 會似會加息。金暫時有點回升。

圖方面2628 唔掂。上A 跌到咁HSI唔跟，只係因為美國/ 恒指結算，佢一定會跌返落。八月HSI唔做上已經透露左大戶都驚做上的風險太高。3968業績好差，希望唔會好似#330咁俾人洗倉。941結果都去返$77.6，七月個時俾人行使，結果一個月後又打回原形，真係未到最後都唔知結果。

點都好，大家小心!!!我會入返d 股票長線投資。打工無錢收，真係不是味兒。

31/8/2009: sc 2628 @ 34 $0.78 一手 ...對沖下個delta 暫時都係好正...

開倉

今日暫時做左 2628
sp Sep @ 34 $1.48
sp Sep @ 33 $ 1.07
long put Dec @ 33 $2.75*5
long call Dec @ 34 $2.72*5
sp Sep @ 33 $1.27 (yesterday)
sp Sep @ 25 收三千幾 <---做左好耐 sc Sep @ 40 * 2 收千幾 <--- 上個月頭做 其它: sc 3968 @ 15.38 * 5 (so annoying) 遲d 再開..1800, 2899 我驚gold 穿935 ，而家外匯都好似來料....如果金都跌double confirm 八月有: 2628 sp @ 33 2628 sp @ 32 *2 3968 sp @ 18 * 2 應該要收貨 2899 sc @ 8 * 3 1800 sc @ 10 * 2 用個excel calculator 假設IV 不變，今個月可以cover 到十二月的時間值delcare 但有個bid /ask price 問題，所以真係要諗諗 我估9 月中打後會有大變動，睇下中不中 。諗返起又唔洗咁快做straddle，可能個EQ唔係好掂。

05/8 SEP-09  22400 C    385                                     +2507
23/7 SEP-09  21000 C    598     +174   32     2657     5418     +2473
17/7 SEP-09  20000 C   582                                      +2299
  SEP-09  19000 C   944                                      +419
  SEP-09  20600 C   398                                      +615
  SEP-09  16000 P   305                                      +1875
27/5 SEP-09  21000 C   354     +188   31     1017      1108     +1010
27/5 SEP-09  18000 C   1308    +475   34      591      1381      +448
09/6 SEP-09  22600 C   117      -31   30     2001      2000     +2000
09/6 SEP-09  19600 C   717      -95   34     1021      1120     +1020
SEP-09 23000 / 24000 did it long time ago

衰到無人有的招行中期業績...接左兩手新貨..真係頂

又蝕

睇中都無錢賺。
long call 20800 個張平左係76pts
long put 19600 個張蝕緊...無心...理佢住
打去勞工處..原佢話email簽都有法律效力..心定一點
但都無乜心機.....不利投機

開左張sp sep 2628 @ 33 收 1.27
琴日2628 中期report EV 約10.x 增長不錯 10.x * 3 / 0.9 = 34.x
所以今年開sc 40蚊 應該問題不大

總結今日 :
long call 20800 76-53 = 22
long put 19600 11-59 = -48
所以蝕 -26 - 6 - 1 大約蝕330蚊，所以今個月係HSI 期權輸$430

發覺options IV 跌得好勁尤其係10:30 後同 午市之後 (得返一日)
跌的速度係上午, 下午, 尾市同價位都會個options price都跌
一大插個一刹那d options IV 會升..但係好快又變返正常
成日到係坐唔定好易走人...下次要set死win / loss pt
原本今早係可以win 但走得太快
琴日以為跌, 但點知佢倒升，我跌個時諗住加put 倉，最後都無做到。玩options 唔可以做死一個direction，應該係spreading，我要切記。

部laptop 慢到傻...開幾個webpage 即刻出現白screen
想落order 要等佢變返正常..真吹脹

外匯方面見到美元強左GBP drop, EUR flat，應該不利hsbc，估個市應該小小向下gwa...
不估了，遲點再做2628 sp

明天應該跌，因為係put 到有加倉。算了，自己成日睇個市都有 delay。係我的讀者要好好記住時間誤差，就算一天都會能到自己蝕錢收場。

又博過

今次係10點幾做左
long put mhi aug 19600 @ 59
long call mhi aug 20800 @ 53
即係straddle , 做完之後...馬上縮IV 即係蝕錢la..
唯有望天打掛...打和點係19500 以下或20900以上
波幅成千點....睇下中不中la...
不中都算...我的stock options 今個月應該幾好...今次當俾小小學費

博

今日買左一張 MHI 2000p @ 80 (細options)
個時大約係11:53am ..hfi around 26000
睇下中唔中la..買係因為博下，八百蚊唔肉痛，博得中就爽!!!

當然見今日不破20800 即市又有成千張2000p 成交，最加12:25am 個時見到有大手係20800c成交，都令我唔走人．．．大家都知中午成日都gap 來gap 去。

一個字 博.....

衰左..只定蝕都得..應該無左一半....

平左倉..蝕不多於一百蚊 (正確係蝕$84.32)...78點走...原本都有一二百賺..點知個死sytem 定格...到我發覺佢定格已經無左10pts之後老細叫我...hit 唔到我止賺位...咁就輸一百蚊
夠擔可以再博..不過廢事煩..不理了。

今晚睇左 OI 明天跌的機會大，睇下明天開市點樣，有無機會再long put。理由係20800 -213 OI，但係近價put 有好多新OI，睇下到時對不對la..
再睇futures ，而家無減倉反而加倉! 八月可能會勁爆，上個月倉位係二萬點左右轉過來。應該大戶做波幅。

一開市，就無左成千蚊原有的利潤.........只係一天

雜談

今日睇下個恒指期權倉，發覺係20800c 到有+338 新OI，所以可能係做long call ，因為美股又升，大有可能博佢上去。另一邊就係跌，一係19000，但暫時望上好似好點。估計來緊個星期應該係21000-19000到上落。

上 a 出現no supply + hammer-like stick，可能係見底訊號，如果唔係都會反彈。FX 的美元又好似來一浪底一浪格(但要過幾日先知)而家似築底爆上/落，gold + oil 又反彈，似係為反彈市/ 創新高做準備。或暫遲點大成交衝破21000 入返d 市。

暫時我唯一擔心係我的極價內3968 short call，真係諗緊方法處理。我估星期一又會向上，新聞出左乜鬼十大最respect 企業，真係激死。建行竟然唔派息，但有future notice，暫時將佢由推介名單打入觀察列。

而家八月股票期權倉底有:
sp 2628 @ 33
sp 2628 @ 32 * 2
sc 2899 @ 8 * 3
sc 1800 * 10 *2
sp 3968 @ 18 * 2
九月有:
sc 3968@ 15.38 *5
sc 2628@ 40 * 2

已經決定寫個期指期權database，希望成功la...

Find Partner (To my friends)

Find partner to work out a database to store all the financial information.

1/ Use a database to store all the futures, options, stock options etc.

2/ Use this database to help us to find some strategries for earning some pocket money if we able to do so. ( long run)

3/ To put this database online if possible. There is no this kind of database / service fully avaiable even you want to buy them. (more long run)

4/ To show them to our CV for this project. There are Free 2 main sites partially contians this kind of service and the hit counter over few thousand per day. It is a good method to show off.

5/ I think this project can learn a lot of things and once the database build up, you can use it many years !

find:
- good at programming / finance / statistic
- have time and work as team
- got motivation

I WON'T PAY ANY MONEY TO YOU

contact me anyone interested......

牛一尾

我估而家係牛市第一期尾，應該打後兩個月會係跌市，所以係入貨好機會來的。不過未定，但今日咁跌法應該係來真的。暫時做左3968 , 2628 sp ，其它做左short call 941 行洗左兩手 2628 sc 兩手, 1800, 2899 全部sc 左，唔係做得咁好，但好過無。慢慢等回待。

老實講，我成日都係太早做sp/ sc 全部錯晒方向。如果遲d 到個d sp 你話幾好呢

之前成交慢慢細，但都又上又落咁勁都覺怪怪地。之後今日成交略增，應該向下。暫時睇2100係浪頂，下跌應去到19000，最多17000 但機會甚微，18xxx較大。十二月會見新高。我睇今年牛市玩兩年，浪頂約係2010十月至2011年初，之後會步入全球經濟大衰退。理由係現在走勢係似足1998-2001年，當時的科網股。而現在應該係資產泡沫，今次係全世界政府印銀紙，用$ 去較左個泡沫，即係一個泡沬救一個，所以今次會係快、勁、短的牛市。也係因為咁，下一次係長，久、勁的熊市。大家小心小心。

而家請教緊一個人...點睇大戶的options 分佈。個位係網上人，但佢要我自己諗，諗到d 先講d，真係諗到頭都爆。

3968

我一有五手3968 @ 15.38 sep sc 因為之前變左deep in the money 攪到咁鬼樣。琴日股市大跌，做左Aug sp @ 18 兩手收$ 1.05，都係為左幫補一下，希望3968 快d 跌 la....

個市又上又落，都無乜特别，暫時都係唔理。