w******t
发帖数: 13 | 1 Suppose I have a directional view on an underlying; and I am right about 70%
of the time. What is the best way to use options to trade this view? For
example, we can buy a naked call if we are bullish, but then we are taking
downside risk if we are deep in the money, and we are taking theta-hit if we
are at the money or out of the money. Alternatively, we can buy a bull
call spread, but then our profits are capped if we are right.
In sum, I want to look for a strategy (or a class of strategie | p******i
发帖数: 1358 | 2 I think that depends on your utility function. so define 'too bad' first | f******y
发帖数: 2971 | | l*******n
发帖数: 206 | 4 Short OTM option -> Unlimited downside if you are wrong. So not satisfy one
of the requirement.
No option highhand here? Surprised ....
【在 f******y 的大作中提到】
: short otm options?
| m********0
发帖数: 2717 | 5 I don't think it will exists.
if your are to minimize theta,
you have to have both long and short legs to hedge.
or you sell theta.
either way, you could not have maximum gain potential and
minimum risk simultaneously.
otherwise, other strategies will fade out.
70%
For
we
are
【在 w******t 的大作中提到】
: Suppose I have a directional view on an underlying; and I am right about 70%
: of the time. What is the best way to use options to trade this view? For
: example, we can buy a naked call if we are bullish, but then we are taking
: downside risk if we are deep in the money, and we are taking theta-hit if we
: are at the money or out of the money. Alternatively, we can buy a bull
: call spread, but then our profits are capped if we are right.
: In sum, I want to look for a strategy (or a class of strategie
| f******y
发帖数: 2971 | 6 You are right. How about long short term, short long term otm options, and
keep our initial position delta neutral?
one
【在 l*******n 的大作中提到】
: Short OTM option -> Unlimited downside if you are wrong. So not satisfy one
: of the requirement.
: No option highhand here? Surprised ....
| l*******n
发帖数: 206 | 7 Interesting.
I guess then the question is:
is there a strategy that dominates simple call spread or sell OTM put
assuming you are bullish? does not have to be optimal in both gain
potential and risk, but is there anything you can do taht improves on both
dimension?
【在 m********0 的大作中提到】
: I don't think it will exists.
: if your are to minimize theta,
: you have to have both long and short legs to hedge.
: or you sell theta.
: either way, you could not have maximum gain potential and
: minimum risk simultaneously.
: otherwise, other strategies will fade out.
:
: 70%
: For
| l*******n
发帖数: 206 | 8 could you explain more?
I thought we want to express a bullish view. delta neutral won't do it right
? I could be totally wrong..
long short term call + short OTM long term vs bullish call spread
The difference is really short OTM long term vs short OTM short term. So it
improve gain potential or theta decay?
I am new to option, so please elaborate
【在 f******y 的大作中提到】
: You are right. How about long short term, short long term otm options, and
: keep our initial position delta neutral?
:
: one
|
| m********0
发帖数: 2717 | 9 maybe, reverse calendar spread.
but practically,
it's only better when the stock goes up or down significantly.
moderate bullish or bearish, it's worse strategies.
right
it
【在 l*******n 的大作中提到】
: could you explain more?
: I thought we want to express a bullish view. delta neutral won't do it right
: ? I could be totally wrong..
: long short term call + short OTM long term vs bullish call spread
: The difference is really short OTM long term vs short OTM short term. So it
: improve gain potential or theta decay?
: I am new to option, so please elaborate
| f******y
发帖数: 2971 | 10
right
As the underlying moves in favor of you, you'll get positive delta. Thus you
make money. If the underlying moves against you, you are still more or less
delta neutral. So you don't lose a lot.
For bullish call spread you upside potential is capped, it is not in my
portfolio.
it
Your theta decay is better than a naked call, since the short position in
long term option can compensate some of it.
【在 l*******n 的大作中提到】
: could you explain more?
: I thought we want to express a bullish view. delta neutral won't do it right
: ? I could be totally wrong..
: long short term call + short OTM long term vs bullish call spread
: The difference is really short OTM long term vs short OTM short term. So it
: improve gain potential or theta decay?
: I am new to option, so please elaborate
|
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