I**C 发帖数: 1513 | 1 IBKR股价:$19.24
12/17 expire的strike price 19 的 put 是$0.30
特别股息:1.79
Automated global electronic market maker and broker Interactive Brokers
Group Inc's (NASDAQ GS:IBKR) board of directors approved on Monday a special
common cash dividend of USD1.79 per share, from cash on hand.
The dividend will be paid on 23 December 2010 to all shareholders of record
as of 9 December 2010.
如果买入股票,再买一个put, 岂不是10天之内无风险每股得到$1+? 有谁看明白其中
trick的请解释一下。 |
h******u 发帖数: 40 | 2 pricing error, lucky if you got some |
I**C 发帖数: 1513 | 3 另外一支股票OXPS: optionsXpress也有类似的情况,难道都这么巧出错么? |
a*****e 发帖数: 1717 | |
I**C 发帖数: 1513 | 5 看书了,可是不明白.如果按pricing model, 因为dividend这么hefty, put价格应该很
高才对. |
m********0 发帖数: 2717 | 6 我来说下吧。
很简单,如果你能拿到special cash dividend,
这就是5%左右的套利,但是不会有太多单让你fill的。
另外,你的return应该是20天之后,不是10天。
尽管你的combo只需要hold 3,4天。
【在 I**C 的大作中提到】 : 看书了,可是不明白.如果按pricing model, 因为dividend这么hefty, put价格应该很 : 高才对.
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I**C 发帖数: 1513 | 7 从下面这句话来看,ex-dividend date是12/7。12/6号买入股票,再买put, 12/7号把
combo position close掉。那就是说这个special dividend 一天应该可以拿到?
The dividend will be paid on 23 December 2010 to all shareholders of record
as of 9 December 2010. |
m********0 发帖数: 2717 | 8 7号或之前买入combo,7号之后exercise,然后等16天收息。
我对股息了解不够,不确定special cash是什么股息,
似乎就是out of fixed schedule。只要确定这股息是你能拿到的,
然后limit order就OK了。
对我来说不算什么attractive的trade。但没时间的时候会去做。
record
【在 I**C 的大作中提到】 : 从下面这句话来看,ex-dividend date是12/7。12/6号买入股票,再买put, 12/7号把 : combo position close掉。那就是说这个special dividend 一天应该可以拿到? : The dividend will be paid on 23 December 2010 to all shareholders of record : as of 9 December 2010.
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I**C 发帖数: 1513 | |
m********0 发帖数: 2717 | 10 I don't buy it.
the reply in the thread says
OCC will step in and adjust strike prices.
Apparently, OCC has nothing to do with such adjustment.
CBOE does.
And it clearly says CBOE will adjust the chain (due to
liquidity, ATM will shift significantly for such big dividend)
on the ex-distribution date, at least a week after Dec Monthly OE.
In a word, the reply in your link is miss leading.
【在 I**C 的大作中提到】 : CBOE会调整strike price: : http://www.theoptionsinsider.com/forum/posts.asp?id=681 : 能举一两个你平时trade的examples么?
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I**C 发帖数: 1513 | 11 简单的说,就是你买的是标注为19的执行价的put,实际上是执行价(19-dividend)的put.
所以put会这么便宜.否则这就是一个100%的arbitrage.
CBOE 在dividend > 股价10%是会执行这一规则. |
m********0 发帖数: 2717 | 12 你没有理解我说的。
put.
【在 I**C 的大作中提到】 : 简单的说,就是你买的是标注为19的执行价的put,实际上是执行价(19-dividend)的put. : 所以put会这么便宜.否则这就是一个100%的arbitrage. : CBOE 在dividend > 股价10%是会执行这一规则.
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c**********e 发帖数: 2007 | 13 I do not think the link is misleading. It seems a very reasonable answer.
Otherwise, the arbitrage opportunity is too obvious.
【在 m********0 的大作中提到】 : I don't buy it. : the reply in the thread says : OCC will step in and adjust strike prices. : Apparently, OCC has nothing to do with such adjustment. : CBOE does. : And it clearly says CBOE will adjust the chain (due to : liquidity, ATM will shift significantly for such big dividend) : on the ex-distribution date, at least a week after Dec Monthly OE. : In a word, the reply in your link is miss leading.
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m********0 发帖数: 2717 | 14 我说错了一部分,这里是OCC的rules,因为strike不调整,symbol不调整,
OCC负责在ex/as的时候调整,
不过我重申了几遍日期,没人仔细看,一点发贴积极性都没有了。
answer.
【在 c**********e 的大作中提到】 : I do not think the link is misleading. It seems a very reasonable answer. : Otherwise, the arbitrage opportunity is too obvious.
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