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期權策略:Covered Ratio Spread

如果你看漲一個股票,但同時又想賺取期權的時間價值,就可以使用Covered Ratio Spread。 它由Covered Call和Bull Call Vertical組成——買進股票,買入1份平價買權(ATM Call),賣出2份相同到期日的價外買權(OTM Call)。因為賣出的期權比買進期權多,在期權時間價值貶值方面是處於有利位置。買入股票可以對沖多出來的買權空頭倉位,不會出現風險無限的情況。Covered Ratio Spread比Covered Call更進取——如果股價上漲的時候盈利更多,而且又沒有放棄賺取時間價值的機會。

我們以Visa, Inc.為例子:買進100股VISA INC. (NYSE: V),價格65美元/股;買進1個的6月份65元買權(Call),賣出2個6月份70元買權(Call),價格是收取0.10美元/股(Credit)。這整個組合需要的保證金是3260美元,如果股價漲10%,起碼可以賺487.11美元。這個組合的Theta是2.90美元,就是每天可以賺取2.90美元的時間價值。只要股價在6月20日期權到期日時股價在70美元或以上,就可以有990美元的利潤。


Gray Zhi

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