First, statistical data
On the last trading day, the total market option contract turnover was 596 million yuan, a total of 1.38 million. On the last trading day, the subscription amount in January was 225.37 million yuan, about 570,000 yuan; the estimated transaction amount in January was 195.98 million yuan, about 530,000.
On the previous trading day, the historical volatility on the 30th remained basically unchanged at 14.7%; GVIX decreased by 1.21% to 19.2%.
Second, the options market comment
Yesterday, the target shocks closed up, and the hidden wave bounced back and rebounded. The overall change was small. On the option panel, the left and right months of the month smiled and the right end fell, and the right side of the option was further aggravated.
Third, today's options strategy thinking
Jiancang point of view: October 22, 2018. Current market valuation, policy, and emotional bottoming stage, for the targetLong termCity is cautiously optimistic
Yesterday's target closed up, and the reserve strategy continued to expand. Look today and continue to hold. The benefits of this strategy are not in the past, but in the long-term holding, the main source of income is the increase in the target, and the sale of the subscription as the subject of rent compensation can also contribute to the income.
The redemption strategy is income-enhancing, and the source of profit is the rise of the underlying and the passage of the time value of the option. When you open a position, you buy the target and lock it. At the same time, you can buy and sell the subscription contract, and regularly display the position (the contract will be moved to the next month before the contract expires).
risk warning: The overall redemption strategy is too high. In the down market, the strategy will lose money. However, the strategy has no margin risk, but if it faces a sharp rise in the market, it needs to move the position of the sold subscription contract in time, otherwise there is a risk of delivery.
Jiancang point of view: December 20, 2018. US stocks continued to decline, and the domestic banking board was in danger, or it would drive the target down the stage and rebuild the shock zone. At present, the hidden wave is up, and the right to open the position is used.
1) December 21, 2018. The drop in the mark yesterday was obvious, and it opened today.SellOutLowerThe put price of the exercise price. The purpose is,Keep looking empty, but reduce the exposure of delta and vega, which is good for holding positions.
2) December 24, 2018. The position of the right position is changed in January. If it is opened lower, the open value of the January value is increased, but the position delta is negative.
3) January 7, 2019. On the basis of the original mixed bearish positions, the rallies increased the open position and the position was bearish.
4) January 8, 2019. Increase the sell-off of the imaginary value and use the obligation to reduce the vega risk of the overall position. Note that after the opening, please keep the total position delta negative and continue to bear the short.
5) January 10, 2019. Put right partyShiftingIt will be held until February.
Yesterday's target volatility closed up, but the default volatility has not been touched, so as of yesterday's closing position is based on the mixed bearish in January and February. The recent trend of the target is anxious, and it is a dilemma. At the same time, it shows a trend of intraday volatility but a small closing shift. On the transaction, it is recommended today.Increase salesIn February, we will further reduce vega and delta exposure.
Risk Warning: Mixed positions are bearish, with limited risks and benefits. If the subsequent domestic policy is overweight, it may change the judgment of the trend of the target.
Fourth, strategy tracking
Past strategy list(Note: Click on the following date to see the analysis of the strategy opening day)
|time||Single group rate of return||Annualized rate of return||Strategic review|
|1. Mixed position||10/11~10/30||2.5%||45%||The rights warehouse is matched with the obligation warehouse to reduce the position cost.|
|2. Interval bullish 11/16||11/01~11/15||0.97%||24.4%||Looked at the hidden wave of the decline, covering the loss of the wrong direction, and thus profit.|
|3. Harvest time value 12/13||11/22~12/12||12.9%||216%||The pre-criteria interval is consolidating, selling the virtual third-order contract constitutes selling wide span, harvesting time, and leaving before the target faces the direction.|
|4. Mixed bearish 12/18||11/26~12/17||5.04%||79.4%||According to the trend of the hidden wave, the rights warehouse has changed the position of the warehouse and seized the double profit of the hidden wave and the target, and the two intraday transactions increased the profit.|
Fifth, the chat section
Recently, someone started asking me in the background, when will it be more. Well, it’s hard to say that accurate bottom-hunting (the short is short) is never my strength, nor the “capability” I am trying to strengthen. But how to follow the market to adjust positions, it is worth learning. The dimensions of options trading are not limited to the ups and downs, but also volatility and time. Looking at the end of yesterday, the hidden wave and the target are rising, which is usually a less optimistic phenomenon. The same as the rising stack smiles left, and the bearish sentiment in the option market is obviously aggravated. Therefore, please be cautious when chasing up, I really want to chase, consider trying to open a warehouse.
(Article source: GF Option Taojintong)