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 自问自抛砖 如何LONG VOL （非VIX FUTURE）: |
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emperorfan
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年龄: 49
加入时间: 2010/02/05
文章: 2008
海归分: 814623
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作者：emperorfan 在 谈股论金 发贴, 来自【海归网】 http://www.haiguinet.com
From surlytrader:
By examining the skew and term structure of implied volatility, you can see that options with longer maturities have higher implied volatilities than options that expire soon. In addition, we still see a pretty strong skew, meaning that out of the money put options are trading for quite a bit higher implied volatility than at the money put options. This structure provides a very good way to take advantage of a view that realized volatility will pick up soon while long term volatility will be lower than the ~24% that out of the money put options are trading at.
The strategy is simple:
1. Purchase a 1 – 3 month put at-the-money which has a high gamma and low vega
2. Sell a 1 year put 10% or further out of the money which exhibits a high negative vega and low gamma
3. Delta hedge the overall position with the SPY ETF so that the delta is neutral at the end of each trading day
The purchased short-term put option will make money when the S&P 500 moves more than the expected 16% implied volatility that you purchased it at. The written 1 year put option out of the money will make money as that long term implied volatility falls, but if you hold it to expiration it will make money as realized volatility comes in less than the 25% implied that you sold it at. We could ignore the delta-hedging aspect of this position, but it would leave us with directional risk in the markets which we might want to avoid.
另外
What VIX forward curve tells you is that if you buy a VIX futures contract you will lose money by holding it just because the contract decays in value (rolls down the curve). This effect is most destructive when holding a futures contract with a nearer maturity. In this case, if you look at holding the Sep 2010 VIX future it loses 2.17% over two months while the Jun 2010 loses 15.97% over two months. This will obviously change as the shape of the curve changes, but if you pay attention to the forward curve you can make strategic second-order decisions that will make your VIX trading much more profitable.
作者：emperorfan 在 谈股论金 发贴, 来自【海归网】 http://www.haiguinet.com
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 自问自抛砖 如何LONG VOL （非VIX FUTURE）: -- emperorfan - (2091 Byte) 2010-4-17 周六, 13:37 (955 reads)
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