Test http://www.chineseworldnet.com/node/135
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每月19.04%的租金

如果你認為NTES的股價在3月20日前會在17.5美元附近盤整,或者一直下跌;而且隱含波動率(IV)會上漲,就可以買進這個對角線套利。

我們賣出的MAR09到期的17.5 Call的IV是69.6,買進的JUN09到期的20 Call的IV是53,我們從這個期權組合賺了69.6-53=16.6的IV差價!

這個差價有兩個好處:
1.買進這個期權組合還可以收期權金——買東西還可以收錢;
2.這個差價讓我們可以賺到不錯的時間價值(租金),相當於每月19.04%。

這個為時31天的對角線套利的最大回報率是49%——如果股價在3月期權到期日的收盤價是17.5美元;盈利概率是59.58%——只要股價在3月份期權到期日的收盤價不超過19.63美元。

Netease.com, Inc. (NasdaqNM: NTES)

*最新股價: $18.61
*股價變化: -$0.64
*變化(%): -3.32%
*昨天收盤: $19.25
*今天開盤: $18.76
*今天交易量: 772500
*平均交易量: 1014000
*市值: 2382M
*每股盈利: 1.59
*市盈率PE: 11.67
*在外股數: 127999K
* beta比率: 0.99
*今天最高: $19.25
*今天最低: $18.38
* 52週最高: $27.16
* 52週最低: $15.00

期權策略
*買進對角線套利
o賣出MAR09到期的17.5 Call ,期權代碼是:. NQGCW
o買進JUN09到期的20 Call ,期權代碼是:.NQGFD
*價格: $20 Credit
*風險: -$230
*成本: -$230
*利潤: $29.74
* Delta: -19.11
* Gamma: -2.118
* Vega: $2.27
* Theta(每天): $1.46
* (按一個合約計算)

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Gray Zhi
OptionStoa.com

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