Test http://www.chineseworldnet.com/node/135
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垂直套利6天賺25.71%

這個垂直套利在6天的時間賺了25.71%,等於1564%的年回報率。建倉時DIG(石油企業的ETF)的股價處於底部。除非DIG再跌30%以上,這個垂直套利才會有虧損,而我們覺得出現這種情況的機會很低。這個期權組合在1月盈虧平衡點是15.70美元。

只是6天DIG的股價從22.10美元漲到31美元,而離1月到期日還有1個多月,提早平倉獲利是一個不錯的選擇。建倉時收取0.30美元,平倉時支付0.12美元,賺0.18美元,這個期權組合的成本是0.70美元,回報率25.71%。

• 日期:2008年12月5日
• 股票:Prosultra Oil & Gas (DIG)
• 股價:22.10美元
• 期權:垂直套利,賣出16元Put,買進15元Put
• 價格:0.30美元Credit
• 成本:0.70美元
• 時間:2008年12月11日
• 股價:31.00美元
• 期權:平倉,買進1月16元Put,賣出1月15元Put
• 價格:0.12美元Debit


--
Gray Zhi
OptionStoa.com

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