Portfólio

Sheridan doporučuje potfólio rzdeliť podľa strategií nasledovne:

Príklad zloženie portfólia pre začiatočníka:

Calendar

Kalendár sa vytvára z dvoch opcií ATM s rôznou dobou expirácie.

Prečo obchodovať kalendár

1. time decay efekt
   
2. limitované riziko
3. jednoduchá stratégia

Greeks

1. Vega má vyšší vplyv na úspech než Theta, pretože pracujeme s opciami ATM-ITM. Preto sa snažíme kalendár založiť keď je volatilita nízka a predpokladáme jej rast.

Kandidáti na kalendár

• stabilných akcie bez veľkých pohybov
• akcie zo stabilných sektorov
  
• IV sa pohybuje medzi 14-30
• Akcie drahšie ako 60$
• cena sa nemení rýchlo!!! (<1 std. odchýlku za mesiac)
• akcie len mimo mesiacov s ohlasovaním firem. výsledkov
• Sheridan doporučuje: IBM, Pepsi, SPX, niektorí robia aj SPY
• Skew (rozdiel medzi IV short opcie a long opcie):
• (IV na shor o. > IV na long o.)
  Positive skew of more than 4%: investigate. Events like earnings, FDA approval
  (IV na shor o. < IV na long o.)
  Negative skew - of more than 2%: back off
  

Ako obchodovať kalendár

1. kúpiť, keď je volatilita dlho nízka a potom sa rýchlo zvýši (to zvýši výrazne cenu short opcie a nie až tak cenu long opcie)
   
2. Chcem 10-15%
3. Max. strata je 17%
   
4. Mal by som byť v pozícii 1-2 týždne
5. Kalendár by som mal zostaviť 50 dní pred expiráciou short opcie.

Directional Calendar

Porovnanie vertikal spreadu a kalendára (directional)

Prečo obchodovať directional kalendár

1. ak očakávame pohyb do strany
2. porovnanie s vertical spread:
   + pozitívna Theta (čas nám zarába)
   + omnoho nižšia delta ako u vertical spreadu
   + nižšie riziko a potenciálna strata
   - nižší potenciálny výnos
   
3. pozícia ktorú vybrať:
   Ak ho založím v OTM ale blízko ATM:
   ++ časová zložka je významná (Theta je veľká), zarábame každý deň
   - - Pozor Delta je vysoká blízko ATM! Ak sa vydá kurz opačným smerom, calendar rýchlejšie stráca hodnotu.
   
   

Greeks

Zdroj - Scheridan's blog >>

Delta

1. For each one point increase in the underlying price, the value of the delta is added to the value of the option.
   • Conversely, for each one point decrease in the price of the underlying, the value of delta is subtracted from the value of the option.
2. The delta of call options is always positive (0 to 100) and the delta of put options is always negative (0 to -100).
3. The delta of an at-the-money option is approximately .50 (calls) or -.50 (puts).
4. The delta of an option at expiration is either 0 or 100 (-100 for puts).

Gamma

1. For each one point increase in the underlying price, gamma is added to delta.
   • Conversely, for each one point decrease in the price of the underlying, the value of gamma is subtracted from delta.
2. For all positive theta positions, gamma is always negative.
   • Conversely, for all negative theta positions, gamma is always positive.
3. For out-of-the-money positions such as condors, gamma is generally small compared to delta and inconsequential, whereas gamma is generally larger and has bigger associated risk for at-the-money positions such as calendars.

Theta

1. For each day that passes, the value of theta is added to the value of the option.
2. Long option positions are theta negative (lose time value each day), while short option positions are theta positive (gain time value each day).
3. For longer term options, theta decay is slower, conversely shorter term options have faster theta decay.

Vega

1. For every 1% volatility increase in the underlying asset, the value of vega is added to the value of the option.
   • Conversely, for every 1% volatility decrease, the value of vega is subtracted from the value of the option.
2. The impact of volatility changes is greater for at-the-money options than it is for in- or out-of-the-money options.
3. The impact of volatility changes is greater for longer term options and less for shorter term options.
4. Changes in vega can have more impact (i.e. you should worry about it more) for multi-month spreads (calendars, diagonals) than for single-month spreads (verticals, condors). Konkrétne: zvýšenie volatility sa výraznejšie prejaví u opcií s dlhšou expiráciou. Preto sa také opcie snažíme kupovať, keď je IV nízka.
   

Rho

1. For every 1% increase in interest rates, the value of an option increases percentage-wise by the value of rho.
   • For example, if the rho of an option is 2.5, and interest rates increase by 1% ,then the value of the option increases by 2.5%.
2. For two reasons, you can usually ignore rho for most practical purposes. First, interest rates don’t change that often, and second, for short term options, rho is small and doesn’t have much effect.
3. Rho is more important for long term options such as LEAPs.

Profitable Trading!

Jay Bailey
Sheridan Options Mentor