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Waittobuy
2023-12-15
这篇文章不错,转发给大家看看
@OptionPlus:【期权复盘】国债ETF交易拥挤,我为什么敢sell call TMF?
Waittobuy
2021-03-24
中钙股集体潜水,但好笑的是同一时段道指纳指好稳,,看热闹啦
去老虎APP查看更多动态
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,我sell call TMF 并不是看空国债,首先,我持有一些TLT的sell puts。之前也说过,国债长期底部是肯定的,未来一段时间可以一直sell put:<a href=\"https://laohu8.com/TW/237518529630208\" target=\"_blank\">Sell Put 美债是不是当下最好的策略?</a>但是TLT11月涨了太多,以致于12月安全价格内的sell puts没有油水。TLT估计是11月最拥挤的交易,美债本身并没有跳涨这么多,但是由于二级市场一窝蜂,TLT涨了10%,12月还在继续涨。如果将TLT sell puts 行权价目标上调到90+,我又不是很愿意,简单说我觉得没有那么安全,长期美债本身没有这个涨幅,意味着TLT也有回调空间。目前我对TLT的sell puts行权价选择会放在87-89,不会超过90,我认为在短期回调到90左右是非常合理的。至于为什么sell calls TMF?第一,我认为TLT涨太多了,但是sell call TLT选择行权价稍微安全一些,比如100以上,短线是没有什么肉,那点权利金不值得。假设选择长一点的到期时间。则没有必要,因为上面所言美债长期底部确定,只是短期TLT涨太多,并不代表中长期不会继续,所以sell call明年的不适合。第二,TMF是日内跟踪TLT的三倍杠杆ETF,波动更大,iv更高,权利金就更香一点。再则,TMF是杠杆ETF,天然有一个耗损在每日的rebalance中,即便短期暴涨被动行权","text":"$3倍做多20年期以上国债ETF-Direxion(TMF)$ 是日内三倍跟踪 $20+年以上美国国债ETF-iShares(TLT)$ ,我sell call TMF 并不是看空国债,首先,我持有一些TLT的sell puts。之前也说过,国债长期底部是肯定的,未来一段时间可以一直sell put:Sell Put 美债是不是当下最好的策略?但是TLT11月涨了太多,以致于12月安全价格内的sell puts没有油水。TLT估计是11月最拥挤的交易,美债本身并没有跳涨这么多,但是由于二级市场一窝蜂,TLT涨了10%,12月还在继续涨。如果将TLT sell puts 行权价目标上调到90+,我又不是很愿意,简单说我觉得没有那么安全,长期美债本身没有这个涨幅,意味着TLT也有回调空间。目前我对TLT的sell puts行权价选择会放在87-89,不会超过90,我认为在短期回调到90左右是非常合理的。至于为什么sell calls TMF?第一,我认为TLT涨太多了,但是sell call TLT选择行权价稍微安全一些,比如100以上,短线是没有什么肉,那点权利金不值得。假设选择长一点的到期时间。则没有必要,因为上面所言美债长期底部确定,只是短期TLT涨太多,并不代表中长期不会继续,所以sell call明年的不适合。第二,TMF是日内跟踪TLT的三倍杠杆ETF,波动更大,iv更高,权利金就更香一点。再则,TMF是杠杆ETF,天然有一个耗损在每日的rebalance中,即便短期暴涨被动行权","images":[{"img":"https://static.tigerbbs.com/ff8a812daa3df5d0e4344cf568224b77","width":"914","height":"1320"}],"top":1,"highlighted":2,"essential":2,"paper":2,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/251052949877040","isVote":1,"tweetType":1,"viewCount":0,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":2,"langContent":"CN","totalScore":0},"isVote":1,"tweetType":1,"viewCount":255,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0}],"lives":[]}