Re: [問題] 11月的3900p為啥會漲??
※ 引述《bota (llll)》之銘言：
: 1. 問題類別: 11月的3900p 為啥會漲?
: 2. 問題描述:
: 剩幾天就要結算了, 到 3900 的機率差不多是零了,
: 怎麼會有人買?
: thanx
以今天3900put的收盤價48來看，
假設放結算會賠錢為結算價3854 (3900-48+2，加兩點交易成本)
今天的收盤價4437，剩四個交易日
(3854-4437)/4437 = 13.14%
從2000年後，四個交易日跌超過13.14%的時候，發生過三次
2000/11/16,17,18,20 共跌16.06%
2001/09/14,19,20,21 共跌14.01%
2001/09/13,14,19,20 共跌13.76%
如果單就歷史數據來看的話，今天收盤sell 3900 put 會賠錢的機率為 3/2216 = 0.14%
嗯，其實我也不理解為什麼今天有人會願意去買3900的put
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11/13 16:52, , 11F
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11/13 16:53, , 12F
11/13 16:53, 12F
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11/13 16:55, , 13F
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11/13 17:03, , 15F
11/13 17:03, 15F
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11/13 17:03, , 16F
11/13 17:03, 16F
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11/13 17:03, , 17F
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11/13 18:11, , 18F
11/13 18:11, 18F
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11/13 18:11, , 19F
11/13 18:11, 19F
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11/13 18:12, , 20F
11/13 18:12, 20F
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11/14 00:36, , 21F
11/14 00:36, 21F
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