[問題] fb上證期貨避險操作實務
fb上證這檔期貨與其他期貨沒有兩樣
都不能以Option避險
但我們可以用充分的Warrant避險
但是實務上大家是如何操作hedge的呢？
問題是：
如元富J3(履約價格34.00，到期日還有一個月)
以行使比例0.8計
而fb上證期貨以十口相對應的ETF基金證券計
那我們需要12.5張元富J3(相當於12.5千股)
才能做到有效避險
fb上證期現價約34，保證金約20000元NTD
元富J3現價約1.11，12.5張共計13875NTD
大家會以接近期貨價值的權證/選擇權避險嗎?
實務上，台指選擇權一個月後的合約價平大約8k左右(而標的物保證金差不多)
這樣算起來連結fb上證的商品中好像找不到與
台指期/選擇權
資金規模近似就能達到避險效果的商品？
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※ 編輯: sorryandbye (140.113.123.207), 06/29/2015 20:21:45
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