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標題: CBOE的CC策略報酬率這10年才1倍 [打印本頁]

作者: sec2100 時間: 2019-12-2 08:45
標題: CBOE的CC策略報酬率這10年才1倍
https://www.cboe.com/index/dashboard/BXD#bxd-overview

Cboe DJIA BuyWrite Index (BXD)

The Cboe DJIA BuyWrite IndexSM (BXD) is a benchmark index that measures the performance of a theoretical portfolio that sells DJX call options, against a portfolio of the stocks included in the Dow Jones Industrial AverageSM (the Dow).

Buy-Write strategies provide option premium income that can help cushion downside moves in an equity portfolio, but Buy-Writes often under perform stocks in rising markets. Thus, some Buy-Write strategies significantly outperformed stocks in 2000 - 2002 when the DJIA year-end price fell three years in a row, but Buy-Writes tended to underperform stocks in the late 1990s when the DJIA rose by more than 15% per year. Buy-Write strategies have an added attraction to some investors in that Buy-Writes can help lessen the overall volatility in many portfolios.

The Cboe DJIA BuyWrite Index (BXD) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the DJIA. Announced in 2005, the BXD Index was created by Cboe under an agreement with Dow Jones & Company, Inc., and is based on prices of Options on the Dow (DJX), traded at Cboe. The BXD is a passive total return index based on (1) buying a DJIA stock index portfolio, and (2) "writing" (or selling) the near-term DJX Index "covered" call option, generally on the third Friday of each month. The DJX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The DJX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written. Data on daily BXM prices is available from October 16, 1997 to the present from options price quote vendors and at www.cboe.com/bxd (see the link Excel spreadsheet above).

作者: hotelling 時間: 2019-12-2 10:47
一些粗淺想法
1. 此策略的確在空頭市場會打敗大盤多頭市場落後  一些投資組合想分散風險或許可考慮加入此策略
2. 簡單用每月交易一次  賣出接近價平CALL  期初與到期日前幾天的一些風險係數大不同
同時針對同一標的持續用相同策略  似乎也有修正空間
CC策略應該可以有更多變化比如說加些主觀想法當股市過高時  反過來作?
但這樣也失去ETF原來的精神吧

作者: sec2100 時間: 2019-12-2 16:03
本帖最後由 sec2100 於 2019-12-2 16:07 編輯

hotelling 發表於 2019-12-2 10:47
一些粗淺想法
1. 此策略的確在空頭市場會打敗大盤多頭市場落後一些投資組合想分散風險或許可考慮加入此 ...

HL，您寫的非常好。CC這種策略在真正的空頭市場，當然也會受到一些連累。不過，如果標的物本身的ALPHA值夠大，且BETA值夠小，是有機會對抗大盤的下跌的。當然，如果你要操作像TSM這種ADR，因為它本身就是台股的最大權值股，所以，如果要操作TSM的CC，則在台股這邊應該要儘量將RISK EXPOSURE降至最低，甚至於在空頭市場思考下面的「三步走」:

1。做多台積電的ADR，但要注意配息的那一周不要做，不然會被課30%的股息稅
2。賣它價外1%的Call
3。放空期指或SC台指選

作者: Isaacwu994 時間: 2019-12-3 12:03
CC不見得在多頭市場會落後，
關鍵還是履約價和權利金報價的選擇，
選擇達不到的履約價，還有選在市場過份高估隱含波動率的權利金報價。
(是高估隱含波動率，不是高隱含波動率)

CC會在多頭市場落後的情況有兩種:
1.履約價設太低，被行情穿越損失標的資產爬升的空間。
2.承1，權利金收太少。如果賣在合理報價，市場已經正確估算上漲潛力，並內含在權利金報價裡，即使穿價，CC結果仍然會和單純持有差不多。唯一可慮的是你以為這個報價被高估了，其實還是低估了。
對一種資產30%隱波可能是高估，但對另一種100%可能仍然低估，反映在幾天後的走勢裡你才突然恍然大悟。

作者: sec2100 時間: 2019-12-3 20:15

Isaacwu994 發表於 2019-12-3 12:03
CC不見得在多頭市場會落後，
關鍵還是履約價和權利金報價的選擇，
選擇達不到的履約價，還有選在市場過份高 ...

994，謝謝分享，蠻有洞見的。

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