g**s
发帖数: 1114 | 1 Button Mississippi straddle(say 2bb), is this a +EV or -EV move in general?
my local poker room offers this, but don't know I should do it or not.
only
lol
at |
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f*****g
发帖数: 15860 | 2 i think it's better than UTG straddle:
1) because you'll always be in position postflop; position itself is worth $
xxx.
2) if SB/BB do get a strong hand, you'll see every one's action first. |
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W********m
发帖数: 7793 | 3 any time when you have to put in dead money without looking at your hand it
is -ev, there is almost no exceptions. I would never straddle myself, but I
always enourage everyone at my table to do that, because when others make -
ev move, I gain. |
|
B*********h
发帖数: 800 | 4 ☆─────────────────────────────────────☆
pighead07 (猪头) 于 (Thu Jul 12 22:03:30 2007) 提到:
发信人: pighead07 (猪头), 信区: Business
标 题: 有没有人懂straddle的?
发信站: BBS 未名空间站 (Thu Jul 12 19:53:22 2007)
出来讲讲吧...
☆─────────────────────────────────────☆
nuconomy () 于 (Fri Jul 13 00:48:58 2007) 提到:
long call+ long put with the same K and T. 整个profit 图形是一个V字形。股票
价格波动大的时候挣钱，波动小的时候赔钱。但是赔钱是有限的，而挣钱相对来说是比
较多的。
hull 的书上有。
☆─────────────────────────────────────☆
BulletTooth (DesertEagle.50) 于 (Fri Jul 13 00:5 |
|
z****u
发帖数: 185 | 5 "straddle = long a put and a call at the same time. We know that when
interest rate goes up, the value of future cash flow decreases, therefore
the value of a call goes up, while that of a put goes down. "
can you elaborate why the value of call goes up but value of put down? |
|
J*****n
发帖数: 4859 | 6 long straddle, you get negative convexity. So when interest rate goes up,
you get fucked. |
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a***d
发帖数: 73 | 7 Will go up, no matter I/O/A.
Pay attention: Give intuitive arguments.
In general, in short term, interest rate goes up, the volatility of the
market will go up, trading straddle just bid on volatility.In mid term or
long term, who knows what is going to happen, too many uncertainties. |
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a***d
发帖数: 73 | 8 Don't understand. Can explain more? I really want to see how Quants think
about this problem. BTW, even if interest rate goes down, I also will say straddle value will go up. |
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l*****i
发帖数: 3929 | 9 Those graphs are the theoretical values of straddles as a function of strike
s, for different values of interest rate.
those |
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p*****k
发帖数: 318 | 10 thought this is just a question about the greek: Rho of a straddle. dont have much intuition about rho outside the BS world. but in a BS world, it's not related to either delta or the volatility.
as longhei showed, rho of an european option is proportional to the risk-neutral probability of this option finishing ITM (note call has positive rho while negative for put; also the probabilities of a call and a put with the same strike add up to 1).
when the strike is S*exp(r-sigma^2/2), the prob. i |
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L****a
发帖数: 572 | 11 My original thinking was that the bond short/long = x*(stock price) and
y*(stock price). But this may not be exactly correct. Because we didn't
consider we also need to borrow money to buy option. The correct
short-term arbitrage should be
long option + short some bond = long stock + short some bond.
If we don't consider the short bond in the left side. Then the straddle
price does not change if interest rate up. But that is not exactly
correct, as described above. It's also interesting to see f |
|
w*******o
发帖数: 6125 | 12 作为老股民劝你一句，以前在股版也提醒过你的，
先把SPY玩好，再来玩Option，这种Straddle fancy stuff就先放下吧 |
|
|
w******s
发帖数: 16209 | 14 i meant to say the stock doesn't look good to me.
I think you could play straddle if you want. it is typical play for fda
stuff.
a suggestion is to improve the strategy a bit to reduce the cost you paid on
IV. |
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y*****l
发帖数: 5997 | 15 【 以下文字转载自 Chinook 俱乐部 】
发信人: boylover (虎子), 信区: Chinook
标 题: 贴一个皮克汇总图给喜欢ER前上straddle的同学们看
发信站: BBS 未名空间站 (Sun Apr 8 01:42:40 2012, 美东)
大家赌博开心。 |
|
N*****d
发帖数: 9872 | 16 大波动
OPTIONS: Straddle Prices for Companies Reporting Financial Results this Week
8/2/16, 6:40 AM
06:40 AM EDT, 08/02/2016 (MT Newswires) -- Straddle prices for companies
reporting financial results this week
Fitbit (FIT) August weekly 13.50 straddle priced for 14.4% movement
Fresh Del Monte (FDP) August 55 straddle priced for 11% movement
Glu Mobile (GLUU) August 2.5 straddle priced for 20% movement
Honda (HMC) August 25 straddle priced for 8% movement
Hyatt (H) August 50 straddle priced for 6% ... 阅读全帖 |
|
s***m
发帖数: 6197 | 17 【 以下文字转载自 Quant 讨论区 】
发信人: throwaway (专门注册), 信区: Quant
标 题: 答谢文，谈谈VIX 和 VIX future
关键字: VIX
发信站: BBS 未名空间站 (Sun May 11 18:02:53 2014, 美东)
上次发文求建议，收到很多真诚的帮助。想了想可以写篇我对 VIX index 的学习心得
，算是表达感谢吧。
说明一下，我毕竟是个菜鸟新人，这篇也只是综合公开资料再加上我自己对 VIX 的理
解，也就希望对准备学习这个领域的人有所帮助，熟悉volatility trading的内行看了
肯定觉得简单，有不对的地方请多多指正。
废话完毕。
1. Rationale behind VIX
想了解 VIX index 计算方法的依据，必读的文章是
“More than you wanted to know about variance swap".
http://elis.sigmath.es.osaka-u.ac.jp/research/gs-volatility_swa
具体的证明比较繁琐，我总结就是:
In a n... 阅读全帖 |
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t*******y
发帖数: 18 | 18 上次发文求建议，收到很多真诚的帮助。想了想可以写篇我对 VIX index 的学习心得
，算是表达感谢吧。
说明一下，我毕竟是个菜鸟新人，这篇也只是综合公开资料再加上我自己对 VIX 的理
解，也就希望对准备学习这个领域的人有所帮助，熟悉volatility trading的内行看了
肯定觉得简单，有不对的地方请多多指正。
废话完毕。
1. Rationale behind VIX
想了解 VIX index 计算方法的依据，必读的文章是
“More than you wanted to know about variance swap".
http://elis.sigmath.es.osaka-u.ac.jp/research/gs-volatility_swa
具体的证明比较繁琐，我总结就是:
In a nut shell, if we can ignore friction, an out-of-money option portfolio
with certain weights could replicate a variance swap, whose payoff = ... 阅读全帖 |
|
b******r
发帖数: 16603 | 19 如果INTC下周暴跌暴涨。。。那么。。
Limited Risk
Maximum loss for the calendar straddle is limited and is incurred when the
stock price had moved drastically in either direction on expiration of the
near term straddle. At this price, both the near-term straddle sold and the
long term straddle held will be almost equal in value. The options trader
will typically sell the long term straddle to buy back the near term
straddle and thus the maximum loss is equal to the initial debit taken to
enter the trade. |
|
q********g
发帖数: 10694 | 20 Neutral or non-directional strategies
Neutral strategies in options trading are employed when the options trader
does not know whether the underlying stock price will rise or fall. Also
known as non-directional strategies, they are so named because the potential
to profit does not depend on whether the underlying stock price will go
upwards. Rather, the correct neutral strategy to employ depends on the
expected volatility of the underlying stock price.
Examples of neutral strategies are:
Gut... 阅读全帖 |
|
E*******r
发帖数: 520 | 21 TEN TIPS TO BEAT LIVE CASH GAMES
LIVE AID
BY ROSS JARVISNOVEMBER 2009
Training sites like CardRunners and PokerXFactor have a lot to answer for. A
few years ago, online poker rooms were swarming with fish readily handing
over their money on a daily basis. Unfortunately those days are over. While
you still might come across a dream table from time to time, it’s clear
that there’s been a gradual improvement online to the point that even at
lower limits such as $0.25/$0.50 you’ll find regular caree... 阅读全帖 |
|
N*****d
发帖数: 9872 | 22 Berkshire Hathaway (BRK/B) May weekly 192.50 straddle priced for move of 2.5%
Blue Apron (APRN) May weekly 2 straddle priced for move of 27%
CBS (CBS) May weekly 49 straddle priced for move of 6%
Century Aluminum (CENX) May 17 straddle priced for move of 12%
A straddle entails buying a call and put of the same strike that allows the
holder to profit based on how much the price of the underlying security
moves, regardl |
|
f*****g
发帖数: 15860 | 23 http://pokerterms.com/mississippi-straddle.html
Mississippi Straddle
------------------------
A form of the Straddle, but instead of being placed from "under the gun," as
with a typical straddle, a Mississippi Straddle may be made from any
position at the table. |
|
z****u
发帖数: 185 | 24 think about this way,
1. for stock options, if rate increases, call price will increase but put
price will decrease.
2. if the straddle strike is way lower than the forward, the call option
dominates while put is almost worthless. So if rate increases, straddle
price should increase.
3. if the straddle strike is way higher than the forward, put option
dominates. So if rate increases, straddle price should decrease.
4. somewhere in between, very likely it is close to atm, the straddle should
swit... 阅读全帖 |
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o*******s
发帖数: 1375 | 25 谢谢回复。但是怎么报呢？我的损失都是已经实现的，不需要mark to the market. 需
要填哪一部份？
Part I Section 1256 Contracts Marked to Market
Part II Gains and Losses From Straddles. Attach a separate schedule listing
each straddle and its components.
Section A—Losses From Straddles
Section B—Gains From Straddles
Gain |
|
B**********r
发帖数: 7517 | 26 I sell "modified" ITM straddles on 3x ETFs. It is very safe.
Let us say we can sell FAS straddle: ITM calls/puts. I don't want to own any
long positions of these ETFs because of the hidden time-decays. So my "
modified" straddle is defined as:
FAS calls/FAZ calls. I get both the premium and the time-decay value. If
things go really bad, say the market move huge in one direction, I may lose
some value. I am not worried. I am ready to hold short positions of any of
these 3x bull/bear ETFs, and use... 阅读全帖 |
|
k********n
发帖数: 18523 | 27 ☆─────────────────────────────────────☆
kbrhouston (石油工人-一切MM都是普赛，纸老虎) 于 (Sat Nov 5 22:33:29 2011, 美东) 提到:
1来便于查阅
2来便于老牛清水（怕误删）
3便于顶进十大，壮大声势，繁荣古板
4减少肥猫工作（否则他需要花精力查看大家的所有请求贴）
谢谢大家
☆─────────────────────────────────────☆
MB80528 (肥猫(Contrarian)[食MM而肥]) 于 (Mon Nov 7 23:08:16 2011, 美东) 提到:
要最新预测的，
请在此报名股票符号。
打算提供２０到３０个预测。
由最先报名的股票符号开始。
☆─────────────────────────────────────☆
fockugcd (fockugcd) 于 (Mon Nov 7 23:09:47 2011, 美东) 提到:
胖肥猫，是不是永久免费的：）？？？？？？？？？？？？？？？
☆────────────────────... 阅读全帖 |
|
N*****d
发帖数: 9872 | 28 Yelp (YELP) May weekly 35.50 straddle priced for movement of 13%
Fossil (FOSL) May weekly 17 straddle priced for movement of 15%
NVIDIA (NVDA) May weekly 104 straddle priced for movement of 9%
Electronic Arts (EA) May weekly 96 straddle priced for movement of 5% |
|
N*****d
发帖数: 9872 | 29 Straddle prices for companies reporting financial results this week
McCormick & Company (MKC) September 95 straddle priced for movement of 4.5%
Rite Aid (RAD) September weekly 2.50 straddle priced for movement of 11%
Con Agra (CAG) October 33 straddle priced for movement of 6% |
|
N*****d
发帖数: 9872 | 30 Time to buy now.
[在 Noktard (Speculator) 的大作中提到：]
:Straddle prices for companies reporting financial results this week
:McCormick & Company (MKC) September 95 straddle priced for movement of 4.5%
:Rite Aid (RAD) September weekly 2.50 straddle priced for movement of 11%
:Con Agra (CAG) October 33 straddle priced for movement of 6% |
|
s*****w
发帖数: 1527 | 31 Hi, i have more questions if you can have time,
my schedule k-1, Part III, 11 other income (loss),
it's code "c" in my case, with some loss,
k-1 instruction says, code c. section 1256 contracts & straddles.
in my case, i bought DBA, still holding it, not sold.
from Form 6781 for "Gains and losses from section 1256 contracts and
straddles",
shall i choose Part I "section 1256 contracts marked to market", or
Part II "gains and losses from straddles" ?
what is straddles anyway ? |
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l*****g
发帖数: 1128 | 32 这个周末跑去玩了两天的live poker, 算是好好满足了一下我的POKER瘾。战绩还不错
。发现table dynamic 很重要，它决定了你能不能enjoy到玩poker这个过程，倒不是说
能不能赢钱的问题。前天晚上有一段时间竟然整个桌上都是tight得不得了的人，raise
个13$所有人都fold,害得我都不知道怎么玩了，感觉完全限制了像我这种aggressive的
人的发挥，然后又没一个人说话，简直是BORING到了极点，忍无可忍之后，要求换桌子
。就在快要换的时候，来了一对双胞胎兄弟，大概有40岁左右，两个人是从小吵到大那
种，一来桌上就开吵起来，那个弟弟老是指责那个哥哥这玩得不好那玩得不好，他自己
就是那种我有史以来见过最TIGHT最BORING的，相对来说，我更喜欢那个哥哥的玩法，
而且人也比较活泼，anyway,他们一吵起来倒把整个桌上气氛给带动起来了，都把我们
给逗乐了。这个时候大家开始都互相聊起天来了，虽然还是没什么ACTION，但至少没那
么BORING。后来我也不想换TABLE了，因为大家都聊得很开心。所以感觉玩POKER不一定
要赢钱，socializin... 阅读全帖 |
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W********m
发帖数: 7793 | 33 来自主题: TexasHoldem版 - 我来讲把牌 i am at LP with KK.
UTG straddles. A tournament player, unknown, no read. all fold. I raise to 12$. I didn't see the straddle, which is a mistake. I would have raised to 16$ with straddle normally. all fold. straddle call.
Flop 4 6 Q r.
he checks, I bet 18$, he calls.
turn is a 4.
He checks I bet 28$, he check raise to 80$. I call.
River is a 3. He instant shove the rest of chips--2 black chips in 200$ over shove. I didn't expect that and I have him covered. I studied the board for a while. 4x ... 阅读全帖 |
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w**********y
发帖数: 1691 | 34 多谢各位点评.总结一下,
Hand 3: AQ..flop Q68c.turn 8. vs. 66
1. 我turn上面被raise毫无疑问应该fold.
2. 不过villain如果不all-in而是call,那么river比如是2的话,该check还是bet多少呢
?我觉得这手牌我肯定是要loss的了.关键看怎么少丢.
3. TheBigSlick的建议” if I hit my flop in multiway, like in your case,
maybe check the flop in EP will be better, I'd like to see how the action
goes when it comes to me again”应该不太算标准打法吧? Check-call输的差不多(
turn是8可能容易fold然后少输一些).如果villain是regular打法的话,应该不会flop就
huge bet.
Hand 4: QQ flop 22T vs. A2
这种情况可能我以后改进的方法就是QQ+,AKs的牌preflop要bet更大一些如果桌... 阅读全帖 |
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f*****g
发帖数: 15860 | 35 no, straddle大小一般都是随便的，从2BB to no limit。
位置有些地方也是随便的，比如mississippi straddle，出SB/BB以外任何人都可以在
任何位置straddle。
有些地方还允许re-straddle，更刺激。
amount |
|
B******y
发帖数: 2255 | 36 In finance, a strangle is an investment strategy involving the purchase or
sale of particular option derivatives that allows the holder to profit based
on how much the price of the underlying security moves, with relatively
minimal exposure to the direction of price movement. The purchase of
particular option derivatives is known as a long strangle, while the sale of
the option derivatives is known as a short strangle. It is related to a
similar option strategy known as a straddle. If a big move... 阅读全帖 |
|
B******y
发帖数: 2255 | 37 In finance, a strangle is an investment strategy involving the purchase or
sale of particular option derivatives that allows the holder to profit based
on how much the price of the underlying security moves, with relatively
minimal exposure to the direction of price movement. The purchase of
particular option derivatives is known as a long strangle, while the sale of
the option derivatives is known as a short strangle. It is related to a
similar option strategy known as a straddle. If a big move... 阅读全帖 |
|
G*******m
发帖数: 16326 | 38 say,you have 65 and 66 straddle established separately.
one day, there is fair chance that market is going down, you would close the
66 put, then close the 65 call, as a result, you will be having 65/66
straddle.
the same process can be repeated until a few days before the expiration date
, then buy a few straddle to see if there will ever be large movement
because then the time value will be the smallest. |
|
m********0
发帖数: 2717 | 39 IV can be found pretty much anywhere.
Your broker must have this information available.
but I have to add some words:
straddle trading is said to be de rigueur strategy.
from Mcmillan's book,
he mentioned, it's popular since the beginning of the option trading.
and ppl shows more interests on straddle selling than straddle buying,
specially on bearish market.
the collateral requirement is the higher one of the two naked positions.
My opinion on this is:
ER is a very apparent thing to make IV its |
|
g****u
发帖数: 695 | 40 You are asked to build a trading strategy with 60% correct ratio. This means
whatever method you give, it will be excuted a large number of times in
market in order to make sure profit with statistic significancy.
^VIX is an index so not tradable directly. There are derivatives using ^VIX
as the underlying, e.g. VIX futures and options. That would be the first
products you should look at. However, due to their lack of liquidity,
neither is suitable for a trading strategy to bet through a large n... 阅读全帖 |
|
G*****S
发帖数: 303 | 41 俺的理解很迷糊，
option大牛给个summary就好了。
http://www.thestreet.com/story/11281149/1/aapl-options-earnings
As I look at the way Apple(AAPL_) options are trading today I can tell you a
few things:
1. There is not very much premium selling going on, especially in large
block orders. This implies that the market thinks that option prices as a
whole are too cheap.
2. There is a lot of buying in two main places, the straddle and upside
calls. The fact that the straddle IV is more expensive in volatility terms
th... 阅读全帖 |
|
M*****8
发帖数: 17722 | 42 There is one extremely conservative short or long strategy:
If you have a stock that is very bearish or bullish and
you want to act on it.
Then you look at the shortest duration option and pick
the expiration that is between 1 to 2 weeks.
You then buy a straddle with the strike equal to the
stock price or slightly higher for selling short, and
slightly lower for going long.
Once you bought the straddle, you are ready to sell short
or buy long the stock with total peace of mind.
If price goes aga... 阅读全帖 |
|
M*****8
发帖数: 17722 | 43 There is one extremely conservative short or long strategy:
If you have a stock that is very bearish or bullish and
you want to act on it.
Then you look at the shortest duration option and pick
the expiration that is between 1 to 2 weeks.
You then buy a straddle with the strike equal to the
stock price or slightly higher for selling short, and
slightly lower for going long.
Once you bought the straddle, you are ready to sell short
or buy long the stock with total peace of mind.
If price goes aga... 阅读全帖 |
|
r***l
发帖数: 9084 | 44 首先得承认是赌，要是赌输了，现在估计写的就是经验教训了...所以先要感谢狗屎运..
bidu去年我操作了大概10次，一半多的盈利赢在了bidu上面。 长话短说，年中买bidu,
开始很不错，赚了不少，但夜路走多了总要撞见鬼....
账户bidu 1000股, bidu 7.23盘后ER, 当时是浅水下，不赌ER割肉虽然心疼些，但过去
旧有的利润就保证了，赌的话， 虽然我还是有信心bidu成长会在60%左右，但总有风险
。考虑再三， 决定卖straddle. 7.23 bidu收在107左右，收盘前我卖了当周到期105的
put和110的call, 各卖了10个，一共卖了9000刀。算盘是，如果er后，bidu猪到周五，
收在105-110之间，这9000刀就归我了。如果bidu大跌，需要跌到98刀，相比不卖这个
straddle才会更惨。真如果bidu跌10%, 我完全想好就让naked put被执行average down
了, 我相信会有出水机会的。如果bidu涨过110， 到OE结算，我的账户会涨大概12000
左右。
这个操作优点是给自己的仓位设置了大概9刀跌的cushion.... 阅读全帖 |
|
n**x
发帖数: 606 | 45 你要做long straddle，结果是你要话很高的价钱去买call和put(请告诉我为什么？)
结果是earning后的IV下降导致你的call和put的总和和原来差不多。除非像NFLX这样的
长个50%+什么的。 如果你做short straddle。如果股价在earning后变化不大，你的
short straddle价格变化基本不大。如果出现NFLX之类50%+ up, 那你就惨了。 所以，
这个跟IV关系很大很大的。 |
|
E***r
发帖数: 1037 | 46 买 option 本来就是花钱买保险。
6000刀是8天的 time decay，
只要是 ATM，买 put 买 call 都一样
（因为 ATM 期权只有 time value）
实质就是一个 long put synthetic straddle，
150 +/- 3*2 之间亏钱，最多亏6000保费；
股价移动出这个区间则赚钱。
在关键的支撑或阻力位建straddle是标准操作，
因为一般情况下，能否突破很快会见分晓。
如果嫌贵，可以少买一些put，或者稍便宜的 OTM put，
或者买中远期、虽然贵但decay得相对慢的 put，
做非标准型的 straddle。 |
|
N*****d
发帖数: 9872 | 47 正负25%
IBM (IBM) October 147 straddle priced for movement of 3.6%
Select Comfort (SCSS) October 31 straddle priced for movement of 14%
Tile Shop (TTS) October 7.50 straddle priced for movement of 25% |
|
N*****d
发帖数: 9872 | 48 Abercrombie & Fitch (ANF) March weekly 21 straddle priced for move of 13%
Autohome (ATHM) March 79 straddle priced for move of 14%
Sears (SHLD) March weekly 2.5 straddle priced for move of 22% |
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N*****d
发帖数: 9872 | 49 Shopify (SHOP) May weekly 124 straddle priced for move of 11% before the
market open on May 1
Shutterfly (SFLY) May 82.50 straddle priced for move of 11% after the market
close on May 1
SNAP (SNAP) May weekly 14.50 straddle priced for move of 17% after the
market close on May 1 |
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W********m
发帖数: 7793 | 50 I played quite some live poker for the past 2 weeks. Here is some
interesting hands. adding water for the board and let's have some discussion
. All question spots are numbered for your convenience.. Every thing is 1$/2$ table. ~~~
1) 3 limper SB raise to 17$. SB is an old man. He shows me a lot of hands
before. Has raised up to 12-30$ preflop with pocket 8s, AJs etc. He is also
aggressive post flop. Bet over pot sometimes with complete air. I look down
I have Js. What would you do? [1] Edit:... 阅读全帖 |
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