Sell to open 10 contracts of 2388.HK $22 Jul 12 Put @ $0.15
Premium = $750
交易時的正股價 = $22.7
10手2388 正股平均潛在成本 = $22 x 10 x 500 = $110000
項目回報率 = $750/110000 = 0.68% (或 年度化 16.6%)
組合回報率 = $750/2025380 = 0.037% (或 年度化 0.90%)
Option引伸波幅 = 22%
2388的30日歷史波幅 = 25.34%
2388於7月30日前收高於$22的機會率 = 76.32%
你好，想請問你那個2388收高於$22的機會率點計嘅呢?謝!
回覆刪除Hello, 係base on normal distribution計出黎. 你可以用以下的site
刪除http://www.rightwaytrader.com/VolatilityCalculator/ProbabilityCalculator/Calculate
icic.. thanks..
回覆刪除a few more ques: What about the 30日歷史波幅? you calculate it by yourself?
And do you use the implied volatility or the 30日歷史波幅 for the calculation?
Many thanks!
Hi, I usually use historical for probability calculations. In fact I used to get the data from Yahoo onto my excel but then it seems not working anymore. I'm now only using the historical vol data from 輝立.
刪除Ic. Thanks for answering.
回覆刪除You are welcome =)
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