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證券投資專題研討期末報告

證券投資專題研討期末報告. 指導教授：張上財. 選擇權交易策略組合單. 當日期貨收盤價： 8697 策略使用時機： 預期大盤指數會小漲或小跌，且如果指數只進行狹幅的區間整理，所承擔的損失亦較小，是較為保守的操作策略。. 策略組合內容. Short 7900 Put @ 權利金 16 Short 8000 Put @ 權利金 22 Short 8100 Put @ 權利金 32 Buy 8400 Call @ 權利金 89 Buy 8900 Call @ 權利金 93 Short 9100 Call @ 權利金 42.5

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證券投資專題研討期末報告

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  1. 證券投資專題研討期末報告 指導教授：張上財

  2. 選擇權交易策略組合單 • 當日期貨收盤價：8697 • 策略使用時機：預期大盤指數會小漲或小跌，且如果指數只進行狹幅的區間整理，所承擔的損失亦較小，是較為保守的操作策略。

  3. 策略組合內容 • Short 7900 Put @權利金 16 • Short 8000 Put @權利金 22 • Short 8100 Put @權利金 32 • Buy 8400 Call @權利金 89 • Buy 8900 Call @權利金 93 • Short 9100 Call @權利金 42.5 • Short 9200 Call @權利金 27.5 • Short 9300 Call @權利金 16.5

  4. Portfolio 1 - Put 簡略說明：當指數結算於8000到8100點時會有最大獲利281點。 該投資組合的均衡點為7809.5和8381。

  5. Portfolio 2 - Call 簡略說明：當指數結算於9100到9200點時會有最大獲利193.5點。 該投資組合的均衡點為8906.5和9346.75。

  6. Portfolio 1+2 簡略說明：當指數結算於8000到8100點時會有最大獲利274.5點。 該投資組合的均衡點為7812.75、8374.5、8925.5和9337.25。

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