刚刚想下手ratio put spread 发现一个问题。如果都是1：2来做的话，breakeven point应该是：
short put strike price - half of the spread - half of the premium credit received, 而不是之前以为的
short put strike price - full spread - full premium credit received，因为short put是两个，所以breakeven point会高不少。而且看了long put 的价格太高，超过spread可以获得的利润空间。买这个long put就算用足了spread也是亏钱的，感觉很不值啊。
所以结论是做ratio put spread 还不如直接sell put划算，breakeven point会低很多，而且如果不跌的话premium 也赚更多。 大家看看是不是这样？
Max profit = spread (differennce between two strike) + net credit (when you create the spread)
Breakeven = lower strike price - max profit.
For example, a 300/290 (1:2) put spread with a credit of $5 (300 put cost $9, and 290 put cost $7), its max profit is $10+$5=$15, and breakeven is 290-15=275
If taking stock loss into consideration too, then 300 to 290 drop is fully protected, breakeven in this case would be 287.5 (ie, $2.5 of the $5 credit protects further stock drop from 290 to 287.5, and another $2.5 of the $5 credit protects the stock that is assigned to you at 290). So, net net, you are protected with $12.5 drop with zero cost. Even better, if you intend to hold stock anyway and dont mind temporary drop, then you are essentially buying more shares at 275 (of course, you lose protection on the existing shares)
If you buy put directly, you pay $9 premiums, and it would only make sense if stock drops to 300-(9+12.5) or lower.
Basically, if you expect stock to drop a lot, ratio put spread is NOT a good idea. But if stock drops modestly, it cuts down the cost a lot.
Try to think it in a simple way which might help u
It is equivalent of doign two things
1: Buy 300 put and sell 290 put
2: Sell a separate 290 put.
Assume stock closed at 290 at expiration date, then clearly #1 has a value of $10, which equal to spread, and #2 has a value of $0.
However, you also have a credit of $5 when establish both #1 and #2, so, you max profit at stock price of 290 is $15. But you also hold stock, which declined by $10 from 300 to 290. So, at this point, you are fully protected at 290, with an extra $5 from that credit.
Now, you will be assigned stock at 290. If stock continue to drop, that $5 credit will protect another $2.5 stock price drop, so your breakeven is 287.5
If you dont care about the temporary stock drop, then you essentially got assigned more stocks at 275 (290 - 15)
The correct breakeven for ratio spread is 465 - 15 - (13.9/2)
The correct breakeven for selling put is 480 - (20.8/2) --- In this case, you will be assigned stock at 480, and therefore 20.8 can only protect half the drop
Assume stock closed at 290 at expiration date, then clearly #1 has a value of $10, which equal to spread, and #2 has a value of $0. Total profit is $10x100 =$1000, you add 5x100=$500. The max profit is $1500.
However, you also have a credit of $5 when establish both #1 and #2, so, you max profit at stock price of 290 is $15. But you also hold stock, which declined by $10 from 300 to 290. So, at this point, you are fully protected at 290, with an extra $5 from that credit.If you have 100 shares of existing stocks, fully protected at 290.
Now, you will be assigned stock at 290. If stock continue to drop, that $5 credit will protect $2.5 stock price drop You will be assigned 200 shares of stock at 290 at 287.5. I guess my calculation is putting 7.5 (15/2）against the cost of 200 shares of 290 to be assigned, making the cost to be 282.5 per share for the 200 shares, not protecting the existing shares. Same $1500 cost reduction here. Just explained differently.
What I am saying here is that the cost reduction you get from the premium of selling the puts only is more than the $15. From what I see from APP, if price drop to 465 (the short put strike price) at expiration, the max profit is 28.9($15 spread + 13.9 credit received (41.6 premium received - 27.7 premium paid). The 100 shares of existing shares are protected at 465, with remaining 13.9 credit to be assigned to the 200 shares of 465, making the cost 458.05 (465-13.9/2). However, if selling put only, the premium collected is 41.6 . Using $15 for hedging the exising 100 shares, the remaining of 26.6 credit to the 200 shares of 465 to be assigned, making the cost 451.7 (465-26.6/2). You can see that selling put actually hedge better than the put ratio spread. Both can hedge existing shares, but for the newly assigned shares, selling puts only has a lower cost.
因为put ratio spread 就是卖2张put呀，所以也用2 张put 在selling put only上。
apple to apple, orange to orange match. 我觉得前面一个bear put spread (sell 1 put, buy 1 put), 肯定是debit premium, 后面的put 是用来抵消前面的premium的。但是这样后面的put 就有naked put 的风险（用完所有credit)以后。我是整个看这个put ratio spread （2 个short put同时卖的情况）,来比较hedge 的最大化和sell put premium only hedge 最大化比较。没有考虑先bear put spread, 然后等跌下来再卖另外一个put的情况。因为我无法预测会不会跌下来，如果反而涨上去了怎么办？所以ratio put spread 2个put是同时一起卖的。所以sell put 也是2个一起卖。这样考虑不行？
After dinner, I relooked at your posts. I think I've got it
Essentially a bear put spread with another short put. The bear put spread used as hedge, where the short put reduce the cost. But could be naked put. Only this one could get assigned if price drops further more. This is basically betting that the price movement in a range not dropping too much below the short put strike price. Should compare this to selling 1 put instead of selling 2 puts, which provide less protection as the premium is not much and is the only cushion. Am I right? Thanks a lot.
刚刚想下手ratio put spread 发现一个问题。如果都是1：2来做的话，breakeven point应该是：
short put strike price - half of the spread - half of the premium credit received, 而不是之前以为的
short put strike price - full spread - full premium credit received，因为short put是两个，所以breakeven point会高不少。而且看了long put 的价格太高，超过spread可以获得的利润空间。买这个long put就算用足了spread也是亏钱的，感觉很不值啊。
所以结论是做ratio put spread 还不如直接sell put划算，breakeven point会低很多，而且如果不跌的话premium 也赚更多。 大家看看是不是这样？
而且狠跌的保护也不比sell put 好，因为long put premium高于spread.
一团浆糊 ～ 得罪了
Max profit = spread (differennce between two strike) + net credit (when you create the spread)
Breakeven = lower strike price - max profit.
For example, a 300/290 (1:2) put spread with a credit of $5 (300 put cost $9, and 290 put cost $7), its max profit is $10+$5=$15, and breakeven is 290-15=275
If taking stock loss into consideration too, then 300 to 290 drop is fully protected, breakeven in this case would be 287.5 (ie, $2.5 of the $5 credit protects further stock drop from 290 to 287.5, and another $2.5 of the $5 credit protects the stock that is assigned to you at 290). So, net net, you are protected with $12.5 drop with zero cost. Even better, if you intend to hold stock anyway and dont mind temporary drop, then you are essentially buying more shares at 275 (of course, you lose protection on the existing shares)
If you buy put directly, you pay $9 premiums, and it would only make sense if stock drops to 300-(9+12.5) or lower.
Basically, if you expect stock to drop a lot, ratio put spread is NOT a good idea. But if stock drops modestly, it cuts down the cost a lot.
There is no free lunch! We pay a premium for protection, rather than gaining a profit while getting protection.
When we sell a csp, the buyer pays us for the protection ~ we get paid for assuming their risk.
I can't undertsand your logic here, too confused.
Try to read my message again, and I am sure you wil figure it out
It is equivalent of doign two things
1: Buy 300 put and sell 290 put
2: Sell a separate 290 put.
Assume stock closed at 290 at expiration date, then clearly #1 has a value of $10, which equal to spread, and #2 has a value of $0.
However, you also have a credit of $5 when establish both #1 and #2, so, you max profit at stock price of 290 is $15. But you also hold stock, which declined by $10 from 300 to 290. So, at this point, you are fully protected at 290, with an extra $5 from that credit.
Now, you will be assigned stock at 290. If stock continue to drop, that $5 credit will protect another $2.5 stock price drop, so your breakeven is 287.5
If you dont care about the temporary stock drop, then you essentially got assigned more stocks at 275 (290 - 15)
Pretty straightforward
The correct breakeven for ratio spread is 465 - 15 - (13.9/2)
The correct breakeven for selling put is 480 - (20.8/2) --- In this case, you will be assigned stock at 480, and therefore 20.8 can only protect half the drop
It is equivalent of doign two things
1: Buy 300 put and sell 290 put
2: Sell a separate 290 put.
Assume stock closed at 290 at expiration date, then clearly #1 has a value of $10, which equal to spread, and #2 has a value of $0. Total profit is $10x100 =$1000, you add 5x100=$500. The max profit is $1500.
However, you also have a credit of $5 when establish both #1 and #2, so, you max profit at stock price of 290 is $15. But you also hold stock, which declined by $10 from 300 to 290. So, at this point, you are fully protected at 290, with an extra $5 from that credit.If you have 100 shares of existing stocks, fully protected at 290.
Now, you will be assigned stock at 290. If stock continue to drop, that $5 credit will protect $2.5 stock price drop You will be assigned 200 shares of stock at 290 at 287.5. I guess my calculation is putting 7.5 (15/2）against the cost of 200 shares of 290 to be assigned, making the cost to be 282.5 per share for the 200 shares, not protecting the existing shares. Same $1500 cost reduction here. Just explained differently.
What I am saying here is that the cost reduction you get from the premium of selling the puts only is more than the $15. From what I see from APP, if price drop to 465 (the short put strike price) at expiration, the max profit is 28.9($15 spread + 13.9 credit received (41.6 premium received - 27.7 premium paid). The 100 shares of existing shares are protected at 465, with remaining 13.9 credit to be assigned to the 200 shares of 465, making the cost 458.05 (465-13.9/2). However, if selling put only, the premium collected is 41.6 . Using $15 for hedging the exising 100 shares, the remaining of 26.6 credit to the 200 shares of 465 to be assigned, making the cost 451.7 (465-26.6/2). You can see that selling put actually hedge better than the put ratio spread. Both can hedge existing shares, but for the newly assigned shares, selling puts only has a lower cost.
Did I confuse you even further? :)
Pretty straightforward
Please look at my other post.
Let's say portfolio has 100 existing APP shares.
For APP March 07 ratio put spread:
sell 2 put 465 premium @20.8
buy 1 put 480 premium @27.7
If current price is 480, drop to 465 at expiration.
premium collected: 20.8x2-27.7 = $13.9 plus the spread earned $15, total $28.9 earned for a total of $2890.
If selling 2 put 465 only premium @20.8
20.8x2=41.6, total $41.6 earned for a total of $4160.
$4160>$2890. Hence, selling puts earns more than the ratio put spread.
还是不明白. So sad. 我去看看书，看看哪里出问题了。：（
apple to apple, orange to orange match. 我觉得前面一个bear put spread (sell 1 put, buy 1 put), 肯定是debit premium, 后面的put 是用来抵消前面的premium的。但是这样后面的put 就有naked put 的风险（用完所有credit)以后。我是整个看这个put ratio spread （2 个short put同时卖的情况）,来比较hedge 的最大化和sell put premium only hedge 最大化比较。没有考虑先bear put spread, 然后等跌下来再卖另外一个put的情况。因为我无法预测会不会跌下来，如果反而涨上去了怎么办？所以ratio put spread 2个put是同时一起卖的。所以sell put 也是2个一起卖。这样考虑不行？
今天一天在外面，没时间爬楼仔细看了。但由于版上最近的ratio spread热是因为我和三心讨论中多次提到的引发的，我觉得还是说一下我的想法。
对我自己来说， 卖put，或者卖put spread，是纯粹的卖方策略，目的就是收时间价值，只收取theta价值，同时忍受gamma风险。在风控范围内premium越划算越好（注意不是越多越好，因为premium越多，表示要承受的风险也越大）。
但对于ratio spread，我的目的是想在股价配合的情况下，gamma和theta收益都能吃到。以put ratio为例（买入atm put, 卖出2倍otm put)，收入一点credit。我对市场的期望是希望股价在过期时跌倒short strike或更低的位置。这个时候， 一个long put 和 一个 short put组成的bear put spread达到最大收益，即两个strike的间距。而另一个额外的short put，用来被assign，达到低价收股的目的。 如果股价没跌，反而是往上涨了，那所有腿都无价值过期，我的max profit愿望落空，但是也没损失（因为刚开仓时是credit的）。
所以，与其说ratio spread是卖方策略，我的mindset其实是把它当买方策略来布置的。买入的atm put在下跌时攻击力很强。 而卖出的2个short leg是为了给long leg融资，达到免费甚至倒贴买入put的目的（当然也是承担了暴跌风险，所以只会开在那种暴跌了我会买入的股票）。 一般来说，开仓时收到的credit，跟最大的理论max gain相比，我更看重后者。所以，我会尽量开strike间距比较大的ratio spread。在这个帖子中 https://bbs.wenxuecity.com/tzlc/2011277.html ， 我把它称为“披着羊皮的狼”，就是这个原因。 :)
当然每个人开仓的目的不同，更prefer开仓时收到的credit完全也是合理的考虑。
今天没时间看或发别的贴了。 明天有时间再看看。
Essentially a bear put spread with another short put. The bear put spread used as hedge, where the short put reduce the cost. But could be naked put. Only this one could get assigned if price drops further more. This is basically betting that the price movement in a range not dropping too much below the short put strike price. Should compare this to selling 1 put instead of selling 2 puts, which provide less protection as the premium is not much and is the only cushion. Am I right? Thanks a lot.
option定价很公平，没有一个策略是绝对比另一个策略好或者坏的。
但是，总会有一个是能更好体现你对市场看法的。
对ratio spread而言，我就是看中了P&L图中的那个尖尖，在股价正好达到short strike时，是非常sweet的 :)
现在晚上吃完饭反而脑子一下子清楚了。谢谢你和三心哥的帮助!!
我觉得今天我是糊涂了，昨晚没睡觉危害好大。今天孩子们都说我回应他们慢几拍，还说我对他们说的话不敢兴趣。其实我是已经脑子转不动了：（ 感谢指导！
如果继续跌到110，那至少短腿买入的仓位不亏 （现有的仓位没有保护，but that is as if we did not do this hedge)
ratio put spread, 最好价格跌到short strike就关闭这个ratio put spread吧。感觉时刻要盯盘很累啊。
如果涨到150，没有正股cover. Ratio put spread倒是可以弄，反正大不了110买入。
2 days for the stock to react to the earnings. After that, stock may not be volatile any more. Do you think that is not enough time？