買現貨+賣Delta為0.3的call的月選 作者: sec2100 時間: 2019-12-9 12:28
DESCRIPTION OF BXMD INDEX
The BXMD Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the S&P 500 Index and sells a monthly out-of-the-money (OTM) S&P 500 Index (SPXSM) call option. The call option written is the strike nearest to the 30-Delta SPX call option at 10:00 a.m. CT on the Roll Date.