交易SPX，是真的高手。以目前SP的指數在2500左右，乘上50為125000，賣一口Put需要的保證金至少在10%以上，為12500元，換成台幣為375000元。作者: sec2100 時間: 2018-7-30 07:59
A few comments:
1) SPX is 10X SPY (good for commissions)
2) SPX is European style (Good: no early assignment)
3) SPX spreads are wider (not so good, but should not be huge issue).
4) SPX is index and has no discrete point Dividend action (good).
5) With SPY you can trade the underlying to manage your position, but you are unable to directly trade SPX underlying -- buy 10SPYs or 2 ES's, but still not directly comparable)
A side note: typically SPX also has exchange fees that may impact your commissions (TDA eats these for most cases, so you should double check your case) Exchange fees are typically an additional 65cents (guesstimating from poor memory) - so may swamp your expected transaction costs. --作者: sec2100 時間: 2018-7-30 08:01
關於SPX的周選:
I guess you could buy and hold, or trade, UVXY and make money - but it’s always about timing. If recession doesn’t materialize soon enough then you’d lose due to decay. But possibly a good alternative could be to buy and hold LEAP SPX or SPY options: puts or put spreads or butterflies, where you can at least control what level of SPX you’re aiming at and then just wait until it gets there.
With UVXY you just can’t visualize where it will be and what your P&L may be when SPX hits 2000, for example. But with SPX LEAP puts you have pretty good control of the SPX price level, time, and P&L - for example when buying a 2500-2400 put spread for 2021, you can figure out exactly how much money you’d make.
Btw, look at how VXX and UVXY behaved last December, how/whether you’d make money, and how much “better” you could do if that downtrend continued consistently for couple more weeks (which may not happen during a recession anyway, as things may be just shaky for a year+).
問:
I have to choose between /ES Futures Options and SPX Options. I am trying to see where leverage for options is more? In Portfolio Margin for SPX or SPAN margin for /ES Options?
I trade with TDAmeritrade.
答:
CME SPAN Margin vs OCC PM margin will not be the determining factor. It will the house risk that your broker allows. You should give their risk team a similar portfolio in ES and SPX and ask them for the house requirement. Remember to use double the size for ES as it is half the contract size. Do you really want to push your margin that far? Are you a naked option seller?
補充:
Recommend heeding Robert's advice on which has more leverage, but note that TDA's fees for Futures Options greatly exceed those for SPX options. (perhaps not your primary concern, but was about 6X last year for equivalent size. (more like 3X with the new January fee structure)