~100% Returns in 2025, No Losing Year Since 2008: Erik Smolinski on Edge for Retail Trader Edge

对于想要认真交易期权的散户来说，具体需要关注哪些关键点呢？

What are some of the specific artifacts that retail traders who want to trade options in a thoughtful way need to focus on?

散户早期应该关注的具体关键点，首先就是期权本身没有内在优势。

Some of the specific artifacts retail traders should focus on early on is first, that options have no inherent edge.

交易期权本身并不存在优势。

There is no edge in trading an option.

它只是一个工具，而且实际上是一个相当复杂的工具。

There's simply a vehicle and realistically a pretty complicated vehicle.

这是第一点。

That's the first thing.

就是要接受期权没有优势这个事实。

Just accepting that there's no edge.

第二点，市场不会在乎你想要什么。

The second thing is that the market doesn't care what you want.

它不会在乎你的账户很小，只能买得起垂直价差策略。

It doesn't care if you have a small account and you can only afford verticals.

这并不会让垂直价差变得更好。

That doesn't make verticals good.

它也不在乎你是否认为市场的不理性会比你撑得住的时间更长。

It doesn't care if you think the market is irrational longer than you can remain solvent.

它根本不在乎。

It doesn't care.

我想说的是第二部分，你得先接受这些事实，才能进入第三步。

The point I'm making is that second part, you kind of have to accept things as face value to then get you to the third spot.

第三步是首先从市场效应和盈利机制的角度来思考市场。

The third spot is thinking of the market in the context of market effects and profit mechanisms first.

新期权交易者的问题在于，很多时候他们学了垂直价差，学了长期看涨期权之类的，就立刻想在实际操作中去用这些工具。

The problem with new options traders is a lot of times they learn vertical spreads, they learn their long calls or whatever, and they just immediately wanna go implement those places.

但是，整个指导你决定在哪里使用这些工具的框架，要么完全错误，要么根本不存在。

But the entire framework that leads to you figuring out where to implement those tools is completely broken, if not completely devoid.

要彻底扭转这种局面，一个简单的方法就是强迫自己开始写一份书面的交易计划。

The way that you can, like, easily completely flip that on its head is force yourself to start a written trading plan.

不是让Claude帮你写的，也不是让Kho decks帮你写的，而是你自己用脑子写出来的。

Not one that Claude made for you, not one that Kho decks made for you, one that you wrote with your own brain.

而且不一定要写得多复杂。

And it doesn't have to be anything crazy.

哪怕只是一个Word文档也行。

It could just be a word doc.

但关键是，这个交易计划应该清楚地记录你打算怎么做交易。

But effectively, the way to think of this trading plan is it should document exactly how you think you're gonna do things.

然后你会发现，其实你有很多问题答不上来。

And what you're gonna find is you don't have a lot of answers.

很多问题。

A lot of them.

问题是，在计划里发现这些问题，远比在市场里亏钱时才发现要好得多，因为市场会很快把你的钱拿走。

The thing is it's way better to find that out in the trading plan than when your money's out there because the money will take Marco take your money super quick.

在计划里把问题想清楚，但人们往往不愿意这么做。

Figure it out in the plan and people don't like to do that.

因为那太无聊了。

Because it's boring.

不够吸引人。

It's not engaging enough.

节奏太慢了。

It's not moving fast enough.

其实有个很简单的办法可以绕过这个问题。

And there's a really easy way around that.

建立一个标准的买入并持有组合。

Start a standard buy and hold portfolio.

想象一下你永远不交易，你会把资金投到哪里。

Imagine you were never going to trade whatever you would put your capital into.

标普500基金VOO之类的。

S and P fund VOO, whatever.

就这么做。

Do that.

把钱放进去就行了。

Just put your money in there.

让它自己运作。

Let it work.

它已经在运作了，所以它不会等你搞明白。

It's working already, so it's not waiting on you to figure it out.

一般来说，它已经在做它该做的事情了。

It's already doing, generally speaking, what it should be doing.

然后从那里开始，专注于这个整体流程的其余部分，特别是衍生品。

Then from there, focus on the rest of this general process, specifically with derivatives.

一旦你通过市场效应和盈利机制的视角来理解和观察市场，这个拼图还有一个非常非常重要的部分，那就是与期权建立深厚的关系。

Once you understand and look at the market through the lens of market effects and profit mechanisms, there's one other really, really important piece to this puzzle, which is developing a really deep relationship with options.

因为买一个看涨期权很容易，因为你认为它会涨，但你甚至没有考虑你为了得到它而买入的隐含波动率。

Because it's really easy to buy a call in something because you think it's gonna go up, but you're not even thinking of the implied vols that you bought to get that.

你买入了太贵的波动率，然后你实际上赚不到你以为能赚到的钱。

You bought vol that's way too expensive, and then you don't actually make the money that you think you should have made.

所以另一件重要的事情就是，要对期权和衍生品整体有非常深入的了解。

So one of the other things is having a really deep relationship with options and derivatives in general.

这有点像学习使用你的工具。

It's kind of like learning your tools.

有水管工的学徒制。

There's plumbers apprenticeships.

有焊工的学徒制。

There's welder apprenticeships.

如果你想成为医生，你会去医学院，跟着医生实习，学习他们如何使用各种东西。

If you're gonna become a doctor, you go to med school, you shadow a doctor, you learn how they use things.

说实话，我去急诊看手的时候，那里有个新手在观察所有发生的事情。

Literally, I went to urgent care to get my hand looked at, there was a newer person in there that was watching everything that was going on.

真正干活的那个人在问他们问题。

The person that was actually doing the work was asking them questions.

他们应该知道正确答案，整个过程就是这样。

They should have the right answers, that whole thing.

这就像是在深入了解你的工具。

It's like learning your instruments in detail.

这之所以极其重要，是因为你很容易想出一个看似不错的点子，却因为某个你压根没想到的因素而亏钱。

And the reason why it's super important is because it's really, really easy to express an idea that might be good, but to lose money because of some factor that you didn't even think to consider.

比如你觉得某样东西要涨，就买了个看涨期权，但你可能不知不觉地为波动率付了过高的价格，而这是可以避免的。

So you could buy a call because you think something's gonna go up, but you could then unknowingly grossly overpay for vol, which you could have fixed.

你不必让自己陷入那种直接面对这种成本的期权。

You don't have to put yourself in an option that places you directly in front of that cost.

然后你可能等到了行情，但波动率却崩了，你判断对了却还是亏了。

And then you might get your move, but then vol might collapse and you were right but wrong.

这种情况很容易发生，而且完全可以避免。

That's easy to happen, and it's completely preventable.

避免的方法之一，是我讲的最不受欢迎的话题之一，我希望有一天它能流行起来，那就是模拟交易，兄弟。

The way you prevent it, one of the most unpopular things that I talk about that I hope sometime it'll catch on paper trading, bro.

就这么简单。

That's it.

模拟交易。

Paper trade.

问题是很多人非常不自律。

The problem is a lot of people are super undisciplined.

他们会说，哎呀，反正不是真钱，我不用太认真。

And they'll say, well, I can't take it that seriously because it's not real money.

我每次听到这个都忍不住笑，心想，天哪，老兄。

And I I literally always chuckle because I'm like, damn, man.

我真庆幸几乎没有其他职业会这样。

Like, I'm really glad that pretty much no other profession acts like that.

想想你的医生。

Think of your doctor.

哎呀，我从来不想练习，因为那不是真正的病人。

Well, I never wanted to practice because it's not a real patient.

那还有什么意义？

So what's the point?

我宁愿你多练习，兄弟。

I'd rather you practice bro.

很多。

A lot.

多练习。

Practice a lot.

很多。

A lot.

很多。

A lot.

在军队里，在海军陆战队，我们一直在训练。

In the military, in the Marine Corps, we train all the time.

训练时被实弹射击的情况并不常见。

It's not super frequent that we're getting shot at with live fire during training.

我很庆幸我们即使不是那样也坚持训练。

I'm super glad that we train even though that's not the case.

这太棒了。

It's awesome.

真的非常棒。

Really awesome.

这让你在实际操作时效率高得多，但散户交易员特别有一种错觉，觉得交易是一件非常独特的事情，特别有挑战性，特别难。

Makes you way more effective when you're out there, but retail traders specifically, they they have this complete delusion that, like, trading is this super unique thing that's, like, uniquely challenging, super hard.

他们觉得做这件事有很多疯狂的地方，让你显得很特别。

It's got all these crazy things that make you special for doing it.

但实际上，兄弟，这不过就是另一个职业，想想看，其他职业需要做的大部分事情，在这里你也得做。

And it's like, dude, it's just another profession with if you think of it, most of the stuff that you need to do for those other professions, that's what you gotta do here.

其中一部分就是大量的练习，但没人喜欢做这个。

Part of that is freaking practice, but nobody likes to do that.

所以，你接下来能做的最重要的事情之一，就是让自己有纪律，去做你该做的事情。

So that's probably, like, the next biggest thing you could do is get some discipline in your body and do the things that you're supposed to do.

不一定是最有趣或者让你兴奋、让你获得多巴胺的事情，而是那些你真正需要做才能让这件事成功的事情。

Not necessarily the things that are the most fun or that get your endorphins rushing or give you a dopamine hit, but the stuff that you actually need to do in order to make the thing successful.

关于这一点，我最后想说，而且我真心这么认为，交易对我来说很有意思。

The last thing I'll say on that, and I really believe this, trading is interesting to me.

我觉得它特别有意思，但我已经强迫自己完全麻木了，市场涨，投资组合涨。

It's super interesting to me, but I have forced myself to be completely desensitized markets up portfolios up.

我不在乎，市场跌，投资组合跌。

I don't care markets down portfolio is down.

我也不在乎，只要一切按预期运行就行。

I don't care as long as things are behaving as they should.

我不在乎。

I don't care.

我允许自己在乎的是，我有没有按正确的方式执行流程？

The stuff that I allow myself to care about is did I apply a process correctly as I'm supposed to?

然后当我从投资组合里取钱去做有趣的事情时，我就可以在乎了。

And then when I withdraw the money from the portfolio to go do cool things, then I can care.

那时候我就能享受，想要多少多巴胺都行，因为钱在我手里，我在做那些因为努力而得到的开心事。

Then I can enjoy, have all the dopamine that I want when the cash is in my hands and I'm doing the fun stuff as a result of the effort.

但练习真的很被低估，这主要是因为散户在交易时真的很懒。

But practicing is so underappreciated and it's just because people are really lazy retail when it comes to trading.

很多时候是因为那些完全胡扯的营销，让他们觉得，哦，对。

And it's a lot of times because of the complete b s marketing that exists and leads them to think like, oh, yeah.

这是快速轻松赚钱。

This is fast, easy money.

没有风险。

No bono.

那说到深入结合，其实，你是怎么训练自己不去在意账户里的盈亏，并把它们分开的？

And on getting deeply intertwined actually, rather, how have you trained yourself not to care about P and L in the account and separate?

训练自己、真正对账户盈亏麻木的最重要方法，其实很简单。

The easy the most important thing you can do to train yourself and, like, really desensitize yourself to account P and L, it's actually really easy.

首先，在模拟交易时，我总是把它当成真钱，然后我会用两个模拟交易追踪器。

The first thing is in my paper trading, I would always envision it as real money, and then I would have two paper trading trackers.

我主要用Excel和Google表格来记录。

It was mostly in, like, Excel and Google sheets that I would use.

在这些表格里，我会有一个是实际账户规模，另一个是账户规模的十倍。

And in those, I would have one that's my actual account size and then one that's 10 x the account size.

所以第二个表格就直接从第一个表格里取所有数据。

So it would just take everything from the first sheet.

在第二个表格里，把所有数字都乘以十。

In the second sheet, multiply everything by 10.

我就是让自己习惯看到那些数字。

I would just get used to seeing those numbers.

就是习惯看到那些数字。

Just get used to seeing the numbers.

然后第二件事，我发现其实很容易做到的是，先专注于把盈利的交易淡化。

Then the second thing that I actually found really easy is focus on nerfing the wins first.

做成一笔盈利的交易后，很容易就高兴起来。

It's so easy to get happy after you have a winning trade.

这太容易了。

It's super easy.

我这次判断对了。

I got this right.

我预测对了，等等等等。

I predicted it right, blah, blah, blah, blah, blah.

问题是，如果你允许自己这样，那你很可能也是那种低谷时感觉特别糟糕的人。

The problem is if you allow that, you're also probably the person that feels the lows pretty bad.

不想那样。

Don't want that.

所以我发现先削弱赢的感觉更容易。

So I actually find it easier to nerf the wins first.

就像，哦，好吧，不错。

Be like, oh, okay, cool.

这个仓位成功了。

This position worked.

为什么它会成功？

Why did it work?

然后直接进入复盘。

And go directly into the postmortem.

搞清楚你做得好的是什么，哪些地方可以改进。

Figure out like what you did well, what you can improve.

然后亏损的交易也一样处理。

And then the same thing with a losing trade.

不是说看这一次交易赚没赚钱。

It's not saying like, did this one occurrence make money or not?

而是要接受一个事实：作为交易者，你做的每一件事都代表了你长期做事的能力。

It's accepting the fact that everything you're doing as a trader is a representation of your ability to do things over time.

你能不能长期坚持做对的事情？

Are you able to do something over time?

所以，如果偶尔一次结果不好，不代表你做错了什么。

Well, so if you have one bad outcome, it doesn't mean that you did anything wrong.

这种情况肯定会发生。

That's gonna happen.

这就是游戏规则。

That's the name of the game.

如果你能接受这一点，然后说，好吧，结果不好，但我看了一切。

And if you can accept that and say, okay, bad outcome, but I look at everything.

我按照流程正确执行了。

I followed the process properly.

在当前市场环境下，这个情况看起来还是大体可行的。

This thing still looks generally alive in the context of the current market.

好的。

Okay.

我会再去做另一个。

I'll go do another one.

只要你找到了有问题的结构和相应的设置，你就再去做另一个。

And as long as you find the cracked infrastructure and the setup for it, you just go do another one.

所以有两点。

So two things.

第一，就是让自己对钱的关系变得不那么敏感。

One, just desensitize your relationship with money.

第二点，就是刚才说的那个练习。

And then the second thing is a little bit of that exercise.

现在我想再加一个额外的第三点，就是试着做一些分析，搞清楚自己是什么样的人。

Now I would add a a third bonus item onto it, which is trying to do a little bit of analysis to figure out, like, who you are.

你是那种愿意冒险的人，还是那种比较保守、不喜欢冒险的人？

Are you a risk open person, or are you a risk averse person?

我以前是个不喜欢冒险的人，这跟我成长的环境有关，那时候钱真的很紧缺。

I was a risk averse person, and it's because, like, again, the way that I grew up, money was really scarce.

所以每次手里有点钱，我就想尽一切办法把它留住。

So anytime I had money, I wanted to do everything I possibly could to keep it.

但如果你把钱攥得太紧，就很难让钱生钱。

But it's really difficult to money to let money grow if you keep a stranglehold on it.

所以我的计划的一部分，就是承认自己这一点，然后试着绕开它。

So part of my project was acknowledging that fact about me and then trying to navigate around it.

如果你是个超级风险偏好型的人，那你面临的问题就不一样了。

If you're a super risk open person, you have a different problem.

这意味着你没有足够仔细地考虑可能会出什么差错，那些细节以及你的账户实际会发生什么。

It means that you're not carefully thinking enough about what could go wrong, those details and what actually might happen with your account.

有时候是因为他们觉得，哦，其实我并不是那么在乎钱。

And sometimes it's because they think, oh, well, I'm actually not that worried about the money.

其实有个人，我花了很多时间跟他聊天，他也做YouTube视频，他大致就属于那一类人，有一段时间他看起来真的不太在乎钱，这倒也没什么。

There's actually somebody that I spent a lot of time chatting with that also creates YouTube videos that falls generally into that bucket where for a while they didn't really seem to care that much about money, which is okay.

但问题在于，你就是靠这个来被评估的。

But the problem with that then is that's how you're assessed.

你在这件事上是赚钱还是亏钱？

Do you make or lose money in this thing?

所以对他来说，关键就是稍微对钱敏感一点，并且承认这个事实——不管你是不是物质主义，这些都不重要。

So for them, it was literally about sensitizing themselves slightly to the money and acknowledging the fact that it is whether or not you are materialistic, not materialistic, none of that.

重要的是你做这件事做得好不好，以及你能不能遵守你该做的事。

It's just how good are you at doing this activity and adhering to what you're supposed to do?

所以对于风险偏好型的人来说，你得稍微加入一点这方面的内容。

So for the risk open person, you have to sprinkle a little bit of that in.

对于风险厌恶型的人来说，情况正好相反。

For the risk averse person, it's the opposite.

你得开始让自己接触风险，并且学会适应它。

You have to start exposing yourself to risk and being comfortable with it.

一个最简单的办法就是，往账户里放一笔钱，放你能承受完全损失的那个数额，然后用那笔钱去尝试交易，这样你就能完全不在乎账户里的那笔资金了。

One of the easiest ways you could do that, put money in an account, the whatever amount of money you can afford to, like, literally completely lose and try trading with that so that you can completely detach from the capital that's in that.

其实就是把钱放进去，就当它已经没了，然后用它去试着交易。

It's effectively putting it in and saying it's gone, but then using that to attempt to trade.

更广泛地说，一个人的性格对他应该怎么交易有多重要？

More broadly, how important is one's personality to the way they should be trading?

我觉得一个人的性格基本上决定了什么样的交易方式适合他。

I think someone's personality effectively dictates what kind of trading will work for them.

有些东西是可以训练和调整的，但我和辛克莱尔之前聊过这个，我同意他的基本观点，就是交易这种游戏，发挥自己的优势比修补自己的弱点能让你受益更多。

There's a bit that you can train and navigate around, but you and Sinclair and I chatted about this a while ago, and I agree with his general disposition that trading is the kind of game where you really stand to benefit a lot more from leading into your strengths than repairing your weaknesses.

但你还是得把基础的那些短板补上。

You do have to fix your baseline weaknesses.

比如说，如果你连风险都管不好，那确实得改。

Like, if you can't manage risk, like, yeah, you you gotta fix that.

但光靠风险管理也赚不到钱。

But there's no amount of risk management that's gonna make you money either.

要想赚钱，你还得会投机。

You have to speculate in order to do that part.

我觉得你得认清自己的性格倾向，然后试着把它们归类，看看哪些是可以利用的，哪些是必须想办法控制的。

I think acknowledging your general propensities and trying to bucket them into things like, is this something I can lean into and use, or is this something that I have to mitigate in some capacity?

举个很好的例子，我刚开始的时候特别没耐心。

A great example early on, I was impatient.

这导致我总想太快进场。

That would lead to me trying to put on trades too fast.

我一看到机会，就急着赶紧下单，因为看到了想要的价格，就非得在那个价位上成交不可。

I would see something and then I would be scrambling to put it on as fast as I can because I saw the price that I wanted and I had to have it right at that price.

然后你下了这个单，结果两天后发现它有财报。

And then you put this trade on and then you realize in two days it has earnings.

这不在计划内。

Not part of the trade.

你因为没检查，就在财报前两天建了仓。

You've just put on a position two days before earnings because you didn't check.

为什么没检查？

Why didn't you check?

因为你太急了。

Because you were rushing.

所以为了改掉这个毛病，我需要一个硬性的强制措施。

So to fix that, I needed a a literal hard stop.

我强迫自己用一张纸做检查清单。

I forced myself to do a straight up paper checklist.

其实也没那么夸张。

And it wasn't crazy.

我不需要写一篇长文章，但我得承认，在进场之前，我确实把每一个我觉得该看的东西都看了一遍。

I didn't have to, like, write an essay, but I needed to acknowledge that I was looking at each individual thing that I thought I should look at before entering before entering.

一旦这成了我流程的一部分，那就不用永远做那个该死的交易清单了。

And then once that became part of my process, then, yeah, you don't have to do a freaking trade paper checklist forever.

但我确实需要好好改掉这个行为，因为当你的账户规模变大时，这真的很糟糕。

But I needed to really reshape that behavior pretty badly because that's a terrible behavior, when your account starts to scale in size.

有时候真的很难，你进场后发现做错了，然后想全身而退。

It's really hard sometimes to get into something, realize like you did something wrong and then to try to get all the way back out.

那样做你会损失不少。

You take a pretty good haircut doing that.

当你资金少的时候，还能侥幸过关，但这是你想尽快发现并改正的问题。

When you're smaller, you can get away with it, but it's something that you want to identify and fix pretty quick.

所以我会尽力去了解所有这些倾向，但这需要你对自己足够坦诚，不能光坐在那儿想自己多厉害，而是要真正去挑自己做事方式上的毛病，找出弱点，然后判断这是不是能通过做点什么很快修正的，还是需要某种物理或流程上的约束来阻止自己犯这个错。

So I would do my best to learn all of those propensities, but it requires being comfortable enough with yourself to not just sit there and think about how great you are, but to literally punch holes in how you do business, what your weaknesses are, and then figure out is this something that I can just true up pretty quickly by doing something, or is this something that I need a physical or some sort of process based constraint to stop me from doing this thing.

作为散户期权交易者，有什么固有的优势吗？

Are there any advantages inherent in being a retail options trader?

我问这个问题是因为，你看那些顶级交易公司和对冲基金，他们在信息和人才方面建立的护城河，不仅普遍存在，而且简直离谱。

And I ask that question with the context of, you look at the top trading firms, hedge funds, it seems like the moats that they've created around information, around talent are not just prevalent, but insane.

而且在此基础上，这些优势还在不断扩大，更多的人才、更多的资源，资本吸引更多资本，资本又吸引更多人才，如此循环。

And then on top of that, getting even wider, with more talent, more resources, capital begets more capital begets more capital begets more talent, etcetera.

你怎么看这个问题？

How do you think about that?

作为散户交易者，确实有一些非常显著的、天生的优势。

There are some significant, significant benefits and inherent edges to being a retail trader.

但不多。

Not many.

大部分优势都掌握在机构手里，但就像䲟鱼，如果你知道的话，就是那种吸附在大鱼身上的清洁鱼，跟着大鱼移动。

Most of the advantages are gonna belong to the institutions, but just like the remora, if you're familiar with that, that's like one of the cleaner fishes that latches onto the side of a big fish and just kinda moves down.

就像那些鱼，或者清洁虾，它们会直接游进海鳗的嘴里清理口腔，却不会被吃掉，因为它们之间是共生关系。你要找到自己的位置。

Just like those guys or cleaner shrimp that literally go in the mouth of a moray eel to clean the inside of their mouth and they don't get eaten because they have a symbiotic relationship, you figure out where you fit in.

沃伦·巴菲特之前有个很酷的视频，他在讲这件事有多难。

There's a really cool video from Warren Buffett a while ago that he was talking about how difficult it is.

大家都盯着巴菲特的现金储备，总是说，天哪。

Everybody looks at Buffett's cash hoard, and they always say, oh my god.

你知道，他手里有这么多现金。

You know, he has all this cash.

他坐拥这么多现金。

He's sitting in all this cash.

他会告诉你的一件事是，当你规模那么大时，很难找到合适的投资标的，而且这些投资还要在你的投资组合中占到一个现实的比例。

One of the things he'll tell you is it's really hard when you're that big to find stuff to put your money in and have it be any sort of realistic percentage of your portfolio.

看看他投资组合里那些公司的规模。

Look at the size of the companies in his portfolio.

他有些持仓只占投资组合的0.04%，但仍然是数百万美元。

He have he has positions that are point 04% of the portfolio that are still millions of dollars.

那是个大仓位，但在整个投资组合里根本不算什么。

It's a big position, but it means nothing in the context of that portfolio.

所以，有几个具体的优势。

So a couple of the specific advantages.

第一个优势就是你的灵活性。

The first one is your agility.

你可以在一天开始时完全做多。

You are able to be completely long at the first part of the day.

如果你想在一天结束时完全做空，也没有任何问题，不用担心流动性，不用做大宗交易，什么都不用。

And if you want completely short into the end of the day, no reviews, no worrying about liquidity, no block trades, nothing.

这些你都能非常轻松地做到。

You could do all of that really, really easily.

我觉得你最大的优势可能就在于你的灵活性，你能够在不同事物之间灵活切换。

I would think that probably your biggest advantage actually lies there in your agility, your ability to move between things.

另一个很大的能力就是你可以选择不交易。

Another really big ability though is your ability to not trade.

你不必报价。

You don't have to quote markets.

你不必进入你不想进入的市场。

You don't have to be in markets that you don't want to be in.

反过来，你也可以在一些更大、资金更充足、更有优势的机构不参与的市场里交易，不是因为流动性之类的问题。

Conversely, you can also play in markets that other bigger, more capitalized, more advantaged entities and not because stuff like liquidity.

散户交易者在某种程度上已经变成了流动性挑剔者，他们觉得做任何事都需要超级、超级紧的市场，而且那样更好。

Retail traders to some degree have become liquidity snobs where they think they need, you know, super, super tight markets for everything that they do, and it's better.

一般来说，你确实想要那样，但流动性也有坏处，竞争会激烈得多。

In general, you want that, but there's a downside to liquidity, way more competition.

作为一个较新的期权交易者，我花了很多时间在市场的小巷子里，交易那些流动性差得令人作呕的东西，因为那里竞争少，而且确实有真正的优势。

One of the places I spend a lot of time as a newer options trader is in the back alley cesspools of the market trading things that were disgustingly illiquid because there's less competition there, and there's legitimate edge there.

不过，有时候确实很难真正分辨清楚。

Now, again, sometimes it can be difficult to, like, really pick apart.

这真的是优势吗？

Is this actually edge?

还是只是运气？

Is it just path?

管他呢。

Whatever.

这就是作为散户交易员另一个很棒的地方。

That's the other cool part about being a retail trader.

其实真的无所谓。

It doesn't really matter.

只要能赚钱，就是有道理的。

If it makes dollars, it makes sense.

所以实际上，散户交易员确实有一些非常实在的好处。

So there's actually, like, a very legitimate handful of benefits that are really specific to retail traders.

但还有一个我要提的，就是你可以轻松搭上更大订单流的顺风车。

But most there's one other one that I will mention, which is you can ride the coattails of bigger order flow quite easily.

而且靠搭顺风车赚到的钱，按绝对金额来看，也可能相当可观。

And the amount of money that you can make riding those coattails as a raw dollar amount can still be quite lucrative.

你不需要一直有特别出色的回报才能做得很好，建立扎实的投资组合，攒下不错的积蓄，有时候交易一些很普通的东西，赚的钱就已经超过你的需要了。

You don't need to have these really outstanding returns all the time in order to do quite well for yourself and build a solid portfolio and build a good nest egg, it can get to the point where you're making more than you need trading actually pretty modest stuff.

所以散户交易员确实有一些优势，或者说好处吧。

So there's a handful of edges that retail traders or advantages, I would say, retail traders have.

再说一次，这样的优势其实不多。

Again, there's not many.

到目前为止最大的两个优势就是灵活性和在情况不妙时选择不交易的能力。

The two biggest ones by far are their agility and then their ability to not trade when something doesn't look good.

没有必须交易的压力。

There's no imperative.

你能举个例子说明散户如何跟随大单流吗？

Can you give me an example of how retail can ride the coattails of bigger order flow?

具体一点的例子？

Something specific?

散户跟随大单流有几种方式。

So there's a few ways that retail traders can ride the coattails of bigger order flow.

大多数时候，你可以通过期权市场来监控，实际上更容易，但即使在股票市场也能看到。当大型机构想要建仓时，通常不会一夜之间完成。

Most of the time you can generally monitor again with options markets, it's actually a lot easier, but even in equity markets, can see it When larger institutions want to build a position something, it generally speaking doesn't happen overnight.

他们需要在一段时间内逐步建仓。

It's something that they have to build over some duration.

很多时候他们会用VWAP订单这类工具。

A lot of times it's using things like VWAP orders.

所以你可以直接观察某个时期的VWAP，然后跟踪它，就跟踪它，或者跟踪几个你刚好感兴趣的标的。

So you literally can observe a certain period VWAP and track it, just track it, or a handful of underlyings that you just happen to be interested in.

然后你会发现，当这些机构在吸筹或派发的时候，异常情况就开始出现了。

Then you'll find at times when accumulation or distribution is happening for these entities that anomalies start to pop up.

每次到这个VWAP的时候，都有更大的订单在成交。

There's bigger orders that are happening every single time it's this VWAP.

那里就有一笔交易，就在那里。

There's a trade right there, literally right there.

所以基于已知的因素，你可以做更大的布局。

So there's bigger ideas that you can do based on known factors.

粉饰账面，这是一个很棒的因素。

Window dressing, it's a fantastic factor.

就是临近月底的时候，很多基金会倾向于清理掉所有投机性的、乱七八糟的头寸。

It's the propensity that towards the end of the month, a lot of funds are trying to clean up all of their speculative disgusting positions.

他们在大量抛售投机性股票，然后转向安全资产，比如债券，这会产生明显的影响。

They're unwinding a lot of their speculative equities and then they're onboarding safe assets like bonds definable effect.

我能看到这一点。

I can see it.

我能衡量它，而且它相当持续。

I can measure it and it's quite persistent.

这是另一个可以交易的策略。

Another thing that you can trade.

所以你可以直接寻找大资金池的足迹，跟着他们的操作走。

So you can literally look for the footprints of larger pools of money and ride whatever they're doing.

再说一次，你不可能总是赚大钱。

Again, you're not always gonna make tons of money.

粉饰橱窗这个策略大家都比较熟悉，所以你不一定能大获全胜，但作为你投资组合的一部分，你仍然可以做得相当不错。

Window dressing is pretty well known, so you're not necessarily gonna smash it out of the park, but you can still do quite well with that as part of your book.

所以这就是两个策略。

So there's two.

你说散户期权交易者赚钱的一个好方法，是不是就是把这些各种不同的、大家都知道的、不太完美的边缘机会都堆在一起？

What you say that a good chunk of the way retail options traders can make money is by stacking all sorts of these different ugly imperfect edges that people know about?

我有点犹豫，因为这是我最近真的改变立场的事情之一。

I hesitate because it's one of the things I've really changed my position on recently.

我觉得如果你是散户交易者，想靠这个赚钱，并逐渐把它当成一门生意来做，那确实是的。

I think if you're a retail trader that's trying to monetize and turn this into more of a business over time, yes.

我觉得拥有多种策略、多种工具在手，其实非常重要。

I think it's actually really important to have multiple plays, multiple tools in your toolbox.

但我觉得在早期，这是个巨大的错误。

I think though early on, it's a massive mistake.

我认为这是个大错误，因为你需要搞对的事情太多了。

And I think it's a massive mistake because you have so many things that you have to get right.

有太多东西要学，如果你把这些精力分散到一堆你根本不了解的盈利机制上，你甚至都不知道它们能赚钱。

There's so many things that you have to learn that if you're now spreading that across a bunch of different profit mechanisms that you don't know, you don't even know that they're profit mechanisms.

你也不知道怎么去衡量它们。

You don't know how to measure them.

你不知道怎么评估它们。

You don't know how to assess them.

你不知道怎么测试它们。

You don't know how to test them.

这些你全都不知道。

You don't know any of that stuff.

然后你就这么同时搞好几样东西。

And then you just do that across a handful of things.

这就像六件事都做一半，而不是一件事做到底。

It's kinda like half assing six things instead of whole assing one thing.

我更倾向于把它看作是一个新的散户期权交易者。

I think of it more so as is like a new retail options trader.

其实，只去复制那些已知的效应，比如动量效应，是非常有道理的。

It actually makes a lot of sense to just try to replicate known effects, momentum.

这可能是市场上研究得最透彻的效应之一。

Probably one of the best study market effects that exist.

就凭动量这一个因子，就能衍生出大量的盈利策略。

Tons of profit mechanisms exist off of that one factor momentum.

我觉得，直接尝试复现你在SSRN上能找到的一些研究，用来指导你的操作，那是个很好的起点。

I think simply trying to replicate some of the research you might find on SSRN with respect to your performance, that's a great place to start.

之所以说这是个好起点，是因为有现成的框架可以参考。

The reason why it's a great place to start is because there's guardrails.

你知道，这些研究已经被验证过了，你大概知道它会有什么表现。

You know, the things been studied, you kind of know what it does.

然后如果你开始尝试实现它，但结果和预期差得离谱，那很可能说明你哪里搞错了，需要回去修正。

Then if you start attempting to implement it and your results are wildly different, it probably means you're dorking something up and you need to go fix it.

但至少你手里有个参考答案，能帮你校准方向，因为如果没有这个参考答案，某种程度上你就是在瞎猜。

But you kind of have an answer key to help guide what you're doing because without that answer key to some degree, you're just guessing.

你不知道自己不知道什么。

You don't know what you don't know.

你不知道什么才是正确的样子。

You don't know what looks right.

你不知道你刚做的回测可能严重过拟合，因为你根本不知道。

You don't know that the back test you just did is grossly overfit because you don't know.

然后你最终会采用一个看起来非常非常好的策略。

And you end up putting on something that looks really, really good.

它90%的时间都能赢，但你没有完全理解它的尾部风险，然后它就把你打爆了。

It wins 90% of the time, but you don't fully understand the tail risk of it and then it blows you out.

所以实际上我会反过来做。

So I would take the inverse of that actually.

我觉得应该先专注于一个非常知名、有充分记录的市场效应，并尝试复现它，来理顺你的流程，这才是我的起点。

I think focusing on a really well known documented market effect and attempting to replicate it to get your process in order is where I would start.

一旦你能做到这一点，那正是我认为你可以开始做你所说的事情的时候，也就是开始挑选、添加更多的东西。

Then once you can do that, that's exactly when I think you could do what you're talking about, which is start shopping, start adding more things.

你自己有没有接触过期权？

Have you gone into options at all yourself?

不太多。

Not much.

为什么？

And why?

因为，我觉得，某种程度上，我懒得去深入研究它们的复杂性。

Because, I guess, in some regard, I'm lazy to study the intricacies of them.

而且我更喜欢简单地把东西看成股票。

And I prefer viewing things simply as an equity.

所以，对我来说，很容易理解为什么苹果会因新闻而上涨。

So just, it's very easy for me to understand why Apple is up based on the news.

而我自己还没有深入去研究表达不同赌注的不同方式之类的。

And I just haven't myself gone deeply into studying the different ways to express different bets and whatnot.

嗯，也许这是你和我可以一起做的项目。

Well, maybe that's a project for you and I to work on.

那会非常有趣。

That could be super fun.

但这样做的基础是完全正确的。

But the the basis for that is exactly correct.

你基本上就是说，我想把盈利机制搞清楚。

You essentially said, I wanna understand the profit mechanism well.

一旦加入衍生品，就会出现很多其他混杂因素，让人特别困惑。

And as soon as you add derivatives, there's now a bunch of other conflating factors that can be really confusing.

完全正确。

That's exactly correct.

其实我也这么觉得。

I actually think that as well.

我觉得对于新手期权交易者来说，更合理的做法是先理解基础市场的影响，这些可能跟衍生品无关，先把这些搞扎实，然后再琢磨怎么把衍生品套进去。

I think for new options traders, it makes way more sense to just understand base market effects that might have nothing to do with derivatives, nail those down, and then figure out how to fit derivatives to it.

不然的话，很多时候就是硬凑，不一定有什么道理。

Otherwise, most of the time, it's just force fitting stuff that doesn't necessarily make a lot of sense.

完全同意。

100.

那我想问一下那些刚起步的交易者一个问题。

And I guess I have a question about those traders starting out.

假设有人在看这个播客，他正想弄清楚第一步该怎么做。

Let's say there's someone watching this podcast, and he's trying to figure out step one.

他听了你关于复现论文的建议。

He heard your advice about replicating papers.

如果有一篇论文你觉得应该让新手先复现，那会是哪一篇？

If there was one paper that you think someone should start out and replicate, which paper would that be?

我觉得其实更像是一本书，而不是一篇论文。

I think it's actually a book more than a paper.

因为那本书涵盖了多篇论文的内容。

And it's just because the book goes into multiple papers.

我有个关系很好的朋友叫韦斯·格雷，他经营着Alpha Architect。

There's a guy that I'm pretty good friends with named Wes Gray, and he actually runs alpha architect.

那是一家大型ETF供应商，管理着数十亿美元的资金。

It's a huge ETF provider, literally billions of dollars.

他这人特别酷，而且他以前是海军陆战队退伍军人。

Super cool dude, but he was a marine vet by the way.

他真的很喜欢动量策略。

And he really likes momentum.

他写了一本书叫《量化动量》，基本上把现有的关于动量的研究都汇总到了一起，然后展示了各种不同的策略和操作方法。

He put together a book called quantitative momentum that pretty much takes all of the existing research about momentum, buckets it into a book, and shows you all different kinds of it in different ways that you can attack it.

我会推荐这本书，因为里面的内容通常已经经过筛选了。

That's where I would go because it also is generally pre vetted.

分析研究时，一个重要的方面是，这本身就是一项技能。

A big thing when it comes to analyzing research, that's another skill.

理解研究者的角度确实需要花些时间。

It actually takes some time to understand the angle of the researcher.

他们的动机和利益是什么？

What is their motive incentive?

他们想证明或推翻什么？

What are they trying to prove or disprove?

这又如何影响他们的研究方法？

How does that influence the way that they do their research?

他们做研究的方法正确吗？具体是怎么做的？

Are they doing proper research and how?

有没有样本内和样本外的测试？

Is there in sample, out of sample?

他们的样本外推进测试是怎么做的？

How are they doing their out of sample walk forwards?

他们的回测是怎么做的？所有这些细节问题都得搞清楚。

How did they do their back like, all of those questions have to be answered in detail.

很多时候你会发现，把研究做好真的很难，而且SSRN上很多人有不同的动机，这些动机有时候很难看出来。

A lot of times what you'll find is research is really difficult to do well, and a lot of people on SSRN will have different kinds of incentives that can be really difficult to pick out.

但这并不意味着研究就不好。

That doesn't make it bad.

它仍然是一个很棒、很好的起点，比Reddit强多了，但这些小问题积累起来也会产生影响。

It's still a fantastic, a really good place to start better than Reddit, but those small things can add up over time.

所以，我显然没有收Wes的钱或者什么的，但那确实是我能想到的最好的地方之一，因为它提供了很多不同的角度来研究动量。

So I'm obviously not sponsored or anything by Wes, but that that literally is probably one of the best possible places I could think because it gives you a ton of different ways to look at momentum.

而且Wes在写这本书之前，肯定做了很多筛选和审查，因为他把自己的名字挂在书上，这关系到他的声誉，所以他必须得确保内容准确。

And there's just a pre vetting process that Wes went through with what he's looking at because obviously he's attaching his name to the book and super important to his reputation to kinda get it right.

那人们是怎么培养出那种主观的、可以说是直觉的东西，来理解对期权交易至关重要的量化因素呢？

And how do people build up a discretionary, call it gut feel, for understanding quantitative factors that is so important for options trading?

我觉得培养对任何交易的主观感觉，不只是期权交易，都来自于观察和发现偏差。

I think building up a discretionary feel for any trading, not just options trading, comes from observation and noticing deviation.

再说，期权交易有趣的地方在于，它其实没什么特别的。

Again, the funny thing about options trading is that it's not unique in pretty much any way.

这就像体育一样。

It's the same thing if you think of sports.

我其实不太看体育比赛，但我打过橄榄球。

I don't really watch any sports, but I played rugby.

我很容易就能看出球队的布局哪里不对劲，或者他们是不是在偏向什么，这样我们就能提前调整防守来应对。

It's really easy for me to see if something wasn't right in how the team was set up or if they were leaning favoring something so that we could preempt our defense to address whatever that thing is.

橄榄球四分卫的情况也是类似的。

Same kind of thing happens with a football quarterback.

像汤姆·布雷迪这样的人就说得非常清楚。

Somebody like Tom Brady has made it really clear.

他不是队里身体条件最突出的那个。

He's not the physical stud of the group.

从身体素质来看，他非常普通。

He's very average in terms of his physicality.

但他的超能力就是非常深入地研究比赛，几乎能预判对方要做什么，然后合理布置队伍来应对。

But his superpower was studying the game really, really well and knowing pretty much anything that the other side is going to do as they're doing it and then position his team properly to address that issue.

交易也是一模一样的道理。

The same exact thing.

我觉得对于所有交易，不只是衍生品，你都需要通过重复来积累有意义的观察。

I think with trading in general, not just derivatives, you have to build a repetition for meaningful observations, meaningful observations.

我说的有意义，是指要记录在你的交易日志里。

When I say meaningful, it's as part of your trade log.

所以你要有一个交易计划，就像是你对自己打算怎么做的书面记录，然后交易日志就是用来跟踪执行情况的。

So you have a trade plan that's kinda like your written documentation on what you think you're going to do, and then your trade log is where you track it.

一个非常简单的交易日志，一开始跟交易本身没什么关系。

A really simple trade log to start with is nothing to do with any trades.

就是进去，对某一天的市场做个分析，猜猜什么会涨，什么会跌，然后全都记录下来。

It's just go in there, do an analysis of the market on a certain day, and guess what's gonna go up, what's gonna go down, and track it all.

再加上几条笔记，说明为什么。

Add a couple notes as to why.

顺便说一句，如果你要做这件事，非常重要的一点是，要稍微往长远想一想。

Really important part if you're gonna do this, by the way, is just think a little bit further down the line.

尽量让它方便你以后做数据分析。

Try to make it so it's easy for you to do data analysis on it.

如果你把所有研究都放在一个笔记块里，那几乎不可能做好数据分析。

It's like impossible to do good data analysis on a notes block where you put all of your research in.

那样的话，你什么都做不了。

You can't do anything with that.

所以，反过来想想，你可以用什么方式来做研究。

So instead think of ways that you can do research.

比如说，如果你在看移动平均线，就为移动平均线设置不同的列。

So for example, if you're looking at moving averages, have different columns for moving averages.

如果你在计算价差，或者现货价格与它的关系之类的，就弄一个可以输入数字的地方，这样你就能做分析了。

And if you're doing widths or if you're doing spot price relation to it, whatever, have something where you could just put in a number so that you can do analysis on it.

不然的话，你只会有一大堆笔记，做任何量化分析都会很烦人。

Otherwise, you just have a ton of notes that are really annoying to do any sort of quantitative homework with.

这是一个非常简单的入门方法。

That's a really easy way to start.

对于你提到的那些观察，你怎么确保自己不会学到错误的教训？

On those observations that you mentioned, how do you make sure you don't learn the wrong lesson?

我问这个问题是考虑到我们目前所处的市场环境。

And I ask that with the context of the regime we're in right now.

谁知道这种环境会不会持续下去。

Who knows if it'll persist.

想想像互联网泡沫那样的时期，你要么被烫得太厉害，以至于再也不想冒险，要么处在一个似乎什么都在涨的市场里，你可以闭上眼睛，随便扔个飞镖，买什么都会涨。

Think about a time like .com or you know, you can either get burned too hot to the point where you never want to take risk again, or be in a market where everything seems to go up and you can close your eyes, throw your dart at whatever, buy it, and it goes up.

所以有几件事你可以做，来确保你有效地训练自己的直觉，这有点像搭积木，一步一步来。

So there's a few things you could do to make sure that you're training your gut feel effectively, and it's kind of like a building block stair step approach.

这又是我在海军陆战队学到的东西，就是很多爬、走、跑的过程。

It's, again, another thing that I've learned from my time in the Marine Corps, which is a lot of crawl, walk, run.

在你想让兄弟们上实弹射击场之前，你要让他们先进行非实弹射击训练，可能用空包弹。

Before you want dudes doing a live fire range, you want them doing a non live fire range, maybe with blanks.

在他们用空包弹进行实际战术移动之前，他们会在一个足球场上练习小队机动，这样你能看到每个人的移动方式。

And before they're doing an actual range movement with blanks, they're gonna practice squad maneuver in a just football field so that you can see how everybody moves.

在他们上足球场之前，他们要学习自己的武器系统，这样他们就知道自己的PDF，也就是主要射击方向在哪里，火力基地在哪里，机动部队在哪里，等等。

And before they're in the football field, they're learning their weapon systems so that they know where their PDF is, principal direction of fire is, where their base of fire is, and where the maneuver element is, and so on and so forth.

我想说的是，你从小处开始，然后随着时间慢慢积累。

The point that I'm making there is you kind of start small and then build over time.

所以从小处开始的方式就像我解释的那样。

So the way you start small is like I explained.

你开始建立和磨练那种直觉的方式，就是通过不断调整和扩大你的观察范围，去回顾过去的时间。

The way that you begin building and honing that intuition over time is by tempering it and expanding your observation window to look at prior time.

很多时候就是做回测，然后看看，哦，有点意思。

A lot of time it's doing things like back testing and seeing, okay, interesting.

我发现对于这种开盘区间突破的策略，如果我用前30分钟的K线，然后按这种方式交易，通常结果就是这样，还挺有意思的。

I noticed for this opening range breakout thing that if I use the first thirty minute candle and then I trade it in this kind of way, this is what that normally looks like, which is kind of interesting.

然后你可以说，那2007年的时候实际是什么情况呢？

Then you can say, well, what does this actually look like back in 2007?

2020年新冠疫情导致熊市的时候又是什么样？

What does it look like in the bear market for COVID drop 2020?

然后去那里看看。

And go look at it there.

但我会先简单开始，然后慢慢积累，之后再搞更复杂的。

But I would start simply first and then build to that over time and then you can get more complex.

然后你可以做合成压力测试，意思就是拿之前不好的行情数据，或者用前推数据、蒙特卡洛模拟，但把风险放大。

Then you can do like synthetic stress testing, meaning you can train a data set or a walk forward data set or a Monte Carlo sim on a prior bad frame, but amplify it.

很好的例子就是新冠熊市。

Good example is the COVID bear market.

新冠熊市特别有意思，因为它来得特别快。

COVID bear market was super interesting because it happened really fast.

而且熊市持续的时间异常地短，没几天就开始反弹了。

Then the duration of the bear market was anomalously short few days before it started rebounding.

所以你可以换个思路，模拟一下，如果那次反弹没那么快发生会怎么样？

So what you can do instead is you could simulate, well, what if that rebound didn't happen that fast?

如果那次反弹真的花了正常的二百九十八天会怎么样？

What if that rebound actually took the normal term of two hundred ninety eight days?

那会是什么样子呢？

What would have looked like then?

在那种环境下，策略会表现如何？

What would strategies look like during that kind of environment?

所以你可以人为地构建出那种环境，然后去观察它。

So you can actually synthetically build that kind of environment so you could look at it.

我们聊了很多关于人们如何让交易之旅的开端更顺利的方法。

We've talked a lot about what people can do to make their, the start of their trading journey go well.

那他们做什么会让事情变成一场灾难呢？

What are the things they can do to make them a disaster?

比如，这么做你肯定会爆仓，亏光所有钱，就是最糟糕的结果。

Like do this and you will guarantee blow up, lose all your wealth, you know, just have it be the worst possible outcome imaginable.

最容易让你爆仓的方式，而且我要说，是那种特别惨烈的爆仓，其实很容易做到，就是平平无奇地爆仓。

The easiest way you could guarantee blowing yourself up, and I would add in a spectacular fashion, It's easy to blow yourself up in a boring fashion.

你只要全押进去。

You just YOLO into something.

你知道这风险很大，然后结果不如意。

You know it's super risky, and then it doesn't work out.

这很容易做到。

Like, that's easy to do.

但惨烈的爆仓，是你被自己的成功完全误导了。

But in a spectacular fashion is when you are completely misguided by your own success.

你做了一个赚钱的交易。

You put on a trade that made money.

你又做了一笔赚钱的交易。

You put on another trade that made money.

你又做了一笔开始亏钱的交易。

You put on a trade that started to lose money.

你在自己认为合适的时候把它砍掉了。

You cut it at the time that you thought was right.

你做得太准了。

You nailed that.

你的账户慢慢积累起来，你干得非常漂亮。

And you build your account up, and you've done a great job.

看起来你真的把这套东西摸透了。

It seems like you really got this thing dialed in.

于是你开始加大仓位，然后市场几乎肯定会给你来一个你从没见过的情况。

So then you start sizing stuff up and then the market invariably will throw something you've never seen before.

你会完全搞砸自己本该有的应对方式。

You will completely mess up how you're supposed to respond.

运气好的话，你只是损失一条胳膊。

If you're lucky, you'll just lose a limb.

大多数人在这些时候会僵住，结果往往把账户搞爆了。

Most people freeze at those points and invariably blow up their account.

这确实是个好办法。

It's a really good way to do it.

一个好办法是，做你觉得有效的事情，但你不真正理解它，然后在还没深入了解它的具体表现之前就开始加大规模，等事情变糟时就慌了神。

A good way to do it is do something that you think works well, something that you don't really understand, and start scaling it before you understand how it behaves more in detail, and then freeze up when things start going poorly.

这是搞爆账户的好方法。

Good way to blow your account.

而且这样做的概率真的非常高。

Really, really high probability of doing that too.

最后一个问题。

Final question.

我们聊了很多关于你的经历，以及散户如何在期权交易中取得成功。

We've talked a lot about your journey about how retail can succeed in options trading.

我想回到之前的话题。

I want to go back.

散户期权交易的优势基础是什么？

What is the foundation of edge in retail options trading?

要赢的话，需要利用哪些优势？

What are the advantages someone needs to exploit in order to win?

我觉得优势的基础有好几个方面。

I think there's a few different foundations of edge.

很大一部分就是逻辑思考为什么某些东西会存在。

A big part of it is just logically thinking through why something exists.

比如，风险溢价。

For example, risk premia.

为什么风险溢价会存在？

Why does risk premia exist?

你怎么从逻辑上解释市场相当有效这个事实？

How can you logically reconcile the fact markets are pretty efficient?

我们知道有效市场假说是存在的。

We know efficient market hypothesis exists.

它有三种形式。

There's three forms.

很多人不知道这一点。

A lot of people don't know that.

他们只以为有效市场假说就一种，但其实有三种，而且市场最接近的是半强式，不是强式。

They just think efficient market hypothesis, but it has three forms And it most closely exhibits semi strong, not strong.

如果市场大体上是有效的，那为什么隐含波动率通常比实际波动率高估呢？

And if markets though are generally efficient, then why is implied vol typically overstated relative to realized vol?

为什么他们不能把价格定得更准一些？

Why can't they just price it better?

也许他们能做到。

Probably could.

但这说明，交易的另一方本质上要求存在一个风险因素。

But what it's telling you is that there's a risk factor that the other side of the trade is essentially demanding be there.

如果你理解得足够深，这是可以变现的东西。

That's something if you understand it deeply enough that you can monetize.

我不喜欢把它直接等同于保险，因为两者不一样，人们常常混淆，但它有点像保险，你通常是在卖一些定价过高的东西。

I don't like equating it directly to insurance because it's not the same and people conflate them, but it's kind of close to insurance in a way that you're generally selling something that's overpriced.

而且时不时你会被狠狠踢一脚。

And every once in a while you're gonna get kicked in the nuts.

这是做保险人的一部分。

That's part of being the insurer.

但如果你能把你的账本管理得足够好，长期来看你可以从中获利。

But if you can manage your book well enough, you can monetize that over a long run.

散户识别和建立优势的关键，在于观察市场效应，观察盈利机制，但更要深入理解它们。

That's the the crux of retail's capacity to identify and build edge is to observe market effects, observe profit mechanisms, but understand them deeply.

为什么这个东西存在？

Why does this thing exist?

为什么动量效应存在？

Why does momentum exist?

我们知道市场总体上还是相当有效的。

We know that the market is again pretty efficient.

那它为什么还会存在呢？

So why does it exist?

嗯，我们知道存在信息不对称。

Well, we know that there's information asymmetry.

我们也知道在持仓方面有结构性限制。

We also know that there are structural limitations for positioning.

我们知道很多这些因素也可能导致对信息的过度反应。

We know a lot of these things can lead to overreaction to information as well.

这就是为什么有些东西会大幅上涨，然后出现剧烈的反转。

That's how we get things that go up massively and then have these nasty reversals.

为什么一个东西能涨30%，然后两天后又跌60%或40%？

Why would something go up 30% and then two days later be down 60% or 40%?

市场刚刚还说它就值这个价。

The market just said it's worth this.

为什么现在又跌到这么低了？

Why is it now all the way down here?

就是因为这个原因。

It's for that exact reason.

市场有滞后性。

Markets lead in lag.

它并不是像强式有效市场假说所说的那样，能即时反映所有信息。

It's not an instant representation of all information like strong form efficient market hypothesis would suggest.

理解了这一点，并弄清楚为什么会出现这些差异，你才能真正建立起自己的优势。

Understanding that fact and finding why those different things exist, that's where you can actually lay a meaningful edge.

为什么生物科技股的交易这么奇怪，尤其是衍生品？

Why is biotech so weird to trade, especially for derivatives?

为什么那里的市场价差这么大？

Why are the markets so wide in there?

这种情况背后有非常具体的原因。

There are very specific reasons why that's the case.

如果你理解了这些原因，你就能从中获利。

And if you understand those reasons, you can monetize them.

要提出问题，并理解你所做的赌注。

Ask questions and understand the bets you're making.

非常感谢你来参加播客，Erik。

Thank you so much for coming on the pod, Erik.

这真是太棒了。

This was wonderful.

没错。

Right on.

回头见。

See you guys later.