选项训练营378：对冲的现实成本

很难找到一个直接的对冲工具，获得一个能带来可预测结果的对冲策略。

Like, it's very, very, very difficult to get a direct hedge, to get a hedge that gives you predictable results.

是的。

Yeah.

这就是为什么我一直反对把VIX称为对冲工具，因为你没错。

That's why I've always bristled at the notion of calling VIX a hedge because you're right.

它并不是。

It's not.

它本质上是一种投机性工具。

It is very much a speculative instrument.

我经常把它称为投资组合中的‘附加收益’。

I've often referred to it as a a kicker in your portfolio.

一种你可以持有的工具，当波动率真的急剧飙升时，你就能在背后利用VIX的上涨收益。

Something you can have in there that if vol really does explode, you've got this VIX upside in your back pocket.

但正如你所指出的，它并不是一对一的。

But as you point out, it is not one to one.

你无法真正实现直接的德尔塔对冲。

You can't really go the direct delta.

哦，我买了标普指数的这个看跌期权。

Oh, I buy this put in the S and P.

它的德尔塔是50。

It's a 50 delta.

我知道如果标普指数出现这个幅度的变动，我的看跌期权也会相应地变动。

I know if I get this move in the S and P, this translates into this move in my put.

这是理所当然的。

That's a given.

在标普指数看跌期权上，你可以完全依赖这一点。

You can go to the bank on that in the S and P put.

你无法在VIX上做到这一点，原因就是你刚才提到的那些。

You can't do that in VIX for all the reasons you just laid out.

VIX相对于标普指数的变动是非常主观的。

It's a highly subjective move we get in VIX versus the S and P.

而且，正如我们最近在我们网络的另一个节目中多次指出的那样，丹，波动率观点最近变得更难把握了。

And also, as we pointed out many times on our other show on the network recently, Dan, volatility views, it's become even harder lately.

事实上，这正是我们昨天在‘死亡对决’中讨论的话题之一。

In fact, this is one of the topics that came up in our ball death match yesterday.

在当前情况下，买入VIX看涨期权几乎近乎徒劳，除非——我要在这里加个前提。

It's almost almost a fool's errand at this point to buy VIX calls unless and I'll put this caveat out there.

除非你是我们那种铁杆粉丝，比如你常驻我们的专业聊天室，整天盯着屏幕。

Unless you're one of our hardcores like, you know, you're living in our pro chat, you're on your screens all day.

如果你对市场如此敏锐，能捕捉到VIX的突然上涨，并有效兑现你的看涨期权，或者至少提前用限价单部分平仓。

If you're that in tune to the markets where you could see the VIX pop and you could effectively monetize your calls, or you were working at least part of your position with a limit offer to sell ahead of time.

现在，只有这两种方式能真正有效地交易VIX的上涨。

Those are the only two ways you can really effectively trade VIX upside now.

因为我们目前看到的所谓‘飙升’，除了像4月8日以及一些异常事件之外。

Because the the quote unquote spikes that we're getting, you know, outside of your, you know, April 8 and some of those aberrant events.

即使那次上涨也没持续多久，如果你去查一下数据就知道了。

And even that wasn't that long lived if you go check the the numbers.

但这些波动，丹，持续时间太短了。

But these spikes, Dan, are so short lived.

而且当我们讨论时，你甚至都赶不上一个完整交易时段了。

And when we're talking, you don't even get a session anymore.

你最多只能幸运地抓住几个小时，抓住波动的最高点，进场击中买盘，以两倍、三倍、四倍甚至更高的价格卖出你的VIX看涨期权，然后就消失了。

You get a few hours if you're lucky to get that real apex of the vol move where you could come in, hit that bid, sell your VIX calls for whatever you want, 2x, 3x, 4x, whatever it might be, and then it's gone.

接下来，如果你是个有全职工作的人，手头持有VIX看涨期权，却没有设置限价单来卖出，那你就会错过机会。

And then next thing you know, if you're that guy with a day job and you got some VIX upside in your back pocket and you weren't working a limit order to sell it, guess what you missed it.

你的VIX看涨期权又回到了原点。

And your VIX calls are back to where they were.

如果你运气好，可能稍微涨了一点，但基本上你只是原地踏步，甚至再次亏钱。

Maybe they're up a little bit if you're lucky, but you're pretty much are just treading water if not losing money again.

当然，每个月你买入这些看涨期权时，都在亏钱，因为这是一项会耗损价值的交易，直到它不再如此。

And of course, every other month that you're buying these calls, were losing money because it's a wasting trade until it isn't.

所以，这是一件非常具有挑战性的事情。

So, it's it's a challenging thing.

我绝对不可能把它称为对冲工具。

I definitely would never refer to it as a hedge.

我更倾向于直接的做法。

I definitely lean the more direct route.

如果你现在很好奇，听众们，如果你是那种认为……的人的话。

If you are curious right now, listeners, if you are one of those people who says, you know what?

我把VIX看作是一种对冲工具。

I think of VIX as a hedge.

这会花我多少钱？

What is it going to cost me?

那我们再来算一笔账。

Well, let's run some numbers again.

正如我提到的，当谈到VIX上涨时，很多人通常会关注20这个心理关口。

As I mentioned, normally the the psychological level a lot of people fixate on when it comes to VIX upside is usually around that 20 handle.

当VIX处于几周前的15到17区间时，这一点也说得通。

That's also makes a lot of sense when VIX is hanging out where it was, let's say, a couple of weeks ago in the 15 to 17 range.

20通常是一个不错的上行指标，表明市场有动静了。

20 is usually a decent upside indicator that the game is afoot.

昨天我们的数值还高于20，所以目前市场正处于一个相对较高的波动区间。

Well, we were north of 20 just yesterday, so we're kind of in a little bit of an elevated regime out there right now.

所以我现在调取了一些不同的数据。

So I pulled some different numbers right now.

如果你现在想买一个月期的VIX期权，听众朋友们，我们来看看25行权价，这通常不是我的首选行权价。

If you want to go one month out in VIX right now, listeners, let's go up to the 25 strike, which is not usually my my go to strike.

但当你接近20这个水平时，你得给自己留一些操作空间。

But again, when you're hanging out close to a 20 handle, you got to give yourself a little bit of room to run.

这会花费你1.25美元。

That's going to cost you a buck and a quarter.

所以，10手合约显然要1250美元。

So obviously, $1,250 for a 10 lot.

如果你打算买10手，但你只有100股SPY，那大概就不会这么买了。

If you wanted to go the 10 lot route, you probably wouldn't buy a 10 lot if you only had 100 shares of spy.

但话说回来，这就是你在外面买10手的成本。

But that said, that's what a 10 lot would cost you out there.

如果你想要关注目前心理上更重要的20点水平，这些期权的价格正好是2.25美元。

If you want to go the more psychologically important relevant level of the 20 handle right now, those are going for exactly 2 and a quarter.

所以在VIX市场，10手的成本是2250美元。

So $2,250 is what a 10 lot is going to run you in Vixland.

再次提醒，如果你持有这些仓位，你必须全神贯注。

And again, bear in mind, if you have these on, you need to be on your game.

这不是那种设好就不管的交易。

This is not a set it and forget it type trade.

你需要成为那个在电脑上实时监控报价的人。

You need to be the guy who's running the real time quotes on your desktop.

或者，如果你有白天的工作，也要确保全天都能获取实时报价。

Or if you have a day job, you have access to real time quotes throughout the day.

如果你正在做六小时的手术，那这笔交易根本不适合你。

If you're a surgeon in a six hour surgery, this is not the trade for you.

如果你是一名老师，整天站在教室前面，这个交易就不适合你。

If you're a teacher going out in front of a class all day, this is not the trade for you.

你真的需要时刻紧盯屏幕。

You really need to be glued to your screens out there.

如果各位听众想再往远一点看，我们就直接看到四月份。

If you wanna go a little bit farther out listeners, let's go all the way out to April.

现在我们往前看整整两个月。

So now we're going exactly two months.

那个25行权价的合约会花掉你2美元。

That's gonna cost you $2 for that 25 handle.

如果你想要20行权价的合约，听众们，现在要花3.20美元。

If you want the 20 handle listeners, it's gonna cost you $3.20 right now.

所以是3200美元。

So $3,200.

再次强调，这并不便宜。

Again, not inexpensive.

你基本上已经接近我愿意买入VIX上涨期权的极限了。

You're also getting pretty much to the extent of how far out I would go buying VIX upside.

有些人喜欢再往远一点买。

Some people like to go a little bit farther out.

我总觉得这是徒劳无功。

I I always think that's a fool's errand.

如果你除了愿意调整和展期，还做一些操作来对冲这笔支出，我倒是可以理解买入标普长期认沽期权的用例。

I could see a use case for buying longer term puts in the S and P if maybe you are willing to adjust and roll and you also are doing some stuff to offset that outlay.

即便如此，买入标普一年期期权也不是我最推荐的做法。

Even then going out a full year is not my favorite in the S and P.

我可能会选择四到六个月的时间段。

I would probably pick somewhere in that four to six month time frame.

这个时间段才是最佳区间，许多相关数据分析也表明，买入过多权利金通常在六个月左右达到平衡点。

That's more of the sweet spot and that's where a lot of the data that's been crunched on this tends to line up with the sweet spot between buying too much premium for your needs is usually around that six month ballpark.

然后你可以通过卖出权利金来轻松对冲这笔支出。

And then you can offset that pretty easily with selling premium.

对于波动率来说，你甚至不想走得那么远，因为随着期限拉长，性价比会急剧下降。

With vol, you don't even want to go that far out because the bang for your buck, the farther out you go, It falls off a cliff quite a bit.

但话说回来，如果你真想走得更远，我们就随便看看六月的吧。

But that said, if you wanted to go farther out, let's go to June just for fun.

目前六月的期权价格是2.70美元，也就是10手合约2700美元。

The June right now, $2.70 aka $2,700 for a 10 lot.

所以，丹先生，你对这些VIX多头头寸的成本有什么看法？

So mister Dan, what are your thoughts on some of these outlays for VIX upside?

A。

A.

B，目前大多数受众有效实现这种策略所面临的挑战。

B, the challenges of monetizing this in an effective way for the lion's share of the audience right now.

C，你对长期VIX多头有什么看法？

And then c, what are your thoughts on longer term VIX upside?

你觉得这有点浪费时间吗？

Do you think that's kind of a bit of a waste of time?

我不太关注这种交易。

I don't you know, this is not a trade that I look at very much.

所以我现在才开始看，看了看VIX的图表，还有VIX的波动性，也就是说，波动性的波动现在还挺高的。

So I'm I'm just looking at it now and looking at a chart of VIX and, you know, the the volatility of the VIX, so the volatility of volatility is kinda high right now.

我在观察它。

And I'm looking at it.

我在想，这其实对我来说并不贵，2美元。

I'm wondering if it might I mean, that that really doesn't seem that expensive to me, $2.

但丹要开仓了。

But Dan's gonna roll the bone.

听起来我们有个交易了，丹。

Sounds like we got a trade going, Dan.

我们现在说话的时候，你有没有听到一点嗡嗡声？

Do I hear a little that little buzzer going off while we're talking now?

没有。

No.

我得对这个做更多考虑。

I I I would have to give this a lot more consideration.

但你知道，我看了看过去一年，看看它有多少次高于25。

But, you know, I mean, I look at the last year and I look at how many times it's been above 25.

只有一次，持续了几个交易日。

One one time, which was a couple of sessions.

还有一次，当然还有四月的疯狂时期。

Another time, and then, of course, the craziness in April.

再之前还有一点。

And then a little bit before that.

我不确定。

I don't know.

我的意思是，这看起来像是一个值得考虑的交易，但我也不确定。

I mean, it looks like a reasonable trade to consider, but I don't know.

我并不是在做对冲，我只是把它当作一个交易来看。

I I'm not doing I'm I mean, I'm just looking at it as a trade, not as a hedge.

但是

But

哎呀。

Uh-oh.

我们在说服丹做VIX的上涨交易。

We're talking Dan into some VIX upside.

如果你好奇的话，听众们，他喜欢用2美元买8.25美元的期权。

He likes if you're curious listeners, he likes the $8.25 for $2.

而且，你也可以用一些方法来抵消这部分成本。

And, there are ways you could defray that too.

你可以卖出更远期的看涨期权。

You could sell farther out the money calls.

目前，30美元的看涨期权报价大约是1.40美元，所以你可以做一个5美元价差，成本大约60美分。

Right now, the thirty's going for about a buck 40, so you could do that vertical $5 vertical for roughly 60¢.

类似这样的操作。

Something along those lines.

也许如果你愿意的话，你可以感觉到也可以卖出一个看跌期权来对冲这部分成本。

Maybe if you wanted to, you feeling that you could also sell a put to the downside to finance that.

所以在VIX上也有多种方式来融资这些支出。

So there are ways to finance those outlays as well in VIX.

但再次强调，丹和我都认为，VIX并不是对冲工具。

But again, both Dan and I agree, VIX not a hedge.

它应该被视为一种投机交易，或者如果你从投资组合的角度来看，它更像是一个附加收益。

It should be viewed as a speculative trade or if you're viewing it in the context of a portfolio, more of a kicker.

而且再次强调，只有当你时刻盯着屏幕时才进行这笔交易，因为VIX交易曾经那种‘设置好就不管了’的时代已经过去了。

And again, only do this trade if you are living on your screens because the days when the VIX trade was a bit of a set it and forget it trade are behind us.

但你知道什么还没有过去吗？

But you know what's not behind us?

就是你的一些问题。

It's a little bit of your questions.

我们现在就来解答这些问题。

Let's get there now.

有点像老式的邮件呼叫。

Little bit of the old mail call.

邮件呼叫。

Mail call.

是时候看看听众提交的问题了。

Time to look at questions submitted by our listeners.

好的，资深的P。

Alright, senior p.

我们开始正题吧。

Let's get down to business.

你知道吗，我在我们的实时聊天中注意到了这一点。

You know that I noticed this in our live chat.

这是人们喜欢用来对冲的另一种方式。

This is another way people like to go about hedging.

这并不是一种特定的期权策略，但确实是一种常见的方法，而且在过去的一年左右，它的表现相当出色。

Not really an option specific strategy, but again, a common one and certainly one over the last year or so has worked out pretty freaking well.

事实上，你可以说，对冲现在正主导着他们的投资组合节奏。

In fact, you could argue that the hedge is leading the dance in their portfolio right now.

我们在说什么？

What are we talking about?

我们在说贵金属。

We're talking about precious metals.

我们聊天里有个叫‘无限先生’的人问，用金属对冲怎么样？

We've got mister unlimited in our chat saying, what about hedging with metals?

黄金能否有效对冲标普500指数的风险？

Is gold a good enough hedge against the S and P?

这样你就不会在买入看跌期权时一直亏损价值。

That way you're not always losing value in your put buys.

他提到了一个观点，你知道，如果你在买入并支付标普500看跌期权的溢价，丹，你必须明白这笔钱是会消失的。

So that he brings up a point, you know, if you're buying and shelling out premium for an S and P put, that is done with the understanding Dan that that money is going away.

你是在把这笔钱献给市场之神。

You are sacrificing that money to the market gods.

他说，与其花掉这笔期权费，为什么不把它用在理论上不会消失的资产上，比如黄金或贵金属呢？

He says, what about taking that premium you're gonna spend and spending that on an asset that theoretically shouldn't go away like gold or precious metals?

显然，去年这是市场上最好的交易。

Obviously, last year that was the best trade in town.

如果你买了黄金或白银，你的对冲策略简直把你的主要交易碾压了。

If you bought gold or silver, your hedge quote unquote blew away your main trade.

这是现代历史上贵金属表现最好的一年。

The best year in modern history for precious metals.

我不知道你是否能指望这种情况再次发生。

I don't know if you can count on that.

事实上，今年我们明显看到白银剧烈抛售，一天内跌幅高达30%。

In fact, this year, we've obviously seen a lot of tumult silver selling off what 30% in one day.

黄金也出现了抛售，现在价格似乎又回到了4500美元左右。

Gold selling off, I think, is back to about 4,500 now.

所以你可能在这一点上感受到了一些压力。

So you might be you might be feeling some pain on that.

但丹，与其把这笔保费花在一种会损耗的资产上，不如考虑买点别的东西，比如金属，你怎么看？

But Dan, what are your thoughts on instead of allocating that premium to an a wasting asset, maybe buying something else like a metal?

我的意思是，我正在看SPY和黄金的走势图，它们并不一定呈反向运动。

Well, I mean, I'm looking at a chart of SPY and a chart of gold, and they don't necessarily move opposite.

我的意思是，去年两者都大幅上涨了。

I mean, both of them were up pretty significantly last year.

去年四月的走势，让我想想。

The April move of last year, Let's see.

黄金从2750美元涨到了3180美元。

Gold went from $2.75 to $3.18.

是的。

Yeah.

别开玩笑了。

Come on.

这可是相当大的涨幅。

That's pretty big percentage move.

是的。

Yeah.

所以我不确定。

So I don't know.

我的意思是，你最好先做一些相关性分析，无论是用真正的数学方法，还是简单地把两张图表叠加在一起。

I mean, I think you would wanna do some sort of correlation measurement first, whether you use some actual real math behind it or just lay two charts on top of each other of each of them.

它们是朝相反方向移动吗？

And do they move in opposite directions?

它们是朝相同方向移动吗？

Are they moving in same direction?

还是说？

Or is it?

所以我不确定。

So I don't know.

在过去一年里，我变得越来越看好黄金了，我想每个人都是这样。

I I have become a lot more of a gold person over the last year, which I guess everybody has.

我说，每个人都这样。

I say, think everyone has.

是的。

Yeah.

这有点难。

It's kinda hard.

那笔交易是无法回避的。

Inescapable that trade was.

我可以说，在这个网络十九年的历史里，我从未这样说过。

I I could said, never talked in the nineteen year history of this network.

我们以前从未像过去三个月这样频繁地讨论过金属。

We've never talked about metals as much as we have in the last, let's say, three months.

这简直太疯狂了。

It's been just absolutely wild.

就连你的死对头迈克叔叔——我认识的最老牌的白银多头——也在去年年底退出了，而且他那年赚得盆满钵满。

Even your nemesis, uncle Mike, the longest running silver bull I know, he exited at the end of last year, and he had a hell of a year.

但他还是错过了上涨一倍甚至三倍的机会，不管之后发生了什么。

And it's still he still missed out on doubling to the upside or tripling to the upside, whatever the hell happened since then.

外面这段时间真是疯狂。

It's been a wild time out there.

所以，我认为至少每个人都知道金属市场正在发生什么，即使你可能对将它们纳入投资组合还持怀疑态度。

So, I think I think everyone at the very least is is cognizant of what's going on in the metals, even if maybe you're a little bit dubious about adding them to your portfolio.

我知道我们很多听众，丹，都被吸引去卖出那些看跌期权溢价，尤其是SLV，因为那些溢价高得离谱。

Know a lot of our listeners too, Dan, were getting lured into selling some of those put premiums, particularly in SLV because they were astronomical.

SLV的波动率达到三位数，这种事根本不会经常出现。

Triple digit vol levels in an SLV is not something that really ever comes along.

当我们一天内暴跌30%时，你或许可以说这种高波动率是合理的。

Now, you could argue it was merited when we had that 30% sell off in one day.

在那上面你很容易被狠狠割一刀。

You could easily get your face ripped off on that.

但话说回来，我知道很多人至少曾被诱惑过。

But that said, I know a lot of people were at the very least tempted.

我们其他聊天中，丹，期权之神说，目前金属价格太高，不适合用作对冲。

Some of our other chat Dan option god says the metals are just too expensive right now to consider as a hedge.

尼科尔斯也同意他的观点，说确实，现在白银价格太高，很难用作对冲。

And Nichols agrees with him says, yeah, you can't really hedge with silver now in particular too pricey.

所以，这绝对是需要考虑的因素。

So that is definitely, something to factor in.

目前这种对冲成本，确实比一年前要高得多，丹，那时候我们才刚做这档节目第12年。

The cost of that hedge right now, Definitely a little bit juicier than it was, oh, let's say a year ago, Dan, when we were only on year 12 of this show.

那时我们还处于起步阶段。

We were just in our infancy.

是的。

Yeah.

好的。

Alright.

我们再回答几个问题吧。

Let's get a few more questions here.

我们这里有一些有趣的问题。

We got some fun ones here.

我们来聊聊。

Let's go out.

现在很多人脑子里想的都是到期日。

A lot of people have expiration on the brain right now.

也许你需要专门做一期节目来讨论这个，但先让文斯来说。

Maybe you need to do a whole show on this, but, let's go to Vince.

文斯是第一个。

Vince is first up.

他说，在24小时交易的世界里，像到期日和零DTE这样的术语到底是什么意思？它们还适用吗？

He says, what do terms like expiration and zero DTE even mean in a twenty four hour trading world, do they even apply?

你知道吗？

You know what?

我们这里还收到了来自ZeroOrNTeO8的一个非常类似的问题。

We got a very similar question here from zero or o n t e o eight.

有人会把他和文斯先生归为一类。

Someone's gonna lump him in here with mister Vince.

O n t e o eight 说，我相当困惑。

O n t e o eight says, I am quite confused.

我看到一些新闻标题提到新的零日合约，同时也有关于即将推出的24小时交易的报道。

I'm seeing headlines about new zero day contracts, but also about twenty four seven trading coming soon.

这些不是完全相反的概念吗？

Aren't these polar opposite things?

你怎么可能拥有一个交易时间为24小时的零日合约？

How can you have a zero day contract that trades twenty four seven?

你知道吗？他们提到了我一直强调了几年的事情，自从零日合约成为如今这种现象以来。

You know, they they bring up something that I have been mentioning for a few years now ever since the zero day thing became the phenomenon that it has become.

看起来市场上确实存在两种截然不同的趋势。

It does seem like we have two very contrasting movements in the market.

一种是人们希望对市场有非常有限的敞口。

One is they want a very finite exposure to the market.

他们想进场，也想出场，想赶紧结束一天的事情，不想再操心市场，直到第二天。

They wanna be in and they wanna be out and they wanna get on with their day and they don't wanna have to think about the market until the next day.

而显然还有一群人说：我想永远不停止关注这个市场。

And then there is clearly another audience that says, I want to never stop thinking about this market.

这有点奇怪。

It is kind of weird.

丹，这是市场上两大最显著的趋势。

These are the two biggest trends in the market, Dan.

我认为我们的听众说得对。

And I think our listeners are right.

在很多方面，它们是完全对立的。

They are, in many ways, polar opposites.

我不认为如果你是一个重度零日交易者，你会真的支持24小时交易，或者更现实地说，24小时5分钟的市场。

I don't think if you're a huge zero day trader that you're really down for a a 20 fourseven or maybe more realistically 20 fourfive market.

你需要那种喘息的空间。

You want that respite.

你希望能够规划好第二天的交易，并且晚上能睡个好觉。

You want to be able to plan your next day's trades and potentially sleep at night.

但很多人，尤其是来自加密货币领域的人，他们希望市场24小时不间断交易，丹。

But a lot of people, especially those coming from the crypto space, they want it on twenty four seven, Dan.

那么，对于目前市场上这些看似截然相反的趋势，你有什么看法，丹？

So what are your thoughts on these seemingly polar opposite trends dominating the market right now, Dan?

是的。

Yeah.

我的意思是，我从来就不是24小时或24/5交易的粉丝。

I mean, I've I've never really been a fan of the twenty four seven or twenty four five whatever trade.

我只是觉得这没什么好处。

I just I don't think it's beneficial.

我认为，任何经历过争执的人都知道，比如和你的配偶或亲近的人吵架时。

I think anybody who's ever had, like, an argument knows, you know, like, with your spouse or somebody you're close to.

大家都知道，当你情绪激动时，最好的做法就是暂时离开一下，因为事情很容易失控。

Like, everybody knows that when you're in the heat of it, the best thing to do is just go and take a little bit of a break because things can, you know, balloon out of control.

而在24/7的市场中，你根本得不到这样的休息时间。

And with twenty four seven Markey, I mean, you don't you don't get that break.

我认为，有一个冷静期是非常非常健康的。

I mean, having a cool off period is very, very healthy.

说实话，我认为这之所以被提上议程，仅仅是因为交易所现在成了企业，必须不断寻找方法从你身上榨取更多利益，对吧？

And I think, honestly, man, I think the only reason we're it's even being considered is because exchanges are now corporations that have to keep finding ways to squeeze more juice out of you know?

是的。

And yeah.

我不知道。

I don't know.

我不觉得这有什么好，我真的不喜欢这样。

I don't think it's I I I don't like it.

但丹，如果你没在凌晨两点收到提醒，说你的柴犬币正在暴跌，那你还没真正活过呢。

But, Dan, you haven't lived until you've gotten an alert that your Shiba Inu is plummeting at 2AM on your phone, then you're then you're living well.

那才是好时候。

That's a good time.

柴犬警报。

Shiba Inu alert.

是的。

Yeah.

我觉得这很有趣。

I do find this interesting.

我接触过很多做零点交易的人，即使在机构层面，他们主要提到的交易这些产品的理由是因为它们是有限的。

I a lot of people I've talked to who do a lot of size zero day trading, even on the institutional side, the main reason they point to that they're trading these products is because they are finite.

如果你拿走了这一点，游戏就完全不同了。

And if you take that away, it's a very different game.

所以，值得看看那些现在对特斯拉和英伟达零点交易如此激动的人。

So it will be interesting to see what these folks who are all all hot and bothered now about Tesla and NVIDIA zero day.

他们会半夜两点交易吗？

Are they gonna trade them at 2AM?

这会成为第二个零点交易吗？

Is it gonna be a second zero day?

这会是晚间零日吗？

Is it gonna be an evening zero day?

它会是那种在正常收盘时间到期的常规零日吗？

Is it gonna have the regular zero day that expires at the normal closing time?

然后是PM零日，丹，它会延续到全天其余时间。

And then the PM zero day, Dan, that goes the rest of the clock.

那谁来交易这些产品呢？

And who's gonna trade those things?

这里有很多问题需要探讨，我觉得文斯和安特八号确实抓住了重点，双关语意。

Now there's a there's a lot of questions to be asked here, and I think Vince and Ante o eight are on to something, pun intended.

我们来看看，哦，我喜欢这个昵称，老派好莱坞。

Let's go here to, oh, I like this handle, old school Hollywood.

所以也许我们有马龙·白兰度从坟墓里写信进来。

So maybe we've got a, you know, Marlon Brando writing in here from beyond the grave.

他说，我多次听马克和丹提到，他们作为做市商时曾像躲避瘟疫一样避开到期日。

He says, I've heard Mark and Dan say multiple times that they used to avoid expiration like the plague as market makers.

为什么会这样？

Why was that?

为什么这是需要避免的事情？

And why was it something to be avoided?

我不了解你的经验，但我是在SPX市场成长起来的。

Well, I don't know about your experience, but I cut my teeth in the SPX.

我们很早就接受了这方面的训练。

And we were trained very early on.

进入到期日时不能持有任何未平仓头寸，因为那纯粹是风险。

You don't leave anything open going into expiration because that is just risk.

所以在最后一周，有时甚至更早一点，那时只有每月一次的到期周期。

So the final week, even sometimes a little earlier than that, when again, was only a monthly expiration cycle.

你开始计划平掉头寸。

You start planning to take things off.

你开始构建价差策略，以展期或了结头寸。

You start working spreads to either roll or close things out.

如果你发现附近有一个接近平值的八手仓位，就不断纠缠你附近的经纪人，直到你能说：嘿。

If you find you have an eight lot somewhere near at the money, you pester a broker near you till you can get, hey.

我能平掉八手吗？

Can I take off eight?

他们看着你，好像想揍你一顿，但还是会说：好吧。

And they look at you like they wanna punch you, but they say, okay.

给你八手。

Here's eight.

然后你平掉这个行权价的仓位。

And you close out that strike.

你就是那个家伙。

And you're that guy.

你就是那个烦人的家伙，但你必须确保在到期前，平值附近的所有仓位都归零，因为这样才能避免混乱、风险和纯粹的危险。

You're that annoying guy, but you wanna make sure you have zeros all the way around the at the money heading into expiration because that way Dan lies madness and risk and nothing but danger.

是的。

Uh-huh.

所以，我认为这是我们所有人接受训练时的最低标准。

So that's the least the way all of us I think were trained.

但如今，我们全都生活在一个全是零日的世界里，这有点疯狂。

And yet now we all live in a nothing but zero day world, which is kinda wild.

丹先生，您也有过同样的经历吗？

Mister Dan, did you have that same experience?

您为什么要把仓位平掉？

And why were you taking stuff off?

或者您可能并没有这么做。

Or maybe you weren't.

也许您是在最后一天不断加仓。

Maybe you were piling things on the last day.

没有。

No.

我对待到期日的方式和您描述的一样。

I I I had I I treated expiration the same way that you described.

我认为真正重要的是要理解或思考，做市商并不主动行动。

And I think that what's really important to understand or or think about is that market makers don't act.

他们只是做出反应。

They react.

比如，做市商不会说，哦，我想去买这些看涨期权。

Like, market makers don't say, oh, I wanna go and buy these calls.

他们只会说，这是我的买入价。

They just say, here's my bid.

这是我的卖出价。

Here's my offer.

买吧。

Buy it.

卖吧。

Sell it.

就这么做。

Do it.

你想要什么都可以。

Whatever you want.

就在我提供的市场上交易吧。

Just trade on my market.

因此，由于你并没有真正主动选择交易某物，你就面临被挤压的风险。

And so because you don't actually choose to trade something, you run the risk of pin risk.

被挤压的风险非常高。

The risk of pin risk is very, very high.

如果你在到期日行权价平盘后还不停止交易，就可能意外开仓，被挤压而亏钱，比如你本想赚一分钱，却在周一早上莫名其妙地持有了10000个delta的多头头寸。

If you don't stop trading things once the strike is flat on expiration day, then you could end up opening up some position and get pinned and losing money on some dumb trade where you're trying to make a penny and you, you know, come in long 10,000 deltas Monday morning.

是的。

Yeah.

由于各种原因，这被视为纯粹的裸露风险。

For a variety of reasons, it was just seen as naked risk.

你忽略了一个行权价，下一刻你就遭遇了没人预料到的异常波动。

You forget about one strike, and the next thing you know, you get some crazy aberrant movement that no one was planning on.

然后正如丹指出的，你到了下周一，突然发现自己拥有了成千上万的德尔塔，而且方向完全出乎意料，正在反噬你。

And then as Dan points out, you come in the following Monday and all of a sudden you got thousands of deltas that you didn't anticipate in the wrong direction and it's coming back to bite you.

那为什么还要让自己陷入这种境地呢？

So why even set yourself up for that?

把它平掉吧，这正是让我觉得不可思议的地方——如今有这么多人完全生活在这样的危险泡沫中。

Take it off, which again, which is why it's so wild to me that so many people now now just live entirely in that bubble of danger.

当然，那时候这些系统还远远不够完善，无法真正建模这些复杂情况。

Course, also back then, these systems weren't that adequate to really model a lot of this stuff.

所以即使在专业系统上，你也会进行展期操作。

So you would roll in even on a professional system.

在到期周期的最后几天，你的所有希腊字母指标实际上都失去了意义。

And all of your Greeks were effectively meaningless the final few days of the expiration cycle.

你的伽马值变成了一个无意义的无穷大数字。

Your gamma was some infinite number that made no sense.

你的theta值也是无穷大，你简直是在盲目操作。

Your theta was an infinite it was just so you were kind of flying blind.

所以也从这个角度来思考一下。

So think of it from that perspective as well.

你当时没有任何真正可行的分析工具，持有的仓位纯粹是风险。

You had no real viable analytics, and you had positions that were really, really only risk.

当然，我不是说这个意思。

Now don't get me wrong.

当时确实有一些顽固的老派交易员会进场。

There were a few hardcore old school guys who would come in.

那是他们唯一发光的日子。

That was their one day to shine.

他们会进场。

They would come in.

他们只在到期日交易，试图在低于平价时买入，在高于平价时卖出，从而锁定一些利润。

They would only trade expiration day, and they would try to buy stuff underwater, under parity, sell it over, and lock in some some profits.

这样做会承担很大风险，但这就是他们喜欢的交易方式。

You take a lot of risk doing that, but that was their way they like to trade.

所以当时有那么几位这样的交易者。

So there were a handful of those guys.

他们人数稀少，远不如今天这么多，但依然很有趣。

They were few and far between, certainly not like today, but, still fascinating stuff.

好了，丹。

Alright, Dan.

我们就先说到这里，来自蒂姆的分享。

We'll get out of here on this one from Tim.

蒂姆·克莱默，拼写是K。

Tim Kramer with a k.

他想知道，在决定是否交易期权时，成交量和未平仓合约量哪个更重要？

He wants to know what is more important when you are deciding whether to trade an option, volume or open interest?

所以，丹，当你观察一个行权价时，你会看到成交量和未平仓合约量。

So, Dan, you're looking at a strike, you see volume and open interest.

比如，你通常先看哪个？

Like, maybe where do you look first?

也许这是一个更好的问题。

Maybe that's a better question.

我的意思是，我总是两个都看，但我想问题其实是，等等，稍等一下。

I mean, I always look at both, but I mean, I guess the question I mean, did hold on a second.

我刚才离开了笔记页面。

I I navigated away from the notes here.

当你决定交易期权时，什么更重要？

Did what's more important when you're deciding to trade an option?

我的意思是，等等。

I mean wait a minute.

我刚才掉线了吗？

Did I just drop off the call?

没有。

No.

我在这儿。

Here I am.

是的

Yep.

我明白你的意思。

I hear you.

抱歉。

Sorry.

抱歉。

Sorry.

我假设这个问题与流动性有关，因为对我来说，这才是查看成交量或未平仓合约量的唯一原因。

I'm assuming that this question relates to liquidity because that to me, that's the only reason to look at volume or open interest.

而且，我想未平仓合约量在这里更有价值，因为，呃。

And, I mean, I guess open interest is more valuable there because, I mean, hey.

你在一天刚开始时看它，是没有意义的。

You're looking at it in the beginning of the day, there's no value.

但我觉得重要的是未平仓合约量的分布情况。

But what what I think is important is that open interest is distributed.

你知道吧？

You know?

如果某个到期日有20个行权价，其中一个行权价有20,000的未平仓合约，而其他所有行权价都没有未平仓合约，那就不算流动性好。

If there's 20 strikes in a particular expiration and there's one strike that has 20,000 open interest and none of the other strikes have open interest, that's not liquid.

你知道，你希望它分布得比较广，能看到这种分布。

You know, you want it to be spread around, quite a bit and see that.

所以，我不确定，希望这个问题能说清楚。

So, I don't know, hopefully, that question.

是的。

Yeah.

最终，价差是不会骗人的。

At the end of the day, the the the spread's not going to lie.

我总是看价差，价差会告诉你一个合约是否活跃，因为活跃的合约价差会很窄。

The spread is where I always look, and the spread will tell you if it's an active contract because the spread will be tight.

你提到的那些其他东西，比如成交量和未平仓合约，最终都会反映在价差上。

And all that other stuff you're talking about there, the volume, the OI, that all feeds into that spread with at the end of the day.

所以你得把这些全部综合起来考虑。

So you have to take all that and combine it in.

归根结底，如果你看到这个期权的价差很小，就知道它交易得相当频繁。

And at the end of the day, if you see a nice tight spread on that option, you know that it trades fairly regularly.

如果不然，归根结底，价差是不会说谎的。

And if not, the spread at the end of the day spread doesn't lie.

价差会把所有这些信息整合起来，形成一个很宽或很窄的价差。

The spread will take all that information and it will process it into a very wide or a very tight spread.

这归根结底才是最终的判断标准。

That's the ultimate arbiter at the end of the day.

所有其他因素都只是这个模型的输入数据。

All the other stuff is just inputs into the model.

好了，资深P，今天我们节目聊了很多内容。

Alright, senior p, we did a lot of living on the show today.

我们讨论了买入一些SPY认沽期权的实际成本。

We talked about the real world cost of buying some spy puts.

我们稍微涉足了一下买入VIX上涨期权的世界。

We dabbled in the world of buying some VIX upside.

P先生听起来对在VIX市场以2美元的价格买入8.20美元的五档期权感到有点沮丧。

Mister p sounds like he's a little down for the $8.20 fives in VIX land for $2.

所以，如果节目结束后我收到消息说，我以2美元的价格全买了这些期权，我一点都不意外。

So I wouldn't be surprised if after the show I get a message saying I bought all those bad boys for $2.

当然，我们还聊了很多关于到期日的话题。

And then of course we talked a lot about expiration.

各位对到期日有很多见解，如果我说得没错的话，这些见解非常相关。

You folks have a lot of expiration and very relevant expiration comments if I do say so myself.

我们甚至谈到了金属市场，丹。

We even talked about the metals Dan.

今天我们节目内容真是丰富多彩。

We did a lot of living on the show today.

杰夫，好玩吗？

Jeff Fun?

我确实玩得很开心，是的，老兄。

I did have fun and yeah, man.

我们聊了相当多的内容，老兄。

We covered quite a swath of stuff, man.

那真是太疯狂了。

That was pretty crazy.

我们带着一个计划进来，但总是被评论、问题和听众以有趣的方式带偏了。

And we come in with one agenda and then we always get derailed in fun ways by the comments and the questions and the listener.

归根结底，这就是节目有趣的地方。

That's what makes the show fun at the end of the day.

大家想跟你，资深P，一起玩得开心。

And folks wanna have some fun with you, senior p.

他们该去哪里？

Where should they go?

他们该做什么？

What should they do?

哦，那就去 markettaker.com 吧。

Oh, well, make your way on over to markettaker.com.

两个 t 连着写。

Two t's in a row.

Markettaker.com。

Markettaker.com.

给我发消息。

And hit me up.

我随时为你提供帮助。

I am there for you.

只要是与期权相关的事情，我都可以提供帮助，也许其他事情也可以。

I will be a resource to any options related thing, maybe even other things.

我不确定。

I don't know.

但，是的，那里就是

But, yeah, that's where the

关系咨询。

Relationship counseling.

他会在你身边支持你。

He's there for you.

你在匿名戒酒会中需要一个赞助人。

You need a sponsor in AA.

丹会在你身边支持你。

Dan's there for you.

无论你需要什么。

Whatever your needs are.

市场接管者。

Market taker.

别忘了Theta的第二个t。

Don't forget the second t for Theta.

女王说她喜欢你关于马库斯需要冷静期的评论。

The queen says she liked your comment about Marcus needing a cooling off period.

她同意你的看法，丹先生。

She agrees with you, mister Dan.

所以你看，就是这样。

So there you go.

我一直怀疑女王可能是帕萨雷利妈妈，现在这下证实了。

I've always suspected the queen may be mama Pasarelli, and that cements it.

就这样了。

There we go.

她喜欢丹。

She likes Dan.

所以很明显，听众们的品味真是各不相同。

So clearly, no accounting for taste out there listeners.

当然，你得去看看网上的一些内容。

And of course, you wanna check out something online.

别忘了去看看我们在TastyTrade的朋友们。

Make sure you're checking out our friends over there at tastytrade.

Tastytrade.com/podcast。

Tastytrade.com/podcast.

他们以及我们网络上的所有其他赞助商，正是我们能够持续为你们服务近十九年以上的理由。

They and all the rest of our sponsors on the network are the reason we've been able to do this for you for now nineteen plus years.

所以请务必去关注他们。

So make sure you're checking them out.

告诉他们你是通过我们的网络了解到他们的。

Tell them you found out about them on our network.

这对于我们持续运营，直到迎来二十周年大日子至关重要。

It goes a long way towards keeping us there for the big two o.

当然，如果你想看看非常酷且独特的东西，我向你保证，地球上别无他人在进行阀门死亡竞赛，更不用说两场了。

And of course, if you wanna check out something very cool and unique, I guarantee you, no one else on the planet is doing a Valve deathmatch, let alone two of them.

所以赶紧去 pro.optionsinsider.com/pro，pro。

So get on over there to the pro, the optionsinsider.com/pro,pro.

我想，本周剩下的时间里，我会表现得友善一点。

And I guess for the rest of this week, I'll be nice.

我们会让它继续运行。

We'll let it keep running.

我们有史以来第一次真正的折扣死亡赛。

Our first ever real discount, deathmatch.

把那个词连在一起用。

Use it all one word there.

使用它可享受首月半价，如果你想试试的话。

That will get you half off your first month if you wanna try it out.

先试一试，点燃火焰。

Kick the tires and light the fires.

花费不了多少。

Cost you not much at all.

然后你就能看到所有内容。

And then you could see all the stuff.

它让你可以访问十多个每周直播。

It gives you access to over a dozen weekly live streams.

每周两档独家节目。

Two exclusive shows every week.

一个有趣的社区。

A fun community.

当然，你还可以获得自己的播客订阅，以获取所有这些精彩内容。

Of course, your own podcast feed to get access to all this cool stuff.

海量的存档内容。

Archives for days.

相信我。

Trust me.

我们已经采访过你能想到的几乎每一个人。

You we've talked to just about every every person you could think of.

应该说，我们向期权和衍生品领域最顶尖的一些头脑请教了经验。

Pick the brains, I should say, some of best minds in the world of options and derivatives.

而你们一直通过提问和评论与我们共同推动着这艘船前进。

And you folks have been staring the ship with your questions and comments.

当然，如果你喜欢这类内容，还有很多精彩而异常的市场动态。

Of course, a lot of great unusual activity if you like that stuff as well.

而且，为了好玩，我们每个月还会赠送一些超棒的礼物。

And hey, just for fun, we also give away some awesome stuff every month.

Theoptionsinsider.com/pro。

Theoptionsinsider.com/pro.

使用这个促销代码。

Use that promo code.

死亡对决。

Deathmatch.

如果你正在收听专业版，我几分钟后就会回到你的耳中，和Carly Garner女士聊聊。

And if you are hanging out in the pro, I'll be back in a few minutes in your ear holes with miss Carly Garner.

有一阵子没和她交流了。

Haven't checked in with her in a little bit.

期货市场里最近发生了好多疯狂的事。

A lot of wild stuff going on in the world of futures.

我们会在这期期货简报中全面解析所有内容。

We'll break it all down on the futures rundown.

然后，当然，我们会在一天结束时回来，用经典的索尔·奥丁森——也就是热门期权报告——来总结一切。

Then, of course, we're back at the end of the day to wrap it all up with a little bit of the old Thor Odinson aka the hot options report.

这又是你应当订阅完整网络的另一个理由。

Yet another reason why you should be subscribed to the full network.

接着，我们将在本周余下的时间里继续为你呈现其他丰富内容。

Then we're back again with the rest of our array of content throughout the week.

明天我们会再次与流程大师见面。

Back with the flow master tomorrow.

周五我们会再次与维克斯医生见面。

Back with doctor Vicks on Friday.

周一由摇滚龙虾和麦克叔叔开启节目。

Kicking things off with the Rock Lobster and Uncle Mike on Monday.

接下来我们将在下一个教育日周三再次回来。

Then we're back again next Education Wednesday.

又一期期权训练营。

Another episode of Options Boot Camp.

大家在外面一定要注意安全。

Stay safe out there everybody.

老派交易员走进了一家酒吧。

Old trading walks into a bar.

新派交易员抬高了价格。

New trading raises it.

这就是Tasty Trade。

That's tasty trade.

关注真正重要的新闻资讯。

Keep focused with newsfeeds that matter.

在分析模式下以不同视角看待机会。

See opportunity differently in analysis mode.

使用300多个指标尽情绘图。

Chart your heart out with over 300 indicators.

此外，您还能享受到低价收费、丰富的教育资源，以及真正理解交易员需求的支持团队。

Plus, you can get low pricing, lots of education, and a support team that really gets how traders trade.

难怪Investopedia将Tasty Trade评为2024年最佳期权经纪商。

It's no wonder Investopedia named Tasty Trade the best broker for options in 2024.

天才喜欢同伴！

Genius loves company!

前往 tastytrade.com/podcasts 亲自体验吧！

Go to tastytrade.com/podcasts and see for yourself!

Tasty Trade 公司

Tasty Trade Inc.

是一家注册经纪交易商，成员资格涵盖FINRA、NFA和SIPC。

Is a registered broker dealer and member FINRA, NFA, and SIPIC.

您正在收听Options Insider广播网络。

You're listening to the Options Insider Radio Network.

如需更多优质期权节目，请访问 www.theoptionsinsider.com，或在您使用的播客平台中搜索“Options Insider Radio Network”。

For more quality options programs, visit www.theoptionsinsider.com, or search for options insider radio network in your podcast provider of choice.

听众还可以通过我们的移动应用访问我们所有的节目，该应用可在 iTunes 和 Google Play 上获取。

Listeners can also access all of our programming through our mobile app available in iTunes and on Google Play.