主题：美国投资陷阱，中国付出多大代价？ -- 倥偬飞人
家园 谢谢.正想问怎样短线套利呢,飞人老师就来解惑了. 想问一下:这样将in the money的换成out of money的是什么原理? Hov能不能跌到$15以下?
家园 OTM的PUT涨得快 现在Jan 08 15 put的价格是1.4, delta是0.298；Jan 08 22.5 put的价格是6.0, delta是0.793。所以HOV每跌一块钱，投资在15 put上的一块钱可以增值0.21，而投资在22.5 put上的一块钱就只能增值0.13。前者是后者的161%.
家园 量子能够量化，太好了！
家园 in the money给了你不必要的风险 万一中间股票波动，原来in the money的利润可能又折进去，比如说hov从目前价位回升到20块，你的利润就要少一大半了。
获利卖出，然后买进out of the money的put，股票价格再回升，也不能侵蚀到已经套现的利润。如果要aggressive一点，可以买进更多数目的contract，因为out of money 的put，便宜而且涨起来快。strike 15，Jan 08只有$1多，比strike 22.5，Jan 08便宜多了，可以买多一倍的contract，还有现金套回来。
HOV看起来不是没有可能破产。看下面来自Yahoo的数据
Balance Sheet
Total Cash (mrq): 1.00M
Total Cash Per Share (mrq): 0.016
Total Debt (mrq): 2.49B
Total Debt/Equity (mrq): 1.324
债务是现金的2490倍！总债务超过公司净资产的32%，加上房子价格快速下滑，库存的房子价值快速贬值，有可能不能产生足够的现金流支付债务，这样就有可能被银行取消或者收回贷款，甚至要求公司清盘。
家园 哈，今天美林说，熊死蹬的另一个对冲也要出问题了…… Bear Stearns May Have to Rescue Second Hedge Fund, Merrill Say
June 25 (Bloomberg) -- Bear Stearns Cos. may have to salvage the second of its two teetering hedge funds after offering $3.2 billion last week to bail out the first one, Merrill Lynch & Co. analyst Guy Moszkowski said.Investors ``can't rule out'' the chance that Bear Stearns will ``stump up even more for a similar, more-leveraged, fund,'' Moszkowski, who rates the firm a ``buy,'' wrote in a note to clients today. He estimated that the second fund, the Bear Stearns High-Grade Structured Credit Enhanced Leveraged Fund, owes about $7 billion to its financiers.
Bear Stearns, the biggest broker to hedge funds, is struggling to keep the funds from collapsing after losses on securities backed by home loans led lenders including Merrill Lynch to demand more collateral. By assuming the loans, New York- based Bear Stearns is protecting the funds' investors while increasing the risk to the firm itself, according to Moszkowski.
