主题：【狗尾续貂原创】MaxPain大家谈 -- 量子
家园 刚到他们网站看了看, 是不行 看来要写PUT还得到IB.
** Scottrade policy allows clients approved for Options to complete the following transactions:
Sell Covered Calls
Buy Calls
Buy Puts
Scottrade does not allow put selling or naked options.
家园 【BSC】Post ER play tomorrow 明天BSC ER，打算试试手气。Bloomberg预期EPS是1.81，Yahoo上预计是：
Avg. Estimate: 1.78
No. of Analysts: 15
Low Estimate: 1.00
High Estimate: 2.41
Year Ago EPS: 3.02
打算明天一早买入Sept put，等ER之后如果获利就抛掉。需要决定买哪个strike price的put。以下是今天收盘情况：
BSC 07 Sept Puts
Strike Symbol Last Chg Bid Ask Vol OpenInt
105.00 BVD UA 0.65 0.35 0.60 0.70 5026 11679
110.00 BVD UB 1.50 0.80 1.50 1.65 10296 9972
115.00 BSC UC 3.60 1.77 3.40 3.60 4734 12337
取中位价格计算IV:
105 Put: mid price: 0.65, IV: 117.925%
110 Put: mid price: 1.58, IV: 113.101%
115 Put: mid price: 3.50, IV: 112.289%
假定明天早上的IV和今天收盘一样，以此计算当股票处于各个价位时的Put价格以及Reward/Cost。由下图可见，105 Put是最佳选择（忽略commision），也就是说涨得最快。当然实际上，ER后IV会下降，所以这里的计算只是近似的。
股票价格 105 Put R/C 110 Put R/C 115 Put R/C
115.6500 0.1694 1.0000 0.7369 1.0000 2.3908 1.0000
115.4000 0.1851 1.0921 0.7808 1.0596 2.5028 1.0468
115.1500 0.2007 1.1842 0.8352 1.1335 2.6147 1.0936
114.9000 0.2163 1.2763 0.8933 1.2122 2.7347 1.1438
114.6500 0.2319 1.3684 0.9513 1.2910 2.8665 1.1989
114.4000 0.2497 1.4737 1.0094 1.3698 2.9983 1.2541
114.1500 0.2725 1.6082 1.0674 1.4486 3.1301 1.3092
113.9000 0.2953 1.7426 1.1306 1.5343 3.2619 1.3643
113.6500 0.3181 1.8770 1.2050 1.6352 3.3943 1.4197
113.4000 0.3408 2.0115 1.2793 1.7361 3.5457 1.4831
113.1500 0.3636 2.1459 1.3537 1.8370 3.6972 1.5464
112.9000 0.3929 2.3186 1.4281 1.9380 3.8486 1.6097
112.6500 0.4250 2.5083 1.5025 2.0389 4.0000 1.6731
112.4000 0.4571 2.6979 1.5940 2.1632 4.1515 1.7364
112.1500 0.4893 2.8875 1.6865 2.2887 4.3163 1.8054
111.9000 0.5214 3.0772 1.7790 2.4143 4.4863 1.8765
111.6500 0.5552 3.2768 1.8716 2.5398 4.6564 1.9476
111.4000 0.5991 3.5356 1.9641 2.6654 4.8265 2.0187
111.1500 0.6429 3.7944 2.0691 2.8079 4.9966 2.0899
110.9000 0.6868 4.0532 2.1810 2.9597 5.1746 2.1643
110.6500 0.7307 4.3120 2.2929 3.1116 5.3616 2.2426
110.4000 0.7745 4.5709 2.4048 3.2634 5.5486 2.3208
110.1500 0.8277 4.8849 2.5167 3.4153 5.7356 2.3990
109.9000 0.8857 5.2269 2.6366 3.5781 5.9227 2.4772
109.6500 0.9436 5.5689 2.7684 3.7569 6.1139 2.5572
109.4000 1.0016 5.9110 2.9002 3.9357 6.3158 2.6417
109.1500 1.0595 6.2530 3.0320 4.1146 6.5177 2.7261
家园 【BSC】09/19 10.20am Call options
Strike Symbol Last Chg Bid Ask Vol Open Int
55.00 BVDIK.X 60.80 0.00 60.90 61.40 10 20
60.00 BVDIL.X 58.30 3.00 55.90 56.40 1 40
65.00 BVDIM.X 50.10 0.00 50.90 51.50 10 30
70.00 BVDIN.X 44.90 0.00 45.90 46.40 21 75
75.00 BVDIO.X 40.30 0.00 40.90 41.40 15 127
80.00 BVDIP.X 41.30 12.12 35.90 36.40 5 157
85.00 BVDIQ.X 30.30 0.00 31.00 31.40 15 301
90.00 BVDIR.X 25.80 0.00 25.90 26.50 2 321
95.00 BVDIS.X 23.40 3.00 21.00 21.40 15 374
100.00 BVDIT.X 16.30 3.00 16.10 16.70 55 1630
105.00 BVDIA.X 12.30 1.00 11.50 11.80 176 2361
110.00 BVDIB.X 7.60 2.40 7.30 7.60 432 11142
115.00 BSCIC.X 4.00 2.20 3.90 4.10 1409 6920
120.00 BSCID.X 1.75 1.55 1.70 1.90 2747 11158
125.00 BSCIE.X 0.75 0.65 0.70 0.80 2418 9669
130.00 BSCIF.X 0.35 0.15 0.30 0.35 404 13050
135.00 BSCIG.X 0.20 0.05 0.15 0.25 458 15073
140.00 BSCIH.X 0.10 0.00 0.05 0.15 51 2549
145.00 BSCII.X 0.05 0.00 N/A 0.10 8 3339
150.00 BSCIJ.X 0.05 0.00 N/A 0.05 23 2184
155.00 BSCIK.X 0.03 0.00 N/A 0.10 5 992
160.00 BSCIL.X 0.03 0.00 N/A 0.05 30 354
Put options
Strike Symbol Last Chg Bid Ask Vol Open Int
55.00 BVDUK.X 0.03 0.00 N/A 0.05 7 1355
60.00 BVDUL.X 0.05 0.00 N/A 0.05 10 420
65.00 BVDUM.X 0.05 0.00 N/A 0.05 100 887
70.00 BVDUN.X 0.05 0.00 N/A 0.05 3 3486
75.00 BVDUO.X 0.05 0.00 N/A 0.05 85 2017
80.00 BVDUP.X 0.03 0.00 N/A 0.05 4 5310
85.00 BVDUQ.X 0.05 0.00 N/A 0.05 8 5208
90.00 BVDUR.X 0.05 0.00 N/A 0.10 217 8734
95.00 BVDUS.X 0.10 0.00 0.05 0.15 636 9591
100.00 BVDUT.X 0.20 0.05 0.20 0.25 1473 13308
105.00 BVDUA.X 0.60 0.30 0.50 0.60 2921 11679
110.00 BVDUB.X 1.35 0.65 1.25 1.35 5210 9972
115.00 BSCUC.X 2.90 1.07 2.80 2.95 2744 12337
120.00 BSCUD.X 5.20 1.20 5.50 5.80 1031 3104
125.00 BSCUE.X 9.70 2.67 9.40 9.70 99 1712
130.00 BSCUF.X 14.30 3.10 13.90 14.30 29 4195
135.00 BSCUG.X 17.70 1.70 18.80 19.20 5 752
140.00 BSCUH.X 21.00 6.40 23.70 24.30 19 231
145.00 BSCUI.X 29.00 0.00 28.70 29.30 5 13
外链图片需谨慎，可能会被源头改家园 搜索发现一篇好文章：股价在期权到期日的变化 提要：
This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide evidence that hedge re-balancing by option market-makers and stock price manipulation by firm proprietary traders contribute to the clustering.家园 大致看了这篇文章 觉得有不少地方还是不错的。用历史数据验证stock price clustering on OE dates，还是比较有说服力的。大致的原因讨论和前面Cramer说的其实差不多。
数学推导感觉很sloppy，不过对于结论的影响并不是特别大，只是一个有多近似和严格的问题。看得不足够仔细，就不展开谈了。有些地方很搞笑，比如abstract第一句话，option trading肯定会影响underlying stock price的, 这有啥striking的？倒有点象新浪的标题“惊现XXX”一样。
家园 【原创】看看AAPL十年以来OE Date的收盘价 日期 收盘价 误差
19-Sep-97 21.94 1.94
17-Oct-97 20.12 0.12
21-Nov-97 18.19 -1.81
19-Dec-97 13.69 -1.31
16-Jan-98 18.81 -1.19
20-Feb-98 20 0
20-Mar-98 26.37 1.37
17-Apr-98 27.94 -2.06
15-May-98 29.56 -0.44
19-Jun-98 27.06 2.06
17-Jul-98 36.88 1.88
21-Aug-98 43 -2
18-Sep-98 36.75 1.75
16-Oct-98 36.69 1.69
20-Nov-98 35.31 0.31
18-Dec-98 35.19 0.19
15-Jan-99 41.31 1.31
19-Feb-99 37.19 2.19
19-Mar-99 33.5 -1.5
16-Apr-99 35.44 0.44
21-May-99 43.94 -1.06
18-Jun-99 47.13 2.13
16-Jul-99 53.06 -1.94
20-Aug-99 59.19 -0.81
17-Sep-99 76.94 1.94
15-Oct-99 74.56 -0.44
19-Nov-99 92.44 2.44
17-Dec-99 100 0
21-Jan-00 111.31 1.31
18-Feb-00 111.25 1.25
17-Mar-00 125 0
19-May-00 94 -1
16-Jun-00 91.19 1.19
21-Jul-00 53.56 -1.44
18-Aug-00 50 0
15-Sep-00 55.23 0.23
20-Oct-00 19.5 -0.5
17-Nov-00 18.5 -1.5
15-Dec-00 14.06 -0.94
19-Jan-01 19.5 -0.5
16-Feb-01 19 -1
16-Mar-01 19.62 -0.38
20-Apr-01 25.04 0.04
18-May-01 23.53 -1.47
15-Jun-01 20.44 0.44
20-Jul-01 19.98 -0.02
17-Aug-01 18.07 -1.93
21-Sep-01 15.73 0.73
19-Oct-01 18.3 -1.7
16-Nov-01 18.97 -1.03
21-Dec-01 21 1
18-Jan-02 22.17 2.17
15-Feb-02 23.9 -1.1
15-Mar-02 24.95 -0.05
19-Apr-02 24.98 -0.02
17-May-02 25.01 0.01
21-Jun-02 16.85 1.85
19-Jul-02 14.96 -0.04
16-Aug-02 15.81 0.81
20-Sep-02 14.87 -0.13
18-Oct-02 14.34 -0.66
15-Nov-02 15.95 0.95
20-Dec-02 14.14 -0.86
17-Jan-03 14.1 -0.9
21-Feb-03 15 0
21-Mar-03 15 0
16-May-03 18.8 -1.2
20-Jun-03 19.2 -0.8
18-Jul-03 20.86 0.86
15-Aug-03 19.71 -0.29
19-Sep-03 22.58 -2.42
17-Oct-03 22.75 -2.25
21-Nov-03 20.28 0.28
19-Dec-03 19.7 -0.3
16-Jan-04 22.72 -2.28
20-Feb-04 22.4 2.4
19-Mar-04 25.86 0.86
16-Apr-04 29.18 -0.82
21-May-04 27.11 2.11
18-Jun-04 32.91 -2.09
16-Jul-04 32.2 2.2
20-Aug-04 30.8 0.8
17-Sep-04 37.14 2.14
15-Oct-04 45.5 0.5
19-Nov-04 55.17 0.17
17-Dec-04 64.99 -0.01
21-Jan-05 70.49 0.49
18-Feb-05 86.81 1.81
18-Mar-05 42.96 -2.04
15-Apr-05 35.35 0.35
20-May-05 37.55 -2.45
17-Jun-05 38.31 -1.69
15-Jul-05 41.55 1.55
19-Aug-05 45.83 0.83
16-Sep-05 51.21 1.21
21-Oct-05 55.66 0.66
18-Nov-05 64.56 -0.44
16-Dec-05 71.11 1.11
20-Jan-06 76.09 1.09
17-Feb-06 70.29 0.29
17-Mar-06 64.66 -0.34
21-Apr-06 67.04 2.04
19-May-06 64.51 -0.49
16-Jun-06 57.56 -2.44
21-Jul-06 60.72 0.72
18-Aug-06 67.91 -2.09
15-Sep-06 74.1 -0.9
20-Oct-06 79.95 -0.05
17-Nov-06 85.85 0.85
15-Dec-06 87.72 -2.28
19-Jan-07 88.5 -1.5
16-Feb-07 84.83 -0.17
16-Mar-07 89.59 -0.41
20-Apr-07 90.97 0.97
18-May-07 110.02 0.02
15-Jun-07 120.5 0.5
20-Jul-07 143.75 -1.25
17-Aug-07 122.06 2.06
十年误差的直方图分布（明显没有GOOG MM控制的好）：
外链图片需谨慎，可能会被源头改