主题：【原创】一个增加信托基金收益的玩法 -- 倥偬飞人
家园 【原创】一个增加信托基金收益的玩法 美国的朋友要买加拿大信托基金，往往有一个限制，因为大多数信托基金只在加拿大上市，而在美国上市的收益相对要低一些。举一个例子来讲，AAV是在美国上市的，加拿大对应的是AVN.UN，刚刚减少了派息到15分加币，目前市场UNITPRICE是10.98美元，年派息率按新的派息计算约14%。怎样可以提高你的收益呢？
最简单的办法是MARGIN吃息差，如果你借钱的利率低的话，可能不错。如果借款利率为6%，你可以拿8%左右的息差，以50%的MARGIN计算，你的本金回报14%+（14%-6%）*50%=18%。当然这里没有计入UNITPRICE变化的情况。如果涨，当然赚得更多，但是如果跌呢？52周最低价位到过9.75美元，如果跌到10美元，MARGIN不但不赚，还要赔。
有没有别的办法？在美国上市的基金有一个好处就是有OPTIONS交易，AAV也有calls和puts可以买卖。这里有机会提高你的收益吗？
比方讲，07年8月到期的put，strike是10美金，价格是$0.70。按照目前的unitprice计算，这个put的time value是1.68美元，intrisic value是负数，也就是-$0.98。也就是说在这个put到期的时候如果unitprice在10美元以上的话，绝对不会exercise，put的买方要损失1.68美元（如果中间不曾转手），而卖方会白赚0.70美元，相当于6.4%。
如果作为AAV本股的持有人，卖出同等数量的这个put，结果会怎么样呢？在上述情况下，你会增加6.4%的利润，加上14%派息，你有20.4%的回报。
这就完了吗？还没有。到8月份，07年度还没有结束，还有四个月，而卖出的put已经到期，你可以继续卖出比如说12月份到期的put，strike仍然是$10，结果会增加$0.40（估计值）的收入，这样就多3.6%的利润，这样回报就是24%！
从14%的派息到24%的现金收入，有意思吧？
那么风险如何呢？如果unitprice上升，自然你不用担心，总回报肯定大于24%。
如果unitprice下降，你的现金回报部分14%的派息是不会随着unitprice本身变化而变化的，而是取决于公司的运营情况，这个暂且不讨论。卖出的put只有在unitprice降到$10以下，才会被exercise，否则对方还要亏钱，是不可能这么干的。
所以唯一要关心的问题变成: unitprice会跌到$10以下吗？
AAV本身计入所有油气储量按10%折现率的净资产值超过30美元/unit，跌到10美元以下的机会是很小的，除非石油和天然气价格大跌。目前AAV的产量中50%为石油，50%为天然气。基于对能源需求和美元贬值的判断，目前AAV本身就已经超跌，相信上升的可能性更高。
万一UNITPRICE跌了，要跌到$9.30元以下，你才会因为卖出PUT而亏钱。比如跌到9.50，对方exercise，你每个单位要补给对方$0.50，但是还赚$0.20。
具体的讨论当然还有很多方面，这里就算抛砖引玉，给大家一个有点意思的课题。不瞒您说，俺就是这样操作的。
家园 时间的考验 刚刚出差回来，还是挺忙，偷闲顶一下旧帖。
三个月过去，这个对aav投资的策略表现如何呢？
在下不但卖空了put，还买入了call，等于是两个战线上采用同一个方向的策略：看好aav的表现。
到目前为止，aav已经升值超过10%，不要忘了每个月还派息，三个月派息也有差不多4.5%。
put方向的盈利，由于put（8月$10)的价格从$0.85下跌到$0.25-0.35之间，对方损失超过60%。我方卖空仅仅付出利息的代价而已，这个百分比就不好算了，但是对应每个基金单位的话，相当于增加了四个月的分红。
call方向的增值也超过了50% - 也许比卖空put更好，因为后一种做法实际上要占用available margin这一资源。如果用这笔margin来买calls，绝对盈利比卖空puts高一些。
如果是买入了1000个单位的aav，卖空了put 10个contract，买进了call 10个contract, （都按照strike $10, 8月份到期），这样操作的盈利比单纯买入aav 本股相当于要多赚差不多两倍。
还是很忙，如果没空答复各位的问题，先请谅解了。
家园 Look at this chart Tell: you feel it is going down or up?
家园 There are safer plays if you are very confident this thing is not going down. Long stock and at the same time short put is risky if the stock tanks. The put is naked. If called you have to have money to buy more stocks at stricking price! Sure you can sell the long position to make up part of (most of, maybe) it. Still the short put is not entirely covered.
家园 Yeah, only take the amount of risk you feel comfortable with - just the comfortable zone will vary from person to person, from stock to stock
Often times people get scared when risk is not as big as they see, and forget about risk at all when they need to feel it the most. Here I see a lot of your guys worrying about the risk, which is a good thing!
Of course you can always buy calls with the maximum risk of losing 100% of them - just time value is not on your side.
As I see it, it is easier to predict the bottom than the top considering all the factors at hand, particularly for this one, and I feel comfortable doing this combination to boost my gains.
家园 some further explaination I do not dispute your analysis on the fundamentals of this trust. You did good home work and I agree with you this company has little downside risk and quite big potential.
But precisely because this, I think your strategy(long stock, sell put) is not a good one. As I explained before, for each put you sell, you need to put extra $200 cash or margin aside. Remember you can't turn thin air into money. This works best when the stock goes nowhere as you wait while collect some premium. However if this stock goes up sharply, you are far better off to use that $200 dollars to buy stocks directly. If the stock goes down sharply, you are in big trouble as the put will jump and you could be wiped out immediately. I agree it is unlikely it will dip below $10 for long. But this is not impossible. You never know. The unexpected always happens. As you are leveraged(1:5) when selling naked put, you don't have to luxuary to wait through the possible storm.
In summary, don't try to be smart. Just buy the stock in cash if you believe your analysis on the stock. great risk/reward.
家园 What you said makes sense In general. But for particular case like this one, general is not enough. People will have different opinion over the risk of the same stock, that's not a surprise.
The point here is to boost the cash income from the dividend-paying trust. If you buy the underlying only, simply no "boost". Therefore selling puts is a good option as the "time value" is on my side, in addition to the low probability of the underlying going under $10.
I don't even mind shorting the puts alone, completely "naked" as you pointed out, given my confidence that this trust will have more upside potential than the opposite. Investment is about taking calculated risk.
家园 飞人兄的作法基于$10是最低点 我的理解：飞人认定$10是最低点，有很大上升空间，但是不知道什么时候才能大涨。Long stock是在大涨时获利；long call需要timing，所以不考虑；short put是在不涨的时候补贴一下。
Margin一般不是问题，一般人不会用100％margin，账户里Long的其它资产可以满足margin的要求，不需要压现金。
这种做法未尝不可，只是需要明确的指出风险何在，天下没有免费午餐。
Long Stock 和 short put (strike=10) 的 Payoff 在$10一下是一样的，分开考虑和放在一起没有区别。如果大前提“$10是最低点”不出事，单short put的相对回报最高。跌破$10，那么就要多赔一倍（减去Put Premium）。
投资只要搞清风险和回报，自己能接受就可以。很多文章谈回报多，风险往往说得少或者不清楚，可能会误导不理解两者关系的人。
家园 抓住了重点 在技术细节上打转是舍本逐末的做法，具体的风险要具体分析，基本面把握好了，赚钱是不难的只是多少的问题。然后再讨论什么方法获利最丰，风险最小。
跌破$10，short puts并不一定多赔，甚至还可以赚。如前贴所讲，只有当unitprice 跌到$10以下，这个put的买家才可能exercise，但是如果价格跌不到$9.30以下，买家的盈利还不够补偿put本身的成本！反过来就是在$9.30以上，short puts本身这个操作还是赚的，虽然整体回报不好。
- 复 抓住了重点
家园 有一点儿糊涂 如前贴所讲，只有当unitprice 跌到$10以下，这个put的买家才可能exercise，但是如果价格跌不到$9.30以下，买家的盈利还不够补偿put本身的成本！是$10还是$9.30？
Long Put的人考虑是否exercise只会考虑strike，price和fee。Premium已经付了，不在考虑之中。
当然short Put的人只有在Price低于strike + fee - premium 时才赔钱。
- 复 有一点儿糊涂
家园 这么说吧 当前价格$10.98
put @ strike $10/Aug07 costs $0.70 (cash gain of the seller)
Intrisic value of put: = negative
When expected unit price >= $10 at expiry date, out of the money:
Intrisic value of put = 0 or negative, so no exercising.
When expected unit price = $9.30 at expiry date, in the money:
Intrisic value of put = $0.70 (cash gain of the buyer but equal to the cost the buyer paid, so -
Return to the buyer = 0!
Cash loss to the seller by exercising: $0.70, net of cash gain $0.70 from selling the put:
Return to the seller = 0！
So $9.30 is the breaking point for both buyer and seller. If expected unit price is higher than that, the put buyer loses/seller gains; lower than that, the put buyer gains/seller loses on this option transaction.
Between $10 and $9.30, the buyer will exercise but the net return will be negative; on the contrary the seller gains.
家园 Divident Yield is Not your 回报 Assuming the stock is still 10.98 when it pays the dividend(0.15), after the dividend is paid out, your stock price will be adjusted down to 10.98-0.15 so your 回报(total return) is 0%. Remember you are investing in stock not bank deposit or bond. Your dividend yield is NOT your total return.
If you buy 100 shares and sell one contract of PUT,
your return on the put premium should be:
0.7/(10.98+10*20%) = 5.39%<6.4%
You need to put extra cash of 20% of the striking price as margin to your broker to earn that 0.7 put premium. You cann't turn money out of thin air.