Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options 讀後感---BXY,BXM,PUT INDEX FROM CBOE (I)

最近我讀了 一本選擇權的書, 非常的有趣, 想跟大家分享

Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options 

Mark D. Wolfinger

http://www.amazon.com/Create-Your-Own-Hedge-Fund/dp/0471655074/ref=asap_bc?ie=UTF8

作者 是從1977年開始從事選擇權的職業交易員TRADER, 到現在有三十八年的經驗,

一個 資深選擇權TRADER, 教導我們選擇權的使用, 我覺得十分的珍貴

選擇權 給大家 非常兩極印象-- 喜歡他的人,鼓吹OPTION,可以短時間成為億萬富翁, BUT 討厭他的人,強調OPTION 短時間讓你破產, 但事實上,這不是選擇權的用意

回歸到選擇權,另外一個大家不被重視的功能--- 幫你的資產避險, 降低你資產的波動性

傳統的投資方法, 教導我們 買下ETF, THEN 長期的BUY AND HOLD , 但是在這個長期的買進持有當中, 我們面臨到很多心靈的挑戰, 因為你的資產波動很大, 常常讓你心神不寧, 當你面對恐懼的時候就會把它賣掉,讓你沒有辦法長期持有

作者提供了一個COVERED CALL 選擇權策略, 可以穩定你的資產, 讓你每個月收到權利金, 並且提供 下跌的保護, 讓你可以長期擁有一個 資產

書上提到了一個BXM INDEX FROM 芝加哥期貨交易所CBOE

https://www.cboe.com/micro/bxm/

艾倫也從芝加哥期貨交易所, DOWNLOAD 最新的歷史資料, WOOW.... 就像作者 提到的, 選擇權的策略, 有機會能夠 比傳統的買進持有, 增加你的 回報, 穩定你的資產  (DATA FROM 1988.6 TO 2015.7)

這個 歷史資料 EXCEL,引起艾倫極大的興趣,

艾倫思考 BXM, PUT, BXY 這三種選擇權策略..的背後意義 , 和他的 應用

( 待續)

附錄

Study on Index Options Writing by Asset Consulting Group

In February 2012 the Asset Consulting Group published a six-page paper -- "An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns". Key findings of the paper include:

• Total Growth. Total growth for indexes since mid-1986 was 1153% for PUT Index, 830% for BXM Index, 807% for S&P 500® Index, and 368% for CLL Index (Exhibits 2 and 6).
• Lower Volatility. The PUT, BXM, and CLL indices all had volatility that was about 30 percent lower than the volatility of the S&P 500 Index (Exhibit 4).
• Left-tail Risk. Over the past 25 years, the worst monthly loss for the S&P 500 Index was a decline of 21.5 percent, compared to a relatively modest 8.6-percent monthly decline for the CLL Index (Exhibit 8e).
• Risk-adjusted Returns. One measure of risk-adjusted returns, the Sortino Ratio, was 0.90 for the PUT Index, 0.75 for BXY, 0.71 for BXM, 0.50 for S&P 500, and 0.31 for CLL Index (Exhibits 10 and 11). Please note that all the indexes had negative skewness.
• Monthly Premium Income. The average for the gross monthly premiums collected by the BXM Index was 1.8 percent. The index options usually were richly priced (Exhibits 12 and 13).
  

你可以同時參考

Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options 讀後感---BXY,BXM,PUT INDEX FROM CBOE (I)

http://allanlin998.blogspot.tw/2015/10/create-your-own-hedge-fund-increase.html

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Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options 讀後感---BXY,BXM,PUT INDEX FROM CBOE (II)

http://allanlin998.blogspot.tw/2015/10/create-your-own-hedge-fund-increase_25.html

選擇權的包租公----Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options 讀後感---BXY,BXM,PUT INDEX FROM CBOE (III)

http://allanlin998.blogspot.tw/2015/10/create-your-own-hedge-fund-increase_26.html