这个市盈率数据太好了。一直追溯到1973年。 不由得不给她配点绿叶。 如果需要最远到70年代的恒生指数做辅助，可以到下面网址下载： http://bbs.macd.cn/thread-1199901-1-1.html
转大行对期权的最新策略和分析。对期权感兴趣的朋友可以了解大行的思路。 Options Research: Buy Jun-09 KOSPI puts, sell Mar-09 HSCEI puts Buy KOSPI Jun-09 85% puts, sell HSCEI Mar-09 85% puts This calendar trade can be done at a 50bp cost and likely profits if (1) HSCEI is not down more than 15% by March; (2) KOSPI 200 underperforms HSCEI on the downside; or (3) KOSPI 200 falls significantly in 2Q09, after the HSCEI put has expired. The primary risk is HSCEI falling sharply near-term and underperforming KOSPI 200. China overweight; Korea to underweight on policy flexibility China Offshore: China Offshore is our preferred market into 2009. Three reasons: (1) it is the best positioned to offset cyclical challenges through assertive policy action; (2) the market was hit hardest in the region in 2008 and valuation now appears attractive; and (3) growth prospects are relatively strong and currency poses less risk than in other markets. Korea: On Nov 29, our strategists downgraded Korea to underweight. They believe potential fiscal and monetary stimulus may not be enough to offset: (1) heavy exposure to exports (49% of GDP from exports vs. 35% for China); (2) high SME loan growth; and (3) external funding issues magnified by potential for KRW depreciation. Our strategists’ bear case scenario is for a 67% fall in Korea’s earnings, vs. a 24% fall for China. KOSPI and HSCEI vol and term structure tell a different story HSCEI vol high relative to KOSPI 200: HSCEI implied volatility remains well above KOSPI 200, despite (1) tighter CDS spreads and (2) lower currency vol. While this is reflective of historic realized volatility trends, it is not in line with the fundamental risks we see in the respective markets. We believe it presents an opportunity to use options to implement a fundamentally-driven view. Term structures downward sloping: This trade also benefits from sharply downward-sloping term structures on both indices. The downward slope contrasts our view that markets could have an early 1Q09 rally as fiscal stimulus packages from the US and China may encourage risk appetite. We expect this to be a bear market rally followed by a weak 2Q09, as macro data and corporate earnings fall short of expectations. Alternative: Sell HSCEI knock-ins to fund KOSPI vanilla puts We include a scenario analysis of this trade’s P&L at the Mar-09 expiration of the HSCEI put. Despite the slight upfront cost, this trade has a positive unwind value provided that . Alternatively, buying KOSPI 200 Mar-09 90% puts can be fully funded selling HSCEI Mar-09 90% puts that knock in at 60%. This protects against a sharp fall in KOSPI 200, while only being exposed to HSCEI losses if the index falls well below its recent trough. If HSCEI does fall by 40% before March expiration, we believe KOSPI 200 will likely fall sharply as well, providing investors a hedge.
简单找了一下，没有找到对应品种的报价（可能机构的交易平台、OTC之类有），有能力的朋友可以贴出对应品种的报价，大家来跟踪一下。 这是IB中具有一点流动性的品种报价，这些品种与GS的推荐品种相差较大，不过聊胜于无的当前价格记录而已： KSE MAR 12 '09 135.0 puts bid 13.15 ask 14.15 C14.00 HKFE JAN 29 '09 13000 puts bid 863 as 893 C940
针对HSI\HHI的对冲策略，用刚才的市场价格做了个测算。考虑到流通性，只能选择08年12月合约。 HSI：14151 HHI: 7414 HSI 12000 Dec 08 put: 311-318 HSI 13000 Dec 08 put: 527 -557 HHI 6300 Dec 08 put: 223-250 HHI 6800 Dec 08 put: 352- NA 最简单的估算，卖出一个HSI put大约需要买入2个HHI put对冲风险。 而卖出一个HSI put的现金收入明显不能覆盖2个HHI put的买入。 如果HSI、HHI同步下跌而持有这些合约到期，则现金流的差异最终成为亏损。 如果HHI比HSI强超过2个百分点，似乎最终可以获利。不过没做具体计算。因为如果不持有到期，需要考虑波动率的变化等。而且不清楚经纪行对这种合约怎么收取保证金。 简单总结，不知道能否得出结论： 目前市场价格下，sell 1 HSI put and buy 2 HHI put and hold till expiration这种策略， 1、HHI强于HSI 2 个百分点，开始获利； 2、HHI强于HSI但不超过HSI 2个百分点，亏损大约在期权金差异之内； 3、HHI弱于HSI，亏损
还有一个问题想请教： 如果您操作恒生指数的衍生品种，不管期货还是期权，是不是只做日内。 如果做隔夜，怎么控制夜间美盘大幅变动的风险？ 如果做隔夜，为什么不干脆做美盘？它24小时交易，而且对香港影响很大。
期货只做日内，期权只做过夜。 关于期权策略，论坛上不能说得很具体，不过大的思路是跨市场套利。HSI-HHI, HSI-SGXNK HSI-STW, HSI-K200 , SGXNK-K200, SGXNK-STW, STW-K200, HHI-STW, 交易机会有不少。但这个比期货交易复杂多了，不但要考虑价格趋势，还要考虑波动率趋势。差之毫厘，失之千里。