这句话如果修改一下会更合适一些：“对于普通人来说，理性的策略是永远不要裸卖期权给别人。” 如果自己持有多头仓位，相应卖出期权，风险相对可控。虽然可能牵涉到复杂的风险计算。如果你卖出的东西和持有的东西不完全一致的话。 今天，GS又重申并完善了对香港期权操作的建议: overwriting and buy-writes. 思路清晰、论证清楚。 ------------------------ Asia Index Volatility Chartbook: HSCEI and NASDAQ 100: perspective from the tech bubble Vol has declined from peak levels though remains in its top 1-year quartile across Asia. We recently published our 2009 strategy outlook, calling for a year of wide trading ranges but limited returns. We believe buy-write and overwrite strategies will outperform in this environment. We use the NASDAQ bubble as an example of overwriters outperforming in the second and third years following a market peak. NASDAQ 100 parallel suggest similarities We overlay HSCEI’s three-year chart with NASDAQ 100 (NDX) trading prior to and following the 2000 bubble. We find three similarities: (1) Both indices rose 280-300% in the two years prior to the peak; (2) Both fell 65% in the year that followed; (3) 6-mo realized vol rose to 73% one year after the market’s peak, which is where HSCEI stands now. We do not expect HSCEI vol to sustain these extreme levels just as NDX vol began to decline a year after the market peak. Weakness within a range followed We find the NDX trading an interesting albeit very loose parallel example. In years two and three following the bursting of the bubble, NDX traded in a wide range, grinding lower, with multiple bear market rallies, followed by a rebound. Vol grinded lower from its peak. Notably, buy-writes were generally profitable and outperformed long-only over this period. We suggest overwriting and buy-writes We believe buy-writes and overwriting will be a similarly profitable strategy in the current volatile but potentially rangebound environment. Our strategists have an overweight view of China but a cautious outlook on the region as a whole, expecting near-term bear market rallies to be limited in scope and duration. We continue to suggest selectively overwriting at the index and single-stock level to take advantage of heightened volatility and limited returns. 再次提示，这是GS对机构投资者的建议，个人投资者慎重。
关于个股期权策略的一个例子。 今天。 Pan Asia: Options Research: China Telecom: downgraded, defensive: sell covered calls Selling China Telecom Feb-09 HK$3.60 calls earns HK$0.24 Selling Feb-09 HK$3.60 (117%) calls on China Telecom generates HK$0.24 (7.6%) upfront premium. If shares fall to our 12-m SOTP price target (HK$3.00), a covered call position will generate slightly better returns than an outright short. If the market rebounds, covered calls offer a 25% return to exercise and an effective exit of HK$3.84 (Aug-08 levels). China Telecom downgraded to Sell relative to sector China Telecom is up c. 3% over the past two months, outperforming both HSCEI (-14%) and its telco peers (China Mobile +1%, China Unicom -10%). The stock trades at 13x 2009E GS P/E, the greatest premium to trough multiples among Chinese telcos. GS analyst Helen Zhu believes CT’s CDMA turnaround will be tougher and longer than consensus expects and that the street is underestimating CT’s subsidy burden for CDMA. While she believes CT will likely underperform peers, she expects China telcos to remain defensive, making her Sell rating relative rather than absolute. Short-dated vol screens as high across metrics China Telecom 3-mo ATM implied vol (79%) is 5 points below its all-time high and at its historic high relative to China Mobile. Were implied vol at its 1-year average, selling the same covered call would generate just 3.6%, less than half the current premium. We suggest selling 3-mo options as opposed to longer-dated given the steeply downward-sloping term structure. Annualizing the 3-mo covered call premium generates 31%, 1600bps higher than selling a Dec-09 call. Alternatives: Barrier covered calls and CT/CU pair trades Barrier covered call: Selling a Feb-09 HK$3.60 call with a knock-in barrier at HK$4.60 (150% of spot) generates 6.0%, 160bps less premium than a vanilla call. In exchange for the lower premium, the call only has value if the stock closes above HK$4.60, near the 6-month high, before expiry. CU/CT pair trade: To implement our preference for China Unicom over CT, we suggest selling a Feb-09 CT 116% call to fully fund a Feb-09 CU 120% call. We like owning CU upside as we expect the company to benefit from regulatory changes/WCDMA launch in 2009.
全球观点 我们就此引入09年十大交易。如往常一样，这些交易策略是我们认为最具回报潜力并能反映我们对宏观看法的trade。今年，我们高盛的经济、组合策略和大宗商品团队合并为Global ECS group。在这个更大的平台上，我们尽力为投资者提供包含更广泛资产类别的投资建议并作出解释。 本文中首先介绍前7大交易 我们的十大交易策略中的第一个与A股密切相关： 交易一、在目前的点位（上证2079）买入中国A股，目标看到2600点 尽管全球股票市场面临不确定性，我们认为中国A股市场在年底前出现大幅反弹非常可能。中国A股资07年10月份的高点已经累计下跌70%，尽管A股相对H故仍存在大幅溢价，但07年股市积攒的泡沫已经被挤得差不多了。虽然中国经济也在遭遇多年以来的最大寒冬，但中国政府在积极采取财政货币政策应对挑战，而中国的经济刺激力度和意愿都显得比世界其他国家更为强烈。尽管我们的亚洲策略团队对亚洲地区股市的整体看法谨慎，但却依然把中国作为唯一超配的国家。大规模的流动性注入和未来美元可能的贬值同样有利于货币与美元挂钩国家经济的复苏。海外投资者可以通过QFII和同在A股上市的H股分享A股反弹。 交易二、在100的位置买入/卖出新兴市场外汇差异Basket，目标价为106 这个basket的组成如下：20%是买入EUR/PLN、30%是买入EUR/CZK、15%是买入EUR/TRY、20%是卖出US$/MXN、15%是卖出US$/BRL，从在新兴市场货币的价值和受去杠杆影响的差异方面寻求获利机会。 交易三、在67.97美元卖空12月11日的原油期货合约，目标为60美元 交易四、买入30年美国Fannie-Mae MBS，目标收益率为4.0% 交易五、由于市场对瑞典政府采取的信用担保政策反映过度，在当前148bp的水平上卖空5年期CDS，，目标看到60bp。 交易六、在58.97的水平上买入Wavefront housing basket，目标看到70。 交易七、在当前1.48的汇率基础上买入英镑买空美元，即long Cable，预计英镑兑美元汇率应达到1.65。