論值角度分析認股證 – 4

Hi,

what I meant by differential is the difference between historical vol & implied vol.  Smaller is better but individual investors are still at a disadvantage because implied vol is "man-made"

Actually, the greeks are the terms in the differential equation.

direction, decaying rate of time value and volatility  are delta, theta and vega

My former boss is a fund manager, not only he didn't get fired but got promoted.  Fund managers usually try to outperform by taking excessive risk, ask for more money and go to another shop. 

Mr. Chung Man Wing is a great example....

Hi Asia Bond Geek,

Thanks for your comments! Since I am not a professional derivatives trader, if I have any mistake in my articles, pls don't hesitate to drop me a message to my blog.

For the article with differential contents, I would like to discuss the relation between modern physics and option (not for a trading strategy). Traders (option/warrant issuers) don't care about differential equation as I know. They prefer to use the "Greek letters" or simply the "Greek". Each Greek measures a different dimension of the risk in an option/warrant position and the aim of a trader is to manage the Greeks so that all risks are acceptable. In my experience of investing warrant, I care about direction, decaying rate of time value and volatility mainly.

For historical volatility, I think this is a good reference for option/warrant trading. For example, the historical volatility of H share warrant is going downward after tightening measures from central government, if investors assume the effect of tightening measures would be gone after six months and market is going crazy on H share again (as similar as April), investors might compare the different between recent and April data (historical volatility) to estimate the volatility after six months based on above assumption. Meanwhile, if above assumption doesn't happen in the path of coming six months (comparing with historical data), investors should close their position, in my view.

If any investors like to write an option (=option issuer), they could do this in HKEx. But it should have a risk management if any holds a naked position of writing an option.

In my experience, fund managers and analysts (buy side) would be fired because of the underperformance of their portfolio. They would not get fired because of losing few percent of their portfolio, but it would happen if they were underperformed for few quarters. Even the big boss can understand and accept it, the clients (fund of funds, insurance company and some big) might ask the big boss to do something for improving the situation. Otherwise, they might withdraw the investment. The fund managers might have one more quarter to try (or might not have). If the fund managers can't be turnaround, what could the big boss do?

Hi Asia Bond Geek,

 

Thanks for your comments! Since I am not a professional derivatives trader, if I have any mistake in my articles, pls don't hesitate to drop me a message to my blog.

 

For the article with differential contents, I would like to discuss the relation between modern physics and option (not for a trading strategy). Traders (option/warrant issuers) don't care about differential equation as I know. They prefer to use the "Greek letters" or simply the "Greek". Each Greek measures a different dimension of the risk in an option/warrant position and the aim of a trader is to manage the Greeks so that all risks are acceptable. In my experience of investing warrant, I care about direction, decaying rate of time value and volatility mainly.

 

For historical volatility, I think this is a good reference for option/warrant trading. For example, the historical volatility of H share warrant is going downward after tightening measures from central government, if investors assume the effect of tightening measures would be gone after six months and market is going crazy on H share again (as similar as April), investors might compare the different between recent and April data (historical volatility) to estimate the volatility after six months based on above assumption. Meanwhile, if above assumption doesn't happen in the path of coming six months (comparing with historical data), investors should close their position, in my view.

 

If any investors like to write an option (=option issuer), they could do this in HKEx. But it should have a risk management if any holds a naked position of writing an option.

 

In my experience, fund managers and analysts (buy side) would be fired because of the underperformance of their portfolio. They would not get fired because of losing few percent of their portfolio, but it would happen if they were underperformed for few quarters. Even the big boss can understand and accept it, the clients (fund of funds, insurance company and some big) might ask the big boss to do something for improving the situation. Otherwise, they might withdraw the investment. The fund managers might have one more quarter to try (or might not have). If the fund managers can't be turnaround, what could the big boss do?

"認股證的引伸波幅與正股的歷史波幅差距越小，對投資者越有利。"

As an investor, you are still paying the differential.  Also, historical?  What range of historical?  3 months, 6 months, 2 years interval?  How about weekly vs daily vs monthly? 

It doesn't have to, if you find a way to be on the "Market-maker" side.

Also, fund managers and analysts don't have to be fired if they lost money for their clients.  I did, and I was never fired for that....