主题：【狗尾续貂原创】MaxPain大家谈 -- 量子

明天BSC ER，打算试试手气。Bloomberg预期EPS是1.81，Yahoo上预计是：

Avg. Estimate: 1.78

No. of Analysts: 15

Low Estimate: 1.00

High Estimate: 2.41

Year Ago EPS: 3.02

打算明天一早买入Sept put，等ER之后如果获利就抛掉。需要决定买哪个strike price的put。以下是今天收盘情况：

BSC 07 Sept Puts

Strike Symbol Last Chg Bid Ask Vol OpenInt

105.00 BVD UA 0.65 0.35 0.60 0.70 5026 11679

110.00 BVD UB 1.50 0.80 1.50 1.65 10296 9972

115.00 BSC UC 3.60 1.77 3.40 3.60 4734 12337

取中位价格计算IV:

105 Put: mid price: 0.65, IV: 117.925%

110 Put: mid price: 1.58, IV: 113.101%

115 Put: mid price: 3.50, IV: 112.289%

假定明天早上的IV和今天收盘一样，以此计算当股票处于各个价位时的Put价格以及Reward/Cost。由下图可见，105 Put是最佳选择（忽略commision），也就是说涨得最快。当然实际上，ER后IV会下降，所以这里的计算只是近似的。

股票价格 105 Put R/C 110 Put R/C 115 Put R/C

115.6500 0.1694 1.0000 0.7369 1.0000 2.3908 1.0000

115.4000 0.1851 1.0921 0.7808 1.0596 2.5028 1.0468

115.1500 0.2007 1.1842 0.8352 1.1335 2.6147 1.0936

114.9000 0.2163 1.2763 0.8933 1.2122 2.7347 1.1438

114.6500 0.2319 1.3684 0.9513 1.2910 2.8665 1.1989

114.4000 0.2497 1.4737 1.0094 1.3698 2.9983 1.2541

114.1500 0.2725 1.6082 1.0674 1.4486 3.1301 1.3092

113.9000 0.2953 1.7426 1.1306 1.5343 3.2619 1.3643

113.6500 0.3181 1.8770 1.2050 1.6352 3.3943 1.4197

113.4000 0.3408 2.0115 1.2793 1.7361 3.5457 1.4831

113.1500 0.3636 2.1459 1.3537 1.8370 3.6972 1.5464

112.9000 0.3929 2.3186 1.4281 1.9380 3.8486 1.6097

112.6500 0.4250 2.5083 1.5025 2.0389 4.0000 1.6731

112.4000 0.4571 2.6979 1.5940 2.1632 4.1515 1.7364

112.1500 0.4893 2.8875 1.6865 2.2887 4.3163 1.8054

111.9000 0.5214 3.0772 1.7790 2.4143 4.4863 1.8765

111.6500 0.5552 3.2768 1.8716 2.5398 4.6564 1.9476

111.4000 0.5991 3.5356 1.9641 2.6654 4.8265 2.0187

111.1500 0.6429 3.7944 2.0691 2.8079 4.9966 2.0899

110.9000 0.6868 4.0532 2.1810 2.9597 5.1746 2.1643

110.6500 0.7307 4.3120 2.2929 3.1116 5.3616 2.2426

110.4000 0.7745 4.5709 2.4048 3.2634 5.5486 2.3208

110.1500 0.8277 4.8849 2.5167 3.4153 5.7356 2.3990

109.9000 0.8857 5.2269 2.6366 3.5781 5.9227 2.4772

109.6500 0.9436 5.5689 2.7684 3.7569 6.1139 2.5572

109.4000 1.0016 5.9110 2.9002 3.9357 6.3158 2.6417

109.1500 1.0595 6.2530 3.0320 4.1146 6.5177 2.7261