主题：【狗尾续貂原创】MaxPain大家谈 -- 量子
就把历史上ER那几个月的数据删除试试， 看看是否更能说明问题？
不知道历史上是否更改过ER周期。
Call options
Strike Symbol Last Chg Bid Ask Vol Open Int
55.00 BVDIK.X 60.80 0.00 60.90 61.40 10 20
60.00 BVDIL.X 58.30 3.00 55.90 56.40 1 40
65.00 BVDIM.X 50.10 0.00 50.90 51.50 10 30
70.00 BVDIN.X 44.90 0.00 45.90 46.40 21 75
75.00 BVDIO.X 40.30 0.00 40.90 41.40 15 127
80.00 BVDIP.X 41.30 12.12 35.90 36.40 5 157
85.00 BVDIQ.X 30.30 0.00 31.00 31.40 15 301
90.00 BVDIR.X 25.80 0.00 25.90 26.50 2 321
95.00 BVDIS.X 23.40 3.00 21.00 21.40 15 374
100.00 BVDIT.X 16.30 3.00 16.10 16.70 55 1630
105.00 BVDIA.X 12.30 1.00 11.50 11.80 176 2361
110.00 BVDIB.X 7.60 2.40 7.30 7.60 432 11142
115.00 BSCIC.X 4.00 2.20 3.90 4.10 1409 6920
120.00 BSCID.X 1.75 1.55 1.70 1.90 2747 11158
125.00 BSCIE.X 0.75 0.65 0.70 0.80 2418 9669
130.00 BSCIF.X 0.35 0.15 0.30 0.35 404 13050
135.00 BSCIG.X 0.20 0.05 0.15 0.25 458 15073
140.00 BSCIH.X 0.10 0.00 0.05 0.15 51 2549
145.00 BSCII.X 0.05 0.00 N/A 0.10 8 3339
150.00 BSCIJ.X 0.05 0.00 N/A 0.05 23 2184
155.00 BSCIK.X 0.03 0.00 N/A 0.10 5 992
160.00 BSCIL.X 0.03 0.00 N/A 0.05 30 354
Put options
Strike Symbol Last Chg Bid Ask Vol Open Int
55.00 BVDUK.X 0.03 0.00 N/A 0.05 7 1355
60.00 BVDUL.X 0.05 0.00 N/A 0.05 10 420
65.00 BVDUM.X 0.05 0.00 N/A 0.05 100 887
70.00 BVDUN.X 0.05 0.00 N/A 0.05 3 3486
75.00 BVDUO.X 0.05 0.00 N/A 0.05 85 2017
80.00 BVDUP.X 0.03 0.00 N/A 0.05 4 5310
85.00 BVDUQ.X 0.05 0.00 N/A 0.05 8 5208
90.00 BVDUR.X 0.05 0.00 N/A 0.10 217 8734
95.00 BVDUS.X 0.10 0.00 0.05 0.15 636 9591
100.00 BVDUT.X 0.20 0.05 0.20 0.25 1473 13308
105.00 BVDUA.X 0.60 0.30 0.50 0.60 2921 11679
110.00 BVDUB.X 1.35 0.65 1.25 1.35 5210 9972
115.00 BSCUC.X 2.90 1.07 2.80 2.95 2744 12337
120.00 BSCUD.X 5.20 1.20 5.50 5.80 1031 3104
125.00 BSCUE.X 9.70 2.67 9.40 9.70 99 1712
130.00 BSCUF.X 14.30 3.10 13.90 14.30 29 4195
135.00 BSCUG.X 17.70 1.70 18.80 19.20 5 752
140.00 BSCUH.X 21.00 6.40 23.70 24.30 19 231
145.00 BSCUI.X 29.00 0.00 28.70 29.30 5 13
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
Strike Symbol Last Chg Bid Ask Vol Open Int
55.00 BVDIK.X 60.80 0.00 62.80 63.40 10 20
60.00 BVDIL.X 58.30 0.00 57.80 58.40 1 41
65.00 BVDIM.X 50.10 0.00 52.80 53.40 10 30
70.00 BVDIN.X 44.90 0.00 47.80 48.40 21 75
75.00 BVDIO.X 40.30 0.00 42.80 43.40 15 127
80.00 BVDIP.X 41.30 0.00 37.80 38.40 5 157
85.00 BVDIQ.X 30.30 0.00 32.80 33.40 2 301
90.00 BVDIR.X 25.30 0.50 27.80 28.40 1 321
95.00 BVDIS.X 20.10 3.30 22.90 23.20 1 372
100.00 BVDIT.X 18.30 3.11 17.90 18.40 77 1626
105.00 BVDIA.X 14.40 3.10 12.90 13.20 67 2321
110.00 BVDIB.X 8.00 1.00 8.00 8.30 487 10979
115.00 BSCIC.X 3.70 0.05 3.50 3.80 3196 7286
120.00 BSCID.X 0.75 0.73 0.75 0.90 7011 11363
125.00 BSCIE.X 0.10 0.50 0.05 0.15 2753 8386
130.00 BSCIF.X 0.05 0.20 0.05 0.10 848 12143
135.00 BSCIG.X 0.05 0.05 N/A 0.10 45 14970
140.00 BSCIH.X 0.05 0.00 N/A 0.05 102 2569
145.00 BSCII.X 0.05 0.00 N/A 0.05 8 3339
150.00 BSCIJ.X 0.05 0.00 N/A 0.05 23 2184
155.00 BSCIK.X 0.03 0.00 N/A 0.10 5 992
160.00 BSCIL.X 0.03 0.00 N/A 0.05 30 354
Strike Symbol Last Chg Bid Ask Vol Open Int
55.00 BVDUK.X 0.03 0.00 N/A 0.05 7 1355
60.00 BVDUL.X 0.05 0.00 N/A 0.05 10 420
65.00 BVDUM.X 0.05 0.00 N/A 0.05 100 887
70.00 BVDUN.X 0.05 0.00 N/A 0.05 3 3486
75.00 BVDUO.X 0.05 0.00 N/A 0.05 85 2017
80.00 BVDUP.X 0.03 0.00 N/A 0.05 4 5310
85.00 BVDUQ.X 0.05 0.00 N/A 0.05 13 5195
90.00 BVDUR.X 0.05 0.00 N/A 0.05 2 8595
95.00 BVDUS.X 0.03 0.02 N/A 0.05 48 9567
100.00 BVDUT.X 0.05 0.25 N/A 0.05 433 13118
105.00 BVDUA.X 0.05 0.60 N/A 0.05 2089 12275
110.00 BVDUB.X 0.15 1.35 0.10 0.15 9178 14124
115.00 BSCUC.X 0.60 3.00 0.55 0.70 6190 13308
120.00 BSCUD.X 2.80 3.50 2.70 2.90 1442 3147
125.00 BSCUE.X 7.00 3.72 6.90 7.20 90 1708
130.00 BSCUF.X 14.72 0.78 11.70 12.20 4 4180
135.00 BSCUG.X 19.40 1.70 16.60 17.20 25 747
140.00 BSCUH.X 21.00 0.00 21.60 22.20 19 241
145.00 BSCUI.X 29.00 0.00 26.60 27.20 5 13
105的PUT变废纸了
是spread的一部分，现在估计是不用buy to close了。上了110和115，一个亏一个赚，加起来亏了。明天接着来。
You just need to upgrade your option trading level.
今天ＭＡＸＰＡＩＮ好像彻底失效了。幸好我手里没有太多的ＨＥＤＧＥ。
猜它先大涨再大跌再小涨，结果是小涨然后没怎么跌，最终亏了14k。不过手里hold的大头是明年一月的put。OE play就是赌赌手气了。Let's see how it goes in the next two weeks.
Bought some CFC put 17.5 Sep 07 one week ago. I knew the OE day is coming and it is extremely risky, but believe the jump of CFC is too much. Also, they were dirty cheap. So spend a small amount of money betting, really gambling on its plunge. Now my dirty cheap option becomes real dirt.Losing 95%. So the lesson I learned is don't let my emotion (including the willingness to gamble) control my rational thinking, and don't play real risky stuff, people call it risky for a reason.
Indeed i don't have a gut feeling about it. After all, the name of this business is risk. Before i took the gamble, i was ready to either win big or loss it all -- and in this case it turns out to be a 100% loss. I had a game plan before market opened, and i executed it exactly. It's just one of those down days.
Sometimes i make money; sometimes i loss money. That's the way it is. I don't take it into emotion; rather, try to learn lessons from it. In a sense, i just returned some of my earlier profits on BSC back to the market.
OE day的options走势问题中，maxpain只是其中一个因素，而具体到个股的话又有很多其它因素起作用，所以出现maxpain不准确的机会是很多的。从统计学的角度来看，maxpain虽然有一定相关性，但是具体到一个日期一个个股，这个分布范围就大了去了，想看看3个西格玛甚至一个西格玛在什么范围的话，估计就没有什么操作性。
这种做法实际上和quant fund有异曲同工之妙，后者不知道动用了多少大脑和电脑整数据模型，但是往往也未必能够盈利，甚至出现清盘，就是这样子的有测不准的问题。
所以我觉得，还是要拒绝短线诱惑，基于基本价值判断的中长线，机会更大。当然，maxpain theory和很多技术指标一样，都是短线走势可以参考的，不是要完全抛弃。
Glad to see you stop by. Your web design is nice, looking forward to see it officially starts running.