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.