請教禿鷹式價差交易 - 期貨
By Isla
at 2009-05-22T21:35
at 2009-05-22T21:35
Table of Contents
最近在研究有關價差交易的東西，
現在看盤系統都很方便，
直接點點點可能的損益圖和損益數字就算出來了~
爬了板上的文，
大致知道若要做一次價差，應該要花大約四口的手續費
請問這樣算起來，手續費就要被吃掉大約八點??
那如果有價差超過八點以上，那是不是代表可以套利??
因為看到看盤系統有下列組合，
S 3800 6月call/B 3700 6月call
S 3900 6月put/B4000 6月put
若以今日收盤價去看，權利金要支付20.1點
系統算出的期望報酬為67.1點(或80點?)
那是不是代表做這樣的策略不僅不用承擔任何風險，
就可以賺進大約60(67.1-8)點的報酬呢??
請問這樣的想法有無錯誤呢??
麻煩各位板上的大大幫忙解惑一下~感謝 mU__Um
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