蝴蝶策略对冲下跌的市场_老虎社区_美港股上老虎

蝴蝶策略对冲下跌的市场

simons的期权实验室
2021-03-01

从1月初建立的bearish brokenwing butterfly以应对可能下跌的市场，原理是用charm造成的负delta增长去对冲大盘下跌。上行基本无风险，越临近到期日，大盘要穿过漫长的区间才能抵达亏损区域。

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