Re: TVPP TVPA TVPY Cupones Vinculados al PBI
Publicado: Lun Abr 18, 2011 11:20 pm
Para los que gustan de la adrenalina de las opciones, acá va el último trade de moda con el VIX. Quizá se adapte al TVPP también...
Se llama el 1 x 2.
1. Identificar el punto de la curva (sweet spot) que esté lo bastante alejado para permitir que el movimiento se produzca, y que a la vez no se vea tan afectado por el roll forward.
2. Vender un call out of the money
3. Con el dinero resultante, comprar dos calls out of the money con un strike mayor al anterior
4. Si hay un movimiento fuerte, la ganancia puede ser importante, si no hay movimiento y todo expira sin valor, la inversión inicial es bastante menor que comprar el call directamente.
En el VIX, la particularidad es que los saltos son muy violentos luego de un período de calma en la volatilidad general (como hoy). Habría que ver si con el TVPP la estrategia resultaría rendidora de manera similar.
Acá va el original en inglés:
http://www.thestreet.com/story/11078430 ... -soon.html
...
In visiting many European brokerages/funds over the past week in London and in Paris, the most common VIX trade that is being done is called the 1x2 trade. If properly implemented, the trade's value falls less than the VIX during nonvolatile periods and rises far faster than the VIX during times of volatility and stress. The worst case is when volatility rises only slightly and the further-out long calls fail to increase in value.
Here is how the trade has been explained to me (note: A SocGen strategist has recently written up the trade):
1.Find the sweet spot of the curve, which is usually eight to 15 weeks out to expiration, where "roll yield does not eat into your returns and you can still see an explosive upside to your investment."
2.Sell an out-of-the-money call option on the VIX.
3.Use the call premium (in step No. 2), and buy two calls that are further out-of-the-money.
4.At the time, the three options are out of the "sweet spot" -- take them all off and put the options back on that reside back in the "sweet spot."
Se llama el 1 x 2.
1. Identificar el punto de la curva (sweet spot) que esté lo bastante alejado para permitir que el movimiento se produzca, y que a la vez no se vea tan afectado por el roll forward.
2. Vender un call out of the money
3. Con el dinero resultante, comprar dos calls out of the money con un strike mayor al anterior
4. Si hay un movimiento fuerte, la ganancia puede ser importante, si no hay movimiento y todo expira sin valor, la inversión inicial es bastante menor que comprar el call directamente.
En el VIX, la particularidad es que los saltos son muy violentos luego de un período de calma en la volatilidad general (como hoy). Habría que ver si con el TVPP la estrategia resultaría rendidora de manera similar.
Acá va el original en inglés:
http://www.thestreet.com/story/11078430 ... -soon.html
...
In visiting many European brokerages/funds over the past week in London and in Paris, the most common VIX trade that is being done is called the 1x2 trade. If properly implemented, the trade's value falls less than the VIX during nonvolatile periods and rises far faster than the VIX during times of volatility and stress. The worst case is when volatility rises only slightly and the further-out long calls fail to increase in value.
Here is how the trade has been explained to me (note: A SocGen strategist has recently written up the trade):
1.Find the sweet spot of the curve, which is usually eight to 15 weeks out to expiration, where "roll yield does not eat into your returns and you can still see an explosive upside to your investment."
2.Sell an out-of-the-money call option on the VIX.
3.Use the call premium (in step No. 2), and buy two calls that are further out-of-the-money.
4.At the time, the three options are out of the "sweet spot" -- take them all off and put the options back on that reside back in the "sweet spot."
