主题：【原创】一个增加信托基金收益的玩法 -- 倥偬飞人
我的理解：飞人认定$10是最低点，有很大上升空间，但是不知道什么时候才能大涨。Long stock是在大涨时获利；long call需要timing，所以不考虑；short put是在不涨的时候补贴一下。
Margin一般不是问题，一般人不会用100％margin，账户里Long的其它资产可以满足margin的要求，不需要压现金。
这种做法未尝不可，只是需要明确的指出风险何在，天下没有免费午餐。
Long Stock 和 short put (strike=10) 的 Payoff 在$10一下是一样的，分开考虑和放在一起没有区别。如果大前提“$10是最低点”不出事，单short put的相对回报最高。跌破$10，那么就要多赔一倍（减去Put Premium）。
投资只要搞清风险和回报，自己能接受就可以。很多文章谈回报多，风险往往说得少或者不清楚，可能会误导不理解两者关系的人。
在技术细节上打转是舍本逐末的做法，具体的风险要具体分析，基本面把握好了，赚钱是不难的只是多少的问题。然后再讨论什么方法获利最丰，风险最小。
跌破$10，short puts并不一定多赔，甚至还可以赚。如前贴所讲，只有当unitprice 跌到$10以下，这个put的买家才可能exercise，但是如果价格跌不到$9.30以下，买家的盈利还不够补偿put本身的成本！反过来就是在$9.30以上，short puts本身这个操作还是赚的，虽然整体回报不好。
是$10还是$9.30？
Long Put的人考虑是否exercise只会考虑strike，price和fee。Premium已经付了，不在考虑之中。
当然short Put的人只有在Price低于strike + fee - premium 时才赔钱。
当前价格$10.98
put @ strike $10/Aug07 costs $0.70 (cash gain of the seller)
Intrisic value of put: = negative
When expected unit price >= $10 at expiry date, out of the money:
Intrisic value of put = 0 or negative, so no exercising.
When expected unit price = $9.30 at expiry date, in the money:
Intrisic value of put = $0.70 (cash gain of the buyer but equal to the cost the buyer paid, so -
Return to the buyer = 0!
Cash loss to the seller by exercising: $0.70, net of cash gain $0.70 from selling the put:
Return to the seller = 0！
So $9.30 is the breaking point for both buyer and seller. If expected unit price is higher than that, the put buyer loses/seller gains; lower than that, the put buyer gains/seller loses on this option transaction.
Between $10 and $9.30, the buyer will exercise but the net return will be negative; on the contrary the seller gains.
1。分析中不要牵扯你的counterparty的回报。这个和你的策略与回报无关，只会增加混乱度。
2。说明downside。说了>10, >=9.30，应该说一下<9.30，也就是风险所在。
这里的意图是为了说明买卖双方盈亏点平衡在什么地方，仔细点看应该没有什么不明白的。
价格低于9.30当然可以算，太简单了，正好大家自己做做功课
感兴趣的自然会去算，不感兴趣的算不算也都没用。
不过学识高下还是能看出来。您要言不烦，切中肯綮，足见高明。
有空的时候还请推荐一下入门书籍网站，或干脆开一个普及贴子如何？option 操作，利润和风险都被放大，我一直深以为惧。在此先谢。
I do not dispute your analysis on the fundamentals of this trust. You did good home work and I agree with you this company has little downside risk and quite big potential.
But precisely because this, I think your strategy(long stock, sell put) is not a good one. As I explained before, for each put you sell, you need to put extra $200 cash or margin aside. Remember you can't turn thin air into money. This works best when the stock goes nowhere as you wait while collect some premium. However if this stock goes up sharply, you are far better off to use that $200 dollars to buy stocks directly. If the stock goes down sharply, you are in big trouble as the put will jump and you could be wiped out immediately. I agree it is unlikely it will dip below $10 for long. But this is not impossible. You never know. The unexpected always happens. As you are leveraged(1:5) when selling naked put, you don't have to luxuary to wait through the possible storm.
In summary, don't try to be smart. Just buy the stock in cash if you believe your analysis on the stock. great risk/reward.
In general. But for particular case like this one, general is not enough. People will have different opinion over the risk of the same stock, that's not a surprise.
The point here is to boost the cash income from the dividend-paying trust. If you buy the underlying only, simply no "boost". Therefore selling puts is a good option as the "time value" is on my side, in addition to the low probability of the underlying going under $10.
I don't even mind shorting the puts alone, completely "naked" as you pointed out, given my confidence that this trust will have more upside potential than the opposite. Investment is about taking calculated risk.
very confident this thing is not going down. Long stock and at the same time short put is risky if the stock tanks. The put is naked. If called you have to have money to buy more stocks at stricking price! Sure you can sell the long position to make up part of (most of, maybe) it. Still the short put is not entirely covered.
of risk you feel comfortable with - just the comfortable zone will vary from person to person, from stock to stock 
Often times people get scared when risk is not as big as they see, and forget about risk at all when they need to feel it the most. Here I see a lot of your guys worrying about the risk, which is a good thing!
Of course you can always buy calls with the maximum risk of losing 100% of them - just time value is not on your side.
As I see it, it is easier to predict the bottom than the top considering all the factors at hand, particularly for this one, and I feel comfortable doing this combination to boost my gains.
http://finance.yahoo.com/q/bc?s=AAV&t=6m&l=on&z=m&q=l&c=USO
石油类信托的价格波动其实和石油价格的关联度是很高的， 并没有提供特别高的安全保护系数。博石油信托价格的上升和博石油价格上升的概率类似。
高分红的信托的call option价格定价已经包含了分红的因素， 所以相对普通股票， 分红高的公司的option并没有特别多的premium。
http://www.888options.com/basics/options_pricing.jsp
There are six major factors that influence option premiums. The factors having the greatest effect are:
* A change in price of the underlying security
* Strike price
* Time until expiration
* Volatility of the underlying security
* Dividends/Risk-free interest rate
Tell: you feel it is going down or up?
刚刚出差回来，还是挺忙，偷闲顶一下旧帖。
三个月过去，这个对aav投资的策略表现如何呢？
在下不但卖空了put，还买入了call，等于是两个战线上采用同一个方向的策略：看好aav的表现。
到目前为止，aav已经升值超过10%，不要忘了每个月还派息，三个月派息也有差不多4.5%。
put方向的盈利，由于put（8月$10)的价格从$0.85下跌到$0.25-0.35之间，对方损失超过60%。我方卖空仅仅付出利息的代价而已，这个百分比就不好算了，但是对应每个基金单位的话，相当于增加了四个月的分红。
call方向的增值也超过了50% - 也许比卖空put更好，因为后一种做法实际上要占用available margin这一资源。如果用这笔margin来买calls，绝对盈利比卖空puts高一些。
如果是买入了1000个单位的aav，卖空了put 10个contract，买进了call 10个contract, （都按照strike $10, 8月份到期），这样操作的盈利比单纯买入aav 本股相当于要多赚差不多两倍。
还是很忙，如果没空答复各位的问题，先请谅解了。