Overview of this weekend's course PPT
This lesson has 40 pages of content, very hardcore! Have you all prepared for it?




第32课:《希腊字母风控实战》(套利课第2节)
适合想要利用期权打主力策略的玩家,学好期权套利,捕捉错误定价,稳健复利!
① 课程亮点:
利用泰勒展开式开头和结尾,定量和 curve 层面对 delta、gamma、vega、theta 深度解读,尤其是 Gamma-theta efficiency,利用这个定律更深刻理解曲面套利。
② 预习准备:
俱乐部玩家建议回顾 2 节希腊字母基础课程:第 2 课和第 19 课。一定要反复看第19课,因为这次全部是定量和各种曲线,没有形象化案例;形象化案例是理解的基础!
③ 仓位建议:
出现0 delta敞口或者对我们有利的delta敞口静态机会,U本位账户可全仓参与;若有不利的theta和vega敞口机会,则可以按照能接受的max drop down参与。
④ 课程时间:
8月9日(周六)晚8:00
⑤ 互动补充:
本课为8堂核心课程的第2课,建议小伙伴们尽量参与直播!
俱乐部群和套利课群内复杂问题可以群内留言,直播实盘解答;本人不懂的问题,会后续梳理清楚私信或者群内回复!

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