http://allanlin998.blogspot.tw/2015/10/create-your-own-hedge-fund-increase.html
Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options 讀後感---BXY,BXM,PUT INDEX FROM CBOE (I)
最近我讀了 一本選擇權的書, 非常的有趣, 想跟大家分享
Create Your Own Hedge Fund: Increase Profits and Reduce Risks with ETFs and Options

Mark D. Wolfinger



http://www.amazon.com/Create-Your-Own-Hedge-Fund/dp/0471655074/ref=asap_bc?ie=UTF8


作者 是從1977年開始從事選擇權的職業交易員TRADER, 到現在有三十八年的經驗,
一個 資深選擇權TRADER, 教導我們選擇權的使用, 我覺得十分的珍貴
選擇權 給大家 非常兩極印象-- 喜歡他的人,鼓吹OPTION,可以短時間成為億萬富翁, BUT 討厭他的人,強調OPTION 短時間讓你破產, 但事實上,這不是選擇權的用意
回歸到選擇權,另外一個大家不被重視的功能--- 幫你的資產避險, 降低你資產的波動性
傳統的投資方法, 教導我們 買下ETF, THEN 長期的BUY AND HOLD , 但是在這個長期的買進持有當中, 我們面臨到很多心靈的挑戰, 因為你的資產波動很大, 常常讓你心神不寧, 當你面對恐懼的時候就會把它賣掉,讓你沒有辦法長期持有
作者提供了一個COVERED CALL 選擇權策略, 可以穩定你的資產, 讓你每個月收到權利金, 並且提供 下跌的保護, 讓你可以長期擁有一個 資產
書上提到了一個BXM INDEX FROM 芝加哥期貨交易所CBOE
https://www.cboe.com/micro/bxm/
艾倫也從芝加哥期貨交易所, DOWNLOAD 最新的歷史資料, WOOW.... 就像作者 提到的, 選擇權的策略, 有機會能夠 比傳統的買進持有, 增加你的 回報, 穩定你的資產  (DATA FROM 1988.6 TO 2015.7)

這個 歷史資料 EXCEL,引起艾倫極大的興趣,
艾倫思考 BXM, PUT, BXY 這三種選擇權策略..的背後意義 , 和他的 應用
( 待續)

附錄
Study on Index Options Writing by Asset Consulting GroupIn February 2012 the Asset Consulting Group published a six-page paper -- "An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns". Key findings of the paper include:

• Total Growth. Total growth for indexes since mid-1986 was 1153% for PUT Index, 830% for BXM Index, 807% for S&P 500® Index, and 368% for CLL Index (Exhibits 2 and 6).
  
• Lower Volatility. The PUT, BXM, and CLL indices all had volatility that was about 30 percent lower than the volatility of the S&P 500 Index (Exhibit 4).
  
• Left-tail Risk. Over the past 25 years, the worst monthly loss for the S&P 500 Index was a decline of 21.5 percent, compared to a relatively modest 8.6-percent monthly decline for the CLL Index (Exhibit 8e).
  
• Risk-adjusted Returns. One measure of risk-adjusted returns, the Sortino Ratio, was 0.90 for the PUT Index, 0.75 for BXY, 0.71 for BXM, 0.50 for S&P 500, and 0.31 for CLL Index (Exhibits 10 and 11). Please note that all the indexes had negative skewness.
  
• Monthly Premium Income. The average for the gross monthly premiums collected by the BXM Index was 1.8 percent. The index options usually were richly priced (Exhibits 12 and 13).