面对高位美股：一个低成本的看空期权策略——Short Bear Ratio Spread (第二十期)

Core Viewpoint - The article introduces the Short Bear Ratio Spread strategy, which allows investors to bet on a significant decline in stock prices with very low or even zero initial costs while effectively hedging against unlimited losses from potential price increases [1]. Strategy Composition - The strategy involves buying a larger number of at-the-money (ATM) or slightly out-of-the-money (OTM) put options while selling a smaller number of in-the-money (ITM) put options, all with the same expiration date [1]. - The main investment rationale is to maintain a bearish outlook on the stock while controlling entry costs and hedging against unlimited losses from price increases [1]. Comparison with Other Strategies - Compared to simply buying put options, this strategy avoids high premium costs and can potentially allow for "free entry" into bearish positions [4]. - In contrast to merely selling put options, the purchased puts provide profit during stock declines, mitigating losses during significant downturns [4]. Profit and Loss Characteristics - The strategy aims to minimize initial premium costs by offsetting the cost of buying puts with the income from selling higher strike ITM puts, potentially achieving zero or negative initial costs [5]. - The maximum loss occurs when the stock price equals the strike price of the bought puts, while the maximum profit is limited to the stock price dropping to zero [6][7]. Strategy Features 1. Low entry cost: The strategy can achieve near-zero or negative costs, providing an opportunity to participate in downward trends almost for free [7]. 2. Ability to capture profits during significant declines while limiting losses during price increases [7]. 3. Complexity in determining the appropriate strike prices and ratios, making it suitable for experienced options investors [7]. Practical Application Scenarios - Example 1: A 2:1 ratio involves buying 2 puts with a strike price of 390 and selling 1 put with a strike price of 470, resulting in an initial premium expenditure of $760, which is approximately 86% less than simply buying puts [9]. - Example 2: A 3:2 ratio involves buying 3 puts with a strike price of 390 and selling 2 puts with a strike price of 430, leading to an initial premium expenditure of $555 [14]. - Example 3: A 3:1 ratio involves buying 3 puts with a strike price of 380 and selling 1 put with a strike price of 520, with an initial premium expenditure of $1,080 [18]. Recommendations - Prioritize long-term contracts (6-12 months) for stocks expected to reverse trends, as they provide more time for the trend to materialize and have slower time decay [24]. - Suitable for stocks with high volatility expectations, where significant price movements are anticipated [24]. - If the stock price remains stagnant, consider closing the position early to avoid being assigned on sold options [24].