震荡末期如何布局？能负成本建仓，双向获利的波动率策略——Short Butterfly Spread卖出蝶式价差 (第二十二期)

Core Viewpoint - The article introduces the Short Butterfly Spread strategy as a solution for traders facing challenges in predicting stock price movements, allowing for a low-cost entry with potential profits in both directions and high flexibility for adjustments before expiration [1][2]. Strategy Composition - The Short Butterfly Spread involves trading three options: selling one lower strike Call (X1) for premium (C1), selling one higher strike Call (X3) for premium (C3), and buying two middle strike Calls (X2) at a cost of 2C2. The relationship between strike prices is defined as X2 = (X1 + X3)/2, ensuring that the middle strike is the average of the other two [1][4]. - The initial net premium income from this strategy is calculated as: Net Income = C1 + C3 - 2C2, with a specific trading ratio of Call1 (sell) : Call3 (sell) : Call2 (buy) = 1:1:2 [1][4]. Investment Significance - The core of the strategy is to profit from small price fluctuations of the underlying asset before the options expire. It combines elements of both Bull Call Spread and Bear Call Spread, making it a neutral strategy that can yield profits regardless of the stock's direction as long as there is sufficient volatility [2][5]. Profit and Loss Characteristics - The maximum loss is calculated as: Max Loss = (X2 - X1)*100 - Net Income, while maximum profit occurs when the stock price is below X1 or above X3, equating to the net income received at the outset [5][4]. - The strategy is characterized by low risk and high win rates, making it suitable for markets that are at the end of a consolidation phase, where volatility is expected to increase [5][6]. Practical Application - An example scenario is provided where a stock priced at $315 is analyzed. The strategy involves selling a Call at $315, selling another Call at $325, and buying two Calls at $320, resulting in a net income of $65. The break-even points are calculated as $315.65 and $324.35 [6][8]. - Various scenarios illustrate potential outcomes based on stock price movements, demonstrating how the strategy can yield maximum profit or incur losses depending on the price at expiration [8][9]. Usage Recommendations - It is suggested to select options with expiration dates of 30-45 days to allow sufficient time for price movements while minimizing excessive theta decay [12][14]. - The article advises entering the strategy when implied volatility is low and to avoid opening positions too close to significant events to maximize potential gains from volatility increases [13][14].