美股圣诞行情是陷阱？10年数据揭秘期权卖方策略的可行性

Group 1 - The article discusses the concept of "Santa Claus Rally," which refers to the seasonal phenomenon where U.S. stocks tend to rise during the last five trading days of December and the first two trading days of January [3][5] - Historical data from 2015 to 2024 shows that the actual performance of SPY (S&P 500) and QQQ (Nasdaq 100) during this period does not support the traditional belief in a strong Santa Claus Rally [5][10] - SPY had a 70% probability of rising during this period, with an average return of +0.23%, while QQQ had only a 40% probability and an average return of -0.19% [5][7] Group 2 - The article highlights that the Santa Claus Rally theory has significantly failed in the last three years, with SPY and QQQ showing weak performance in 2022, 2023, and 2024 [10][11] - The maximum drawdown for SPY during this period was only -2.10% in 2015, indicating a low volatility environment despite the weak returns [11] - The article suggests a trading strategy called "Sell Put," which involves selling out-of-the-money put options, as historical data shows that significant declines are rare during this time [10][14] Group 3 - The recommended strategy involves selling put options with a strike price set at 96%-97% of the current index price, which corresponds to a potential drawdown of 3-4% [14][15] - The strategy aims to generate income from the premiums received, provided the index does not fall below the strike price at expiration [15][19] - The article emphasizes the importance of risk management, particularly the need for sufficient capital to cover potential obligations if the options are exercised [16][22]