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Stock Index Enhancement strategy with options

Fang submitted 2021-12-02 18:36:51

Stock Index Enhancement strategy with options

The ways to do stock index enhancement strategy

1. overweight and underweight

2. strategies of buying newly listed stocks or T+0 trading

3. Trading options

Holding the underlying index ETF/ Futures (being positive on underlying index in mid-and-long term) + sell call options (enhance the profit return if there’s limited downside room) = covered call strategy

The scenario to use covered call strategy: market in range trade or rise with some volatilities

Tech details for covered call strategies:

1. Expect the underlying index will maintain stable or small consolidation trend

2. some calls have lower risk than underlying

3. to sell which otm call options can be decided by volatility of the underlying

Whether need to do roll trading in advance for covered call strategy?

The replacement solutions for underlying long positions

1. buy discounted index futures

2. buy itm call options

3. sell itm put options

4. buy atm call options + sell atm put options ----synthesize futures long position

The dynamic of domestic covered call strategies funds

Bosera Asset management Company and Guotai Asset management Company submit the application for covered call strategy ETF issuing on 15th Mar,2021



1. 超配与低配

2. 打新或T0

3. 利用期权

持有标的现货/期货(中长期看好标的未来走势) + 卖出认购期权 (有限下跌范围内增强持仓收益) = 备兑策略

备兑开仓的使用环境: 不温不火,震荡中偏上行


1. 预期标的走势小幅盘整或小幅上涨;

2. 毕竟它比直接拥有标的券风险更低;

3. 究竟是备兑卖出虚几档,取决于标的的波动率。



l 买入贴水状态的期指

l 买入深度实值认购期权

l 卖出深度实值认沽期权

l 买平值认购 + 卖平值认沽 ----合成期货多头



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