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目前生猪期权的波动率在高位,而2605合约还有19天到期,大家都知道最后14天期权的时间价值衰减最快,现在卖出05合约认沽期权可以吃降波和时间价值的钱。
Currently, the volatility of live pig options is at a high level, and the 2605 contract has 19 days until expiration. Everyone knows that in the last 14 days, the time value of options decays the fastest. Selling the 05 contract put option can take advantage of the declining volatility and time value.

下图是生猪波动率的图
The chart below shows the volatility of live pigs.

![](https://img-cdn.gateio.im/social/moments-12f80ee75d-ca04f7e717-8b7abd-ceda62)  
![](https://img-cdn.gateio.im/social/moments-12f80ee75d-ca04f7e717-8b7abd-ceda62)  

lh2605-p-9600 目前价格是117.5,一手保证金是12363.2,收益率大概是117.516/12363.2=15.2%
lh2605-p-9600 current price is 117.5, one-hand margin is 12363.2, and the yield is approximately 117.5
16/12363.2=15.2%.

![](https://img-cdn.gateio.im/social/moments-bd88fceba7-b19aa99f0e-8b7abd-ceda62)  
![](https://img-cdn.gateio.im/social/moments-bd88fceba7-b19aa99f0e-8b7abd-ceda62)  

lh2605-p-9400 目前价格是77.5,一手保证金是9763.2,收益率大概是77.516/9763.2=12.7%
lh2605-p-9400 current price is 77.5, one-hand margin is 9763.2, and the yield is approximately 77.5
16/9763.2=12.7%.

![](https://img-cdn.gateio.im/social/moments-f3dca202a1-bb59dff597-8b7abd-ceda62)  
![](https://img-cdn.gateio.im/social/moments-f3dca202a1-bb59dff597-8b7abd-ceda62)  

lh2605-p-9100 目前价格是35,一手保证金是6841.6,收益率大概是3516/6841.6=8.1%
lh2605-p-9100 current price is 35, one-hand margin is 6841.6, and the yield is approximately 35
16/6841.6=8.1%.

![](https://img-cdn.gateio.im/social/moments-966dfd3b80-691adfc05d-8b7abd-ceda62)  
![](https://img-cdn.gateio.im/social/moments-966dfd3b80-691adfc05d-8b7abd-ceda62)  

我个人是用牛沽来做多生猪
I personally use a bull put to go long on live pigs.

买入lh2605-p-9100和卖出ih2605-p-9600
Buy lh2605-p-9100 and sell ih2605-p-9600.

假设合约到期时lh2605价格在9600之上,两个合约都要归零,我的收益率大概是16.5%
Assuming that at expiration the price of lh2605 is above 9600, both contracts will go to zero, and my yield will be approximately 16.5%.

大商所是有组合保证金的,一对保证金=(9600-9100)*16=8000
The Dalian Commodity Exchange has a combined margin, where one pair of margin = (9600-9100)*16=8000.

收益率=(117.5-35)*16/8000=16.5%
Yield = (117.5-35)*16/8000=16.5%.

对比期货和裸卖认沽期权,组合保证金的好处是可以锁定保证金,就是如遇大跌不用补充保证金
Compared to futures and naked selling put options, the advantage of combined margin is that it can lock in the margin, meaning that in the event of a significant drop, there is no need to supplement the margin.

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