Stock-market-options trading strategy for melt-up or crash: BAML

{1} 根据美国银行美林银行的数据，投资者担心股市上涨的持久性已经从股票基金中攫取了数十亿美元。同时，该公司的股票衍生品策略师表示可能会出现融资。对于任何仍然存疑的人来说，BAML已经创造了一种期权交易策略，可以从任何剩余的上涨中获利，如果他们确实效仿，他们仍然可以防止损失。访问Business Insider的主页以获取更多故事。许多投资者感到被排除在股市的激烈反弹之外。根据美银美林（Bank of America Merrill Lynch）编制的数据，截至4月24日全年股票基金已从股票基金中掏出950亿美元 - 标准普尔500指数上涨17％并触及新的收盘高点。虽然部分现金可能已经发现它进入交易所交易基金的方式，在某些角落显然怀疑集会的可持续性。如果你陷入后一阵营，美国银行已经制定了一个廉价的期权交易策略，以帮助你抓住持续收益的上升空间，并在看跌预感正确时防范损失。在最近给客户的一份报告中，该公司的股票衍生品分析师概述了为什么他们预计股票将继续从这里反弹。一个原因是，那些坐在场边或获利的投资者可能会被说服重新进入市场。此外，美联储仍然不急于加息，英国退欧和贸易都失去了对市场的控制。现在，随着这些催化剂的到位，BAML的建议是购买短期标准普尔500期权看涨期权，从市场将继续反弹的赌注中获利。最近该战略将如何发展。从2017年底到2018年初，股票最后一次真正融化，短期看涨期权将会锁定利润。在二月份的崩溃期间，他们将损失有限的损失。 “具体而言，通过长期合成获得美国股票敞口从10月17日到1月18日的股票峰值（标准普尔500指数总投资回报率为12％左右），PX 1m 40-delta看涨期权将增加约7％，而2月18日VIXplosion期间则下跌不到2％ ”全球股票衍生品研究主管本杰明•鲍勒（Benjamin Bowler）表示。这一策略很大程度上归功于股票市场在这个历史悠久的牛市中持续表现优异，Bowler表示。但不仅如此：标准普尔指数鲍尔表示，自从2012年以来所谓的V形复苏提升了自2012年以来的看涨期权回报，鲍勒表示。他相信，类似的期权策略将在以下情况下再次获胜。最后一个原因是，当低波动性基础上发生强烈反弹时，该策略特别有效 - 类似于2017年发生的情况以及可能很快再次发生的情况。 {1}{0}{1}

Investors worried about the durability of the stock market's rally have pulled billions of dollars from equity funds this year, according to Bank of America Merrill Lynch.Meanwhile, the firm's equity-derivatives strategists say a melt-up is likely.For anyone who is still doubtful, BAML has created an options-trading strategy that would profit from any remaining upside and still protect against losses if they indeed follow. Visit Business Insider's homepage for more stories.A good number of investors are feeling left out of the stock market's blistering rally. According to data compiled by Bank of America Merrill Lynch, $95 billion was pulled from equity funds over the year through April 24 — a period in which the S&P 500 jumped 17% and hit a new closing high.While some of the cash may have found its way into exchange-traded funds, there was evidently doubt in some corners about the sustainability of the rally. If you fall in the latter camp, Bank of America has formulated a cheap options-trading strategy to help you capture the upside of continued gains and protect against losses if your bearish hunch is right. In a recent note to clients, the firm's equity-derivatives analysts outlined why they expect stocks to continue rallying from here. One reason is that investors who've sat on the sidelines or taken profits may become convinced to reenter the market.Also, the Federal Reserve is still in no hurry to raise interest rates, and both Brexit and trade have lost their grips on the market for now.With these catalysts in place, BAML's recommendation is to buy short-dated S&P 500 call options to profit from bets that the market will continue rallying.There's recent precedent for how the strategy would fare. The last time there was a true melt-up in stocks, from late 2017 into early 2018, short-dated calls would have locked in profits on the way up. And they would have limited losses during the meltdown that followed in February. “Specifically, acquiring US equity exposure synthetically via long SPX 1m 40-delta calls would have gained ~7% from Oct. 17 through the Jan. 18 peak in equities (vs. ~12% for an S&P 500 total return investment) while losing less than 2% during the Feb. 18 VIXplosion,” Benjamin Bowler, the head of global equity-derivatives research, said.This strategy owes much of its success to the stock market's persistent outperformance during this record-long bull market, Bowler said.But there's more to it than that: The S&P 500 is making stronger comebacks after bear markets. So-called V-shaped recoveries have boosted the returns of call options since 2012 relative to the decade prior, Bowler said. He is confident that a similar options strategy would win again in the event of a melt-up. One final reason why is that the strategy has been particularly effective when strong rallies occur from a base of low volatility — similar to what happened in 2017 and what could take place again very soon.

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