查看:9379|回复:1
  • 1
EvenOdd
头像
中校
  • 中校
  • 3666
  • 4
  • 5283
  • 0
  • @2020-01-24
发表于:2022-06-29 13:23|只看楼主
字体大小:T|T

"解释:摩根大通基金的大规模期权交易如何影响市场"

Q

WHAT IS THE JP MORGAN HEDGED EQUITY FUND?


The JPMorgan Hedged Equity Fund holds a basket of S&P 500 (.SPX) stocks along with options on the benchmark index and resets hedges once a quarter. The fund, which had about $16.71 billion in assets as of June 27, aims to let investors benefit from equity market gains while limiting their exposure to stock declines.


For the year, the fund was down 9.6% through June 27, compared with a 17.6% decline for the S&P 500 Total return Index (.SPXTR).


https://www.reuters.com/markets/us/how-massive-options-trade-by-jp-morgan-fund-can-move-markets-2022-06-28/

UQ

你知道论坛有打赏功能吗?!遇到喜欢的主题可以用你的论坛魅力给贴主“打赏加油”

功能说明点这里

0
Advertisement
EvenOdd
头像
中校
  • 中校
  • 3666
  • 4
  • 5283
  • 0
  • @2020-01-24
发表于:2022-06-29 13:38|只看楼主
字体大小:T|T

Q

WHAT IS THE JP MORGAN HEDGED EQUITY FUND?


The JPMorgan Hedged Equity Fund holds a basket of S&P 500 (.SPX) stocks along with options on the benchmark index and resets hedges once a quarter. The fund, which had about $16.71 billion in assets as of June 27, aims to let investors benefit from equity market gains while limiting their exposure to stock declines.


For the year, the fund was down 9.6% through June 27, compared with a 17.6% decline for the S&P 500 Total return Index (.SPXTR).


https://www.reuters.com/markets/us/how-massive-options-trade-by-jp-morgan-fund-can-move-markets-2022-06-28/

UQ


EvenOdd 发表于 2022-06-29 13:23

? < To limit the cost of these put purchases, the fund also sells puts that would make money if the S&P 500 drops more than 20%. >


Q

HOW DOES THE FUND USE OPTIONS?


The fund uses an options overlay strategy that involves buying put options that make money if the S&P 500 drops about 5% or more from its level at the start of each quarter. To limit the cost of these put purchases, the fund also sells puts that would make money if the S&P 500 drops more than 20%.


In addition, the fund sells call options struck about 3.5%-5.5% above the market level, to help fund the cost of the hedge.


In all, the trade is structured so that investors are protected if the market falls -5% to -20%, and they are able to take advantage of any market gains in the average range of 3.5-5.5%.


In March, the refresh of these positions involved about 130,000 S&P 500 contracts in all, worth some $20 billion in notional terms.

UQ

最后编辑EvenOdd 最后编辑于 2022/06/29 16:16:01
0
Advertisement
查看:9379|回复:1
  • 1
Advertisement

回复贴子