Option選擇權避險，在股災時保護

Option選擇權避險，在股災時保護

op選擇權，買方如同買保險一樣，在花保險費投保，出事(股災)時賠償其損失！

例如：

A股現值100元，我買入A股100元和A股履約價100元賣權(put)，花了5元，共花105元，當A股大跌到80元履約，我原來的A股一樣可以履約價100元賣出，所以我損失是5元(100-5-100=-5)；如果單純持有現股損失是20元(80-100=-20)。

同上但A股漲至120元，持有A股及A股履約價100元賣權(put)，將獲利15元(120-5-100=15)；如果單純持有現股獲利是20元(120-100=20)

所以用Op選擇權避險可以有下檔保護，但要付出保險費。

我們來看看各指數10年在有無Op選擇權避險，效果如何！

在加選擇權保護(約支出5%=保費)後，可看出在2008遇股災時有很好的保護，增加了之後的反彈時獲利，10年各指數都因選擇權保護，有比單純指數好的報酬。

但在一般股災而非大股災，長期每年5%會吃掉不少獲利！

用這樣的特性來看，在股市連漲多年，「感覺」快到大股災的修正期，就可以用選擇權來保護(買保險)，又不用怕退出市場沒有賺到(最後一波，好像是最會漲！！)，也不用怕股災時的巨大損失！！

不過「感覺」是一種猜測，可能會像散戶追高殺低一樣，運氣佔了大部份。

選擇權來保護可以有效降低波動性，而選擇權權利金(如保費)是否過高，也是要考量重點，現在來看一年的價平選擇權避險都超過5%。

(這是我以前建的資料，為2005年至2014年共10年，其中2008年股災，之後的年份有興趣者，自己算吧！偷偷懶~哈)

MSCI AC(所有國家)世界指數(含息再投入)
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	11.37%	21.53%	12.18%	-41.85%	35.41%	13.21%	-6.86%	16.80%	23.44%	4.71%	-33.08%
1	1.1137	1.35348	1.518333	0.882911	1.19555	1.353482	1.260633	1.472419	1.817554	1.903161	年化%
累積%	11.37%	35.35%	51.83%	-11.71%	19.55%	35.35%	26.06%	47.24%	81.76%	90.32%	-1.72%
年化%	11.37%	16.34%	14.94%	-3.07%	3.64%	5.17%	3.36%	4.96%	6.86%	6.65%
加op保護5%後
各年%	6.37%	16.53%	7.18%	-5.00%	30.41%	8.21%	-5.00%	11.80%	18.44%	-0.29%
1	1.0637	1.23953	1.328528	1.262101	1.645906	1.781035	1.691984	1.891638	2.240456	2.233958
累積%	6.37%	23.95%	32.85%	26.21%	64.59%	78.10%	69.20%	89.16%	124.05%	123.40%
年化%	6.37%	11.33%	9.93%	5.99%	10.48%	10.10%	7.80%	8.29%	9.38%	8.37%
MSCI (只有已開發國家)世界指數(含息再投入)
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	10.02%	20.65%	9.57%	-40.33%	30.79%	12.34%	-5.02%	16.54%	27.37%	5.50%	-22.64%
1	1.1002	1.327391	1.454423	0.867854	1.135066	1.275133	1.211122	1.411441	1.797753	1.896629	年化%
累積%	10.02%	32.74%	45.44%	-13.21%	13.51%	27.51%	21.11%	41.14%	79.78%	89.66%	-1.21%
年化%	10.02%	15.21%	13.30%	-3.48%	2.57%	4.13%	2.77%	4.40%	6.73%	6.61%
加op保護5%後
各年%	5.02%	15.65%	4.57%	-5.00%	25.79%	7.34%	-5.00%	11.54%	22.37%	0.50%
1	1.0502	1.214556	1.270062	1.206558	1.51773	1.629131	1.547675	1.726276	2.112444	2.123007
累積%	5.02%	21.46%	27.01%	20.66%	51.77%	62.91%	54.77%	72.63%	111.24%	112.30%
年化%	5.02%	10.21%	8.29%	4.81%	8.70%	8.47%	6.44%	7.06%	8.66%	7.82%
MSCI美國指數
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	3.80%	13.18%	4.09%	-38.58%	24.20%	13.18%	-0.11%	13.52%	29.85%	11.10%	-4.47%
1	1.038	1.174808	1.222858	0.751079	0.932841	1.055789	1.054628	1.197213	1.554582	1.72714	年化%
累積%	3.80%	17.48%	22.29%	-24.89%	-6.72%	5.58%	5.46%	19.72%	55.46%	72.71%	-0.27%
年化%	3.80%	8.39%	6.94%	-6.91%	-1.38%	0.91%	0.76%	2.28%	5.02%	5.62%
加op保護5%後
各年%	-1.20%	8.18%	-0.91%	-5.00%	19.20%	8.18%	-5.00%	8.52%	24.85%	6.10%
1	0.988	1.068818	1.059092	1.006138	1.199316	1.29742	1.232549	1.337562	1.669946	1.771813
累積%	-1.20%	6.88%	5.91%	0.61%	19.93%	29.74%	23.25%	33.76%	66.99%	77.18%
年化%	-1.20%	3.38%	1.93%	0.15%	3.70%	4.44%	3.03%	3.70%	5.86%	5.89%
MSCI EAFE 外國(美外)指數(含息再投入)
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	14.02%	26.86%	11.63%	-43.06%	32.46%	8.21%	-11.73%	17.90%	23.29%	-4.48%	-51.87%
1	1.1402	1.446458	1.614681	0.919399	1.217836	1.317821	1.16324	1.37146	1.690873	1.615122	年化%
累積%	14.02%	44.65%	61.47%	-8.06%	21.78%	31.78%	16.32%	37.15%	69.09%	61.51%	-2.96%
年化%	14.02%	20.27%	17.32%	-2.08%	4.02%	4.71%	2.18%	4.03%	6.01%	4.91%
加op保護5%後
各年%	9.02%	21.86%	6.63%	-5.00%	27.46%	3.21%	-5.00%	12.90%	18.29%	-5.00%
1	1.0902	1.328518	1.416598	1.345769	1.715317	1.770378	1.681859	1.898819	2.246113	2.133808
累積%	9.02%	32.85%	41.66%	34.58%	71.53%	77.04%	68.19%	89.88%	124.61%	113.38%
年化%	9.02%	15.26%	12.31%	7.71%	11.40%	9.99%	7.71%	8.35%	9.41%	7.87%
MSCI 太平洋指數(含息再投入)
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	23.01%	12.51%	5.61%	-36.17%	24.34%	16.08%	-13.61%	14.60%	18.43%	-2.47%	-26.38%
1	1.2301	1.383986	1.461627	0.932957	1.160038	1.346572	1.163304	1.333146	1.578845	1.539848	年化%
累積%	23.01%	38.40%	46.16%	-6.70%	16.00%	34.66%	16.33%	33.31%	57.88%	53.98%	-1.66%
年化%	23.01%	17.64%	13.49%	-1.72%	3.01%	5.08%	2.18%	3.66%	5.21%	4.41%
加op保護5%後
各年%	18.01%	7.51%	0.61%	-5.00%	19.34%	11.08%	-5.00%	9.60%	13.43%	-5.00%
1	1.1801	1.268726	1.276465	1.212641	1.447166	1.607512	1.527137	1.673742	1.898525	1.803599
累積%	18.01%	26.87%	27.65%	21.26%	44.72%	60.75%	52.71%	67.37%	89.85%	80.36%
年化%	18.01%	12.64%	8.48%	4.94%	7.67%	8.23%	6.24%	6.65%	7.38%	6.08%
新興市場指數(含息再投入)
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	34.54%	32.55%	39.82%	-53.18%	79.02%	19.20%	-18.17%	18.63%	-2.27%	-1.82%	-177.68%
1	1.3454	1.783328	2.493449	1.167433	2.089938	2.491206	2.038554	2.418337	2.36344	2.320426	年化%
累積%	34.54%	78.33%	149.34%	16.74%	108.99%	149.12%	103.86%	141.83%	136.34%	132.04%	-6.36%
年化%	34.54%	33.54%	35.60%	3.95%	15.88%	16.43%	10.71%	11.67%	10.03%	8.78%
加op保護5%後
各年%	29.54%	27.55%	34.82%	-5.00%	74.02%	14.20%	-5.00%	13.63%	-5.00%	-5.00%
1	1.2954	1.652283	2.227608	2.116227	3.682659	4.205596	3.995316	4.539878	4.312884	4.09724
累積%	29.54%	65.23%	122.76%	111.62%	268.27%	320.56%	299.53%	353.99%	331.29%	309.72%
年化%	29.54%	28.54%	30.60%	20.61%	29.79%	27.05%	21.88%	20.82%	17.63%	15.15%
美國S&P500指數
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	3.00%	13.62%	3.53%	-38.49%	23.45%	12.78%	0.00%	13.41%	29.60%	11.39%	-3.79%
1	1.03	1.170286	1.211597	0.745253	0.920015	1.037593	1.037593	1.176734	1.525048	1.698751	年化%
累積%	3.00%	17.03%	21.16%	-25.47%	-8.00%	3.76%	3.76%	17.67%	52.50%	69.88%	-0.23%
年化%	3.00%	8.18%	6.61%	-7.09%	-1.65%	0.62%	0.53%	2.06%	4.80%	5.44%
加op保護5%後
各年%	-2.00%	8.62%	-1.47%	-5.00%	18.45%	7.78%	-5.00%	8.41%	24.60%	6.39%
1	0.98	1.064476	1.048828	0.996387	1.18022	1.272041	1.208439	1.310069	1.632346	1.736653
累積%	-2.00%	6.45%	4.88%	-0.36%	18.02%	27.20%	20.84%	31.01%	63.23%	73.67%
年化%	-2.00%	3.17%	1.60%	-0.09%	3.37%	4.09%	2.74%	3.43%	5.60%	5.67%
上海綜合指數
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	-8.33%	130.43%	96.66%	-65.39%	79.98%	-14.31%	-21.68%	3.17%	-6.75%	52.87%	-593.79%
1	0.9167	2.112352	4.154151	1.437752	2.587665	2.217371	1.736645	1.791696	1.670757	2.554086	年化%
累積%	-8.33%	111.24%	315.42%	43.78%	158.77%	121.74%	73.66%	79.17%	67.08%	155.41%	-14.02%
年化%	-8.33%	45.34%	60.75%	9.50%	20.94%	14.19%	8.20%	7.56%	5.87%	9.83%
加op保護5%後
各年%	-5.00%	125.43%	91.66%	-5.00%	74.98%	-5.00%	-5.00%	-1.83%	-5.00%	47.87%
1	0.95	2.141585	4.104562	3.899334	6.823054	6.481901	6.157806	6.045119	5.742863	8.491971
累積%	-5.00%	114.16%	310.46%	289.93%	582.31%	548.19%	515.78%	504.51%	474.29%	749.20%
年化%	-5.00%	46.34%	60.11%	40.52%	46.82%	36.55%	29.65%	25.22%	21.44%	23.85%
MSCI中國指數(含息再投入)；主要是港股中的中國H股
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	19.77%	82.87%	66.23%	-50.83%	62.63%	4.83%	-18.24%	23.10%	3.96%	8.26%	-218.40%
1	1.1977	2.190234	3.640826	1.790194	2.911393	3.052013	2.495326	3.071746	3.193387	3.457161	年化%
累積%	19.77%	119.02%	264.08%	79.02%	191.14%	205.20%	149.53%	207.17%	219.34%	245.72%	-5.68%
年化%	19.77%	47.99%	53.84%	15.67%	23.83%	20.44%	13.95%	15.06%	13.77%	13.21%
加op保護5%後
各年%	14.77%	77.87%	61.23%	-5.00%	57.63%	-0.17%	-5.00%	18.10%	-1.04%	3.26%
1	1.1477	2.041414	3.291372	3.126803	4.92878	4.920401	4.674381	5.520444	5.463031	5.641126
累積%	14.77%	104.14%	229.14%	212.68%	392.88%	392.04%	367.44%	452.04%	446.30%	464.11%
年化%	14.77%	42.88%	48.75%	32.98%	37.58%	30.42%	24.65%	23.81%	20.76%	18.89%
MSCI 台灣指數(含息再投入)
	1	2	3	4	5	6	7	8	9	10	兩者差距
年度	2005	2006	2007	2008	2009	2010	2011	2012	2013	2014	累積%
各年%	7.25%	20.90%	9.13%	-45.88%	80.25%	22.73%	-20.15%	17.66%	9.77%	10.05%	-92.64%
1	1.0725	1.296653	1.415037	0.765818	1.380387	1.694149	1.352778	1.591678	1.747185	1.922777	年化%
累積%	7.25%	29.67%	41.50%	-23.42%	38.04%	69.41%	35.28%	59.17%	74.72%	92.28%	-4.28%
年化%	7.25%	13.87%	12.27%	-6.45%	6.66%	9.18%	4.41%	5.98%	6.40%	6.76%
加op保護5%後
各年%	2.25%	15.90%	4.13%	-5.00%	75.25%	17.73%	-5.00%	12.66%	4.77%	5.05%
1	1.0225	1.185078	1.234021	1.17232	2.054491	2.418752	2.297815	2.588718	2.7122	2.849166
累積%	2.25%	18.51%	23.40%	17.23%	105.45%	141.88%	129.78%	158.87%	171.22%	184.92%
年化%	2.25%	8.86%	7.26%	4.05%	15.49%	15.86%	12.62%	12.63%	11.72%	11.04%

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