期刊名称：International Journal of Software Engineering and Its Applications
印刷版ISSN：1738-9984
出版年度：2012
卷号：6
期号：4
出版社：SERSC
摘要：This paper proposes a method for effectively implementing the pyramid strategy. The pyramid strategy is based on the short strangle strategy and adopts the multiple-entry approach. Risk management is an essential element of derivatives trading, and the pyramid strategy is very efficient because it combines mutual and dynamic hedging. However, in operating the pyramid strategy, choosing a specific exercise price results in significant differences in terms of profitability and stability. This paper analyzes theta—measurement of decreasing time-value of an option—to propose a method for achieving profitability and stability simultaneously. The proposed approach involves adding stability by selecting deep out-of-the-money (OTM) options in early monthly contracts, and moving to near OTM options with high theta values in late monthly contracts to pursue profitability. To verify the validity of the proposed method, automatic strangle trades was simulated based on real data of Korean option information system. The simulation was performed using the multi-chart automatic trading analysis tool. The results of simulation using April 2012 contracts confirmed that the proposed method produces higher returns and offers greater stability than conventional methods.
