周五早上SPDR S&P 房地产商ETF(代码: XHB)股价下跌了几乎2.0%至$35.24，表现不抵标普500指数，书写此文章时标普500交易走低不足1%。房地产商ETF是由包括房屋建筑商，如TollBrothers Inc.(代码:TOL)和PulteGroup Inc.(代码:PHM)以及房屋零售商，包括BedBath & Beyond Inc.(代码:BBBY)和HomeDepot Inc.(代码:HD)等组成的。在正常的9月过期看跌期权的差价扩大后，该ETF今天期权成交量急剧攀升。其中一个期权交易人似乎启动了一个认沽蝶式套利，以9月33.5和35.5的行使价（蓝线）分别买进了20,000份看跌期权和9月34.5的行使价（红线）卖出了40,000份合约，全部为每份合约支付净权益金$0.275。认沽蝶式套利将在本月过期之前底层股票有限的价格下跌中获利。具体的说，当XHB的价格跌到盈亏平衡价格$35.225之下（上方绿色点线）或在低端盈亏平衡点$33.775（下方绿色点线）时交易开始获利，如果在过期日时该ETF下滑至$34.50，则最大潜在获利为每份合约$0.725。如果该房地产商ETF在期权过期前的交易价格高于$35.50或低于$33.50的话，这个交易人的风险是每份合约损失$0.275，或大约$550,000。近期XHB的平均日期权交易量为大约2,350份合约。
XHB三个月图表
Putvolume pops on Homebuilders ETF
Shares in the SPDR S&PHomebuilders ETF (Ticker: XHB) are down almost 2.0% at $35.24 Friday morning,underperforming the broader S&P 500 Index which is trading lower by lessthan 1% as of the time of this writing. The Homebuilders ETF, which is made upof both homebuilders such as Toll Brothers Inc. (Ticker: TOL) and Pulte GroupInc. (Ticker: PHM) as well as home retailers including Bed Bath & BeyondInc. (Ticker: BBBY) and Home Depot Inc. (Ticker: HD), is seeing a sharp spikein options volume today after a large spread was initiated in the regularSeptember expiry puts. One options player appears to have initiated a putbutterfly spread, purchasing 20,000 put options at each of the Sep 33.5 and35.5 strikes (blue lines) and selling 40,000 of the Sept 34.5 strike puts (redline), all for a net premium outlay of $0.275 per contract. The put butterflyspread benefits from limited downside in the price of the underlying sharesthrough expiration this month. Specifically, the trade starts making money withshares in the XHB below a breakeven price of $35.225 (upper green dashed line)or above the lower breakeven point at $33.775 (lower green dashed line), withmaximum potential gains of $0.725 per contract should the ETF slip to $34.50 byexpiration. The trader risks losing up to $0.275 per contract, or approximately$550,000, if shares in the Homebuilders ETF trade above $35.50 or below $33.50at expiration. Average daily options volume on the XHB as of late is around2,350 contracts.
这篇文章已被翻译成中文。原英文作者为Caitlin Duffy, 注册金融分析师，盈透证券。如英文版本和中文版本之间有任何不一致，以英文版本为准。
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The analysis in thisarticle is provided for information only and is not and should not be construedas an offer to sell or the solicitation of an offer to buy any security. To theextent that this material discusses general market activity, industry or sectortrends or other broad-based economic or political conditions, it should not beconstrued as research or investment advice. To the extent that it includesreferences to specific securities, commodities, currencies, or otherinstruments, those references do not constitute a recommendation by IB to buy,sell or hold such investments. This material does not and is not intended totake into account the particular financial conditions, investment objectives orrequirements of individual customers. Before acting on this material, youshould consider whether it is suitable for your particular circumstances and,as necessary, seek professional advice.
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