Читать книгу The Guts and Glory of Day Trading - Mark Ingebretsen - Страница 22

This time the market Lo chose was options on the S&P 100 (OEX), which is the index of the 100 largest corporations that trade on North American exchanges. The options themselves trade on the Chicago Board Options Exchange (CBOE). Lo had definite reasons why she liked the market: This was a time on Wall Street when bigger was definitely better. Both U.S. and foreign investors all wanted a portfolio heavy on blue chips. “I think they were convinced that ‘coke was it,’ that it was going to be all magic.”

Studying the charts, all the evidence suggested that this was a parabolic bubble in the making. “At the beginning of ’96, during the second week of January, the low was 285 on the OEX,” she says. “And it basically was up every week until February, when the high was 318. Then it chopped and chopped and chopped. And I remember telling everyone, ‘This is one hell of a consolidation.’ But what it looked like to me was a huge consolidation within a range. And it had held at the support levels that we had looked at before. There had been dips in March, which were scary. I think that was the first time the trading community started paying attention to unemployment numbers in a meaningful way. In April there was another dip. And another in May. But this time it made a higher low and it reversed on that day, and so I thought, ‘Well, if that’s the case, then it’s going to go up sharply after consolidating for months.’ I thought, ‘This is it.’” In other words, after it had bounced around aimlessly, Lo believed the index had finally acquired some direction. “And it took off and I did it,” she says.

Lo surmised that buying call options on the OEX would be the best way to ride any uptrend in the index. She and her colleagues at Canaccord had often traded OEX options in the past. Many experienced traders prefer options because of the high degree of leverage they afford. You may pay only $20 ($2,000) for a call option. That money theoretically controls a basket of stocks worth thousands more. And once the index is in the money, that is, once the underlying index reaches the strike price of the option, then any further increase in the price of the index will be matched roughly dollar for dollar by an increase in the option’s price. Therein lies the opportunity for mind-boggling profits.

But losses can be crushing, too. Options are often referred to as “wasting assets.” As noted earlier, their value declines as they approach their expiration date. Unlike stocks, which likely will decline only to the breakup value of a company, an option becomes utterly worthless once it expires. In theory, most options traders exit their long positions well before this happens. This is done simply by selling the call options they’ve purchased. But sudden market shifts can still wreak swift and terrible damage to an options portfolio. Lo was about to spend $100,000 on a wasting asset, the equivalent of a high-stakes bet at a baccarat table.

Her strategy remained fairly fluid. She bought the call options with strike prices more or less level with the OEX’s current price, or “at the money,” as this is called. The expiration normally would be 4-6 weeks from the date she purchased the option. The near-term expiration in particular minimized any time premium she’d have to pay. Alternately, by purchasing options at the money, she could exit a position without losing too great a percentage of the option’s value.

Lo usually held on to her positions for a couple of weeks before selling. And she used daily charts to gauge where she thought the index was heading near-term in order to time her buys and sells effectively. “I used a 30-day moving average,” she says. “Although I didn’t really pay much attention to that either. I would watch TV and talk to the other traders at the firm.”

Even so, she says, “You never really knew what was going to happen. So long as the market was heading in the direction that I wanted, I would hold on to the option. If it had a couple of bad days, I would just get out.” Her positions were highly concentrated, which meant that any move up or down would radically change her net worth. More cautious traders might have taken a portion of their gains and set them aside. But Lo saw this as her chance at a big-league score. And as the market rose, so did the amount she wagered. “I was trading ever-larger amounts,” she says. “Because you had to hold these positions for days on end, every piece of economic news and data set me on edge. It was just horrible. I’d never endured anything like this in my life.”

When the market corrected in July, Lo somehow managed to escape. She bought more options later on in July. Sold these soon after at a profit. And leaped back into the market in the fall, still betting ever-larger amounts. All the while she was aware that the July correction had planted seeds of doubt.

“This is what finally did me in, and why I don’t trade very aggressively any more,” she says. “July was the craziest month – the huge crash. And every month after that, it was going straight up. But it looked so tenuous. So it was terribly stressful. Between the July lows and the December highs, it would go up for a few days and then chop for a week.”

Throughout the fall it was rare for Lo to get a good night’s sleep. Everything she had learned as a trader told her that parabolic bubbles climb via a series of steep steps before reaching a top. Thus her trading account fluctuated by thousands each day as the market chopped. But as the market shot up, so did her net worth. And now it hovered precariously close to the seven-figure mark. Regardless, knowing when the final top arrives during a parabolic event is especially critical, since the fall-off that follows is far steeper than the long climb to the top. A fall-off could occur in a day. Any day.

Thinking back on it now, she vividly remembers Canaccord’s annual Christmas party, held during the first week of December. “I wasn’t drinking because I had to trade all the time,” she says. “I became so obsessed with watching the market that I left the party two or three times to go upstairs. And I would watch the ticker, even though I couldn’t trade overnight. The market would be down 20 points, and I thought, ‘Oh my God.’”