[table_report ]

CALL-

[table_research]

S1220514090003
TEL021-68386225
E-mailgaozijian@foundersc.com

TEL021-58435536
E-mailtaoqinying@foundersc.com

50ETF

[table_main]

2015-4-27,

2015-5-2,

2015.09.07

CALL-

50

30:1;

2015-5-8,

P/C()

2015-5-15,IV RV

RV VIX

2015-5-22,
2015-5-30,
2015-6-5,

2015-6-19, OR VIX

2015-6-26,P/C

2015-7-10,CALL PUT IV

2015-7-21,

2015-7-31,

2015-8-9,

[table_page]

1.

CALL PUT+ IH

CALL
1.1

CALL

C + KerT = + C = + KerT
P
SC
1
1

1.2

CALL

[table_page]

22015.9.7 50 =-

50
IH1509
IH1510
IH1512
IH1603

2133.98
2052.40
1985.40
1882.00
1875.60

-81.58
-148.58
-251.98
-258.38

50

2015-8-9

3.0 12 50ETF
12 3.0 IH1512
2015.9.8 1 1.0529*10000
1 IH1512 1887.8*300
30:1
50ETF 3.0
50ETF 50

-1887.8*300+3-1.0529
10000*30=17790
17790
150
40% IH
3.08%

[table_page]

32015.9.8 12 IH1512

1. IH
2.
30

2.

50ETF 50ETF

50 50ETF
4.29%
4 9
2.15
4

[table_page]

50ETF 410,746
125,470 17,450
5 50ETF

4 50ETF 9 2.15 9 2.15

5 50ETF

[table_page]

3.

/P/CVIX

3.1

P/C

7 8 9 10 50ETF
P/C P/C
=()/(
)
2015-6-26P/C
P/C
50ETF

9 10 P/C
P/C
P/C
P/C

50ETF P/C
2015-6-26 P/C
P/C
8 24

P/C 0.3

6 50ETF P/C

[table_page]

7 50ETF P/C

8 50ETF P/C

Wind,

Wind,

9 50ETF P/C

10 50ETF P/C

Wind,

Wind,

3.2

VIX

VIX 30 VIX 60
55 VIX

8 24 VIX
VIX
VIX VIX

[table_page]

11 50ETF VIX CBOE VIX

4.

50ETF 12

13 RV

RV VIX

12 50ETF 306090120

[table_page]

1350ETF VIX HVRV

50ETF
IV 50

142015/9/23

152015/10/28

Wind,

Wind,

[table_page]

162015/12/23

172016/3/23

Wind,

Wind,

5.

50ETF

10

[table_page1]

20%
10%
-10%10%
10%

300
300
300

348
100037
http://www.foundersc.com

360
36200120
http://www.foundersc.com

4013201
418000
http://www.foundersc.com

200
24
410015
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E-mail

yjzx@foundersc.com

yjzx@foundersc.com

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yjzx@foundersc.com

11