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Ethan · 2022年05月26日

least profitable不是最少盈利的意思吗？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201712110100000202

问题如下：

Based on Exhibit 1, Nuñes should expect Strategy 2 to be least profitable if the share price of IZD at option expiration is:

选项：

A.

less than €91.26.

B.

between €91.26 and €95.00.

C.

more than €95.00.

解释：

A is correct.

Strategy 2 is a covered call, which is a combination of a long position in shares and a short call option. The breakeven point of Strategy 2 is €91.26, which represents the price per share of €93.93 minus the call premium received of €2.67 per share (S0 – C0). So, at any share price less than €91.26 at option expiration, Strategy 2 incurs a loss. If the share price of IZD at option expiration is greater than €91.26, Strategy 2 generates a gain.

中文解析：

策略2是covered call策略，它是由long stock + short call构成。该策略的盈亏平衡点是91.26欧元，即每股93.93欧元减去收到的每股2.67欧元的看涨期权期权费。

因此，在期权到期时，任何股价低于91.26欧元的情况下，该策略都会产生亏损。如果IZD在期权到期时的股价大于91.26欧元，该策略就会产生收益。

那应该是在稍高于91.26价格上

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Hertz_品职助教 · 2022年05月26日

嗨，从没放弃的小努力你好：


同学你好

我理解同学的疑惑哈，同学理解的是盈利最少，需要满足盈利，然后再盈利的基础上选择盈利最少的那个。

但我们想一下，盈利最少，亏损可以说是盈利最少啦，都变成负数啦，这个地方其实重点不在于盈利，而在于求三个选项中哪一个对应的收益是最少的哈

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ201712110100000202问题如下 Baseon Exhibit 1, Nuñes shoulexpeStrategy 2 to least profitable if the share priof IZoption expiration is: A.less th€91.26. B.between €91.26 an€95.00. C.more th€95.00. A is correct. Strategy 2 is a coverecall, whiis a combination of a long position in shares ana short call option. The breakeven point of Strategy 2 is €91.26, whirepresents the priper share of €93.93 minus the call premium receiveof €2.67 per share (S0 – C0). So, any share priless th€91.26 option expiration, Strategy 2 incurs a loss. If the share priof IZoption expiration is greater th€91.26, Strategy 2 generates a gain. 中文解析策略2是coverecall策略，它是由long sto+ short call构成。该策略的盈亏平衡点是91.26欧元，即每股93.93欧元减去收到的每股2.67欧元的看涨期权期权费。因此，在期权到期时，任何股价低于91.26欧元的情况下，该策略都会产生亏损。如果IZ期权到期时的股价大于91.26欧元，该策略就会产生收益。 如题，请教老师 这个long 100份股票 这不是一般意义上的coverecall(类似shor put图形)了吧？虽然不影响答案结果

2023-06-02 21:43 1 · 回答

NO.PZ201712110100000202 问题如下 Baseon Exhibit 1, Nuñes shoulexpeStrategy 2 to least profitable if the share priof IZoption expiration is: A.less th€91.26. B.between €91.26 an€95.00. C.more th€95.00. A is correct. Strategy 2 is a coverecall, whiis a combination of a long position in shares ana short call option. The breakeven point of Strategy 2 is €91.26, whirepresents the priper share of €93.93 minus the call premium receiveof €2.67 per share (S0 – C0). So, any share priless th€91.26 option expiration, Strategy 2 incurs a loss. If the share priof IZoption expiration is greater th€91.26, Strategy 2 generates a gain. 中文解析策略2是coverecall策略，它是由long sto+ short call构成。该策略的盈亏平衡点是91.26欧元，即每股93.93欧元减去收到的每股2.67欧元的看涨期权期权费。因此，在期权到期时，任何股价低于91.26欧元的情况下，该策略都会产生亏损。如果IZ期权到期时的股价大于91.26欧元，该策略就会产生收益。 做到这题，看了下笔记，突然有点疑惑，coverecall有最大loss吗？看图形不应该是unlimite？

2022-05-13 10:22 1 · 回答