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Arnie · 2022年11月08日

这题为啥short the call option 用1.68？

  1. CFA III
  2. Derivative

NO.PZ2018111501000019

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

我们不是short OTM call option吗？ 基金经理预测的是将来的价格会升值到1.68（5%），如果刚刚执行价格在1.68不是很快就会被执行了，而且1.68如何提现OTM呢？

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Hertz_品职助教 · 2022年11月08日

嗨，从没放弃的小努力你好：


同学你好

首先，这里并不是说卖出的期权就是OTM的。诚然，当我们出于降低成本而要卖出一个期权的时候会选择卖出一个价外期权，但本题并不是这样的。因为本题给到了一个条件是预测GBP会涨到1.68。

然后，这个基金经理可以选择卖出OTM的看涨期权，比如执行价格是1.70的看涨期权，都是可以的。

但问题是对于看涨期权来说执行价格越低才是越贵的，所以卖出执行价格1.68的看涨期权比卖出执行价格为1.70的看涨期权收到的期权费是更高的。

而且卖出的1.68的期权，即便GBP涨到了1.68，并且对手方行权了，作为卖出期权的一方也没有损失，因为此时不论对手方行权与否，因为是ATM，都没有损失，而且这种情况下由于买期权的一方行权没有收益，一般也不会行权。

同学可能想，万一GBP涨的超过了1.68呢，那我们卖出这个看涨期权不就亏了嘛，注意我们这里是根据基金经理的预测买卖期权，如果GBP真的涨的超过了1.68，发生的亏损是因为基金经理能力不行，我们做题就是假设基金经理预测的是对的哈。

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