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开泰-王飞 · 2022年11月10日

答案c为何不对

  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。

short call on 1.72，是说当价格涨到1.72才行权，不是可以多拿一些GBP上涨的利润吗？

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1 个答案

Hertz_品职助教 · 2022年11月10日

嗨，努力学习的PZer你好：


同学你好

问题：

short call on 1.72，是说当价格涨到1.72才行权，不是可以多拿一些GBP上涨的利润吗？

回答：

我理解同学的疑问，同学的意思是相比于卖出1.68的call，如果卖出更高执行价的call，那么这个call就会更不可能被行权，这样GBP涨过1.68的部分我们也是可以得到的。

但这里需要注意本题给到了一个条件是预测GBP会涨到1.68，基于这个条件，我们只能卖出执行价为1.68的call。

为何呢？

的确，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，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，也就是GBP只会涨到1.68这个条件的哈。

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

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