NO.PZ2018113001000071
问题如下:
Adonis who owns ABC shares, is now worried about the stock's decline, so he wanted to build a protective put strategy. The stock is currently trading at $38 a share, a put option with strike price of $33 is sold for $1.2.
Calculate the maximum loss and breakeven price for this strategy:
选项:
A.maximum loss :-6.2,breakeven price 39.2
B.maximum loss :1.8,breakeven price 39.2
maximum loss :4.2,breakeven price 36.8
解释:
A is correct
中文解析:
本题考察的是protective put策略。
计算最大损失,带入公式 Maximum loss= X-S0 -P0 = $33 − $38 -$1.2 = - $6.2.
计算均衡点,带入公式Breakeven price = S0 + p0 = $38 + $1.2=$39.2.
老师请问,根据这个公式 Maximum loss= X-S0 -P0 = $33 − $38 -$1.2 的数字先后,得出S0是Stock Price, P0是Option Price?