NO.PZ202208100100000704
问题如下：
Is Manetti most likely correct with regard to the strategy of purchasing put options?
选项：
A.Yes, her strategy is correct.
No, she is incorrect about the time decay of the option.
No, she is incorrect about a strike price lower than $140.
解释：
B is correct. Although Manetti is correct that the February 2020 put option is cheaper, she is incorrect in stating that the February 2020 put option has the lowest time decay. This option has a theta of –0.034. In contrast, the July 2020 put option, although more expensive, has a theta of –0.019 indicating that it has the lowest time decay.
A is incorrect. Although Manetti is correct that the February 2020 put option with a strike price lower than $140 would be cheaper, this option exposes her to a greater risk of loss in the position because with a lower strike price, the put option would not protect against losses until the stock price falls below the lower strike price. She is incorrect in stating that the February 2020 put option has the lowest time decay.
C is incorrect. Manetti is correct that the February put option with a strike price lower than $140 is cheaper and is correct that it exposes her to a greater risk of loss in the position.
中文解析：
本题考察的是希腊字母theta以及protective put策略。
根据表1可知：
到期日在2020年2月份的put option，执行价格为140美元，期权费是6.15美元，theta是-0.034.
到期日是2020年7月份的put option，执行价格是140美元，期权费是10.55美元，theta是-0.019。
因此，购买到期日在2020年2月的看跌期权更加便宜一些；
期权的Theta通常为负值，表明随着时间的流逝，期权价值不断贬值，Theta也因此被称为期权的时间耗损（time decay），Theta=--0.034，表明每过一个自然日，期权价值贬值0.034个单位值。因此可以看到到期日为2020年2月的看跌期权相比于到期日为2020年7月的put option有更高的时间损耗（time decay）。所以表述中关于time decay的表述是错误的。
看跌期权提供的保护只在股价低于执行价格时起作用，因此当执行价格降低的时候，提供的保护变小，该期权的期权费就会更加便宜。
C正确，如下理解是否正确：
对于PUT option,执行价格越低于当前价格，说明越是OTM，所以价格越便宜，对现货头寸的保护不如ITM（价格高于140）足。因为ITM执行价格高于140，直接可以行权，而小于140的OTM，还没办法行权。
