NO.PZ202208100100000702
问题如下：
With regard to the strategy for Company A that Fillizola recommends, she is least likely correct regarding:
选项：
A.the expectation of volatility of the underlying.
the effective sale price if share prices move lower, to $130.
the effective sale price if share prices trend higher than $140.
解释：
Solution
A is correct. Fillizola is incorrect regarding the expectation of volatility of the underlying compared with the implied volatility of 21.05%. The recommended strategy, a covered call, is appropriate if the expectation is that volatility of the underlying will be lower than the implied volatility of 21.05%. Fillizola is correct about the effective sale price if the stock is above $140. The stock gets called away at $140, and the effective sale price is $140 + $5.40 = $145.40. If the share price is $130, the client will sell at $130 and her effective sale price is $130 + $5.40 = $135.40.
B is incorrect. Fillizola is correct about the effective sale price. If the share price is $130, the client will sell at $130 and her effective sale price is $130 + $5.40 = $135.40.
C is incorrect. Fillizola is correct about the effective sale price if the stock is above $140. The stock gets called away at $140, and the effective sale price is $140 + $5.40 = $145.40.
中文解析：
本题考察的是covered call。
题干大意：一个客户拥有2000股公司A的股票，该股票不支付股息，目前定价为139.81美元。但是客户被禁止出售该股票。客户预计股价在未来几个月保持稳定，虽然不能出售，但仍希望获得一些收入。
因此Fillizola建议客户卖出20份的到期时间在2020年二月份的看涨期权，这个看涨期权的执行价格是140美元，期权费是5.4美元，隐含波动率是21.05%。
由于该客户本身持有股票，如果再short call，那么构成了covered call策略。因为期权与隐含波动率成正相关关系，short option在这里short call，意味着是看跌波动率的，即预测市场是平稳的，所以表述中关于波动率的表述（预测股价波动率将会高于21.05%）是错误的，选A。
当股价高于140美元时，long call的一方会行权，那么我们需要将手里的股票按照140美元的价格卖给对手方，但是一开始卖出call option获得期权费是5.4美元，因此有效的卖出价格是145.4美元，C选项正确；
如果股价是130美元，那么long call的一方不会行权，如果我们要卖出股票的话，只能按照130美元卖出，但是short call获得了5.4美元的期权费，因此有效的卖出价格是135.4美元。B选项正确。
老师，没看懂这题。题目不是说客户不想卖股票，只想赚一点期权费吗？although not wishing to sell, still wants to generate some income. 如果股价是130美元，那么long call的一方不会行权，然后short call获得了5.4美元的期权费，这不就达到了客户的目的? 为什么还要计算它的有效卖出价格135.4美元？effective sale price指的是卖出股票获得的总现金流入？
