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大吉0511 · 2023年06月11日

reduction of volatility

NO.PZ2022123002000050

问题如下:

Huanca recently received 3.2 million common stock shares of Urubamba Copper, Ltd. in partial payment for a mining equipment company he sold to Urubamba. The terms of the sale require him to hold this stock for at least 18 months before selling it. Although Huanca believes Urubamba is a well-run company, its share price is closely tied to commodity prices, which he believes might decline. He tells Mamani, "I know I can use options on Urubamba to manage the risk of my concentrated stock position. Either a covered call strategy or a protective put strategy will reduce the volatility of my position and establish a minimum value for it, but the covered call strategy will also enhance my return if Urubamba's price remains stable, and the protective put strategy will not."

Huanca's comment about using options to manage the risk of his Urubamba common stock position is least likely correct regarding:

选项:

A.

establishing a minimum value

B.

reduction of volatility

C.

return enhancements

解释:

Correct Answer: A

Although a protective put establishes a minimum value for the position when the price of the underlying stock declines, a covered call does not. Therefore, Huanca's statement is incorrect.

option因volatility收益,请老师详解下reduction of volatility的含义,谢谢

1 个答案

pzqa31 · 2023年06月12日

嗨,努力学习的PZer你好:


同学,从图形上就可以看出来,protective put可以提供一个minimum value,也就是会有一个最小的损失(即当股价跌到某个值的时候,再怎么跌损失都是锁定的)。而covered call 相当于是损失无限(当然股价最小跌到0,所以损失最大也就是股价为0的时候)。最后那页讲义里也有提到过limiting downside volatility.

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