NO.PZ2021061002000059
问题如下:
Morgan's
family office currently owns 50,000 QWR shares. Morgan wants to reduce QWR's
stock position, but is delaying a cash sale for three months for tax reasons.
Which of the
following derivative contracts could the Morgan's chief investment officer use that would be
best suited to reduce exposure to a decline in QWR's share price over the next three
months?
选项:
A.A short futures position in QWR stock that
settles in three months
A long futures position on QWR stock that settles
in three months
A long call position on QWR stock that expires in
three months
解释:
中文解析
本题问的是下列哪种衍生品可以用来降低Morgan的股票敞口,从而来降低风险敞口。
A选项的short futures可以实现在合约到期的时候,按照合约约定的价格将标的资产交割出去,从而可以降低股票的风险敞口,是正确的。
对应的B选项:long futures会增加股票头寸,从而增加了风险敞口,不能选。
C选项,long call的一方在股价上涨高于执行价的时候,会行权按照执行价格买入股票,会增加股票头寸,不能选。
首先题目中的这个人已经拥有了股票,自身已经是long position(收益曲线对应 long forward),然后他想降低风险敞口,就是怕万一股票跌了亏得太厉害。那么A选项 short foward和 C选项 long call是不是都可以在他跌的时候止损呢?比如说long call ,在跌的时候能够帮助他亏得比long forward 少一些,涨的时候一样能赚。