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15288973619 · 2023年07月12日

执行价

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202212300200003401

问题如下：

Given the information in Exhibit 1, the minimum cost of implementing a bullish seagull strategy, using strike prices of $490 and $530, is closest to:

选项：

A.

$16.83

B.

$22.47

C.

$23.63

解释：

Correct Answer: A

A bullish seagull strategy involves a bull call spread (debit call spread) and the sale of an OTM put.

The three positions involve:

Buying an in-the-money (ITM) call at strike $490 by paying a premium $23.05

Selling an OTM call at strike $530 by receiving a premium $3.40

Selling an OTM put at strike $490 by receiving a premium $2.82

Cost of bullish seagull strategy is $23.05 – $3.40 – $2.82 = $16.83

现在股价510，为什么要买490的call决策依据是啥

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1 个答案

pzqa31 · 2023年07月12日

嗨，爱思考的PZer你好：


1.    首先呢，bullish seagull构成是：long call（执行价格中等）+ short call（执行价格最高）+short put（执行价格最低）。

2.    关于这道题，看一下题目要求的是只能使用执行价格490和530的期权。而我们在490和530之间，530是较高的执行价格，所以首先确定short call at 530；那么剩下的两个期权的执行价格可以确定的是都需要比530小，但是没有选择，只剩下490的执行价可以选择，所以只能是long call at 490，short put at 490.


只能说这不是严格的海鸥策略，但是题目又说这是海鸥策略，然后还只给了两个执行价可以选择，所以只能这样来做。

可以看到这是一个mock题目，mock题目一贯的风格就是很多错误，出题不严谨，所以就按照题目意思练习一下即可。

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