开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

大恰恰 · 2023年07月19日

这一题里,strategy 1 的原理是什么?

* 问题详情,请 查看题干

NO.PZ202212300200003001

问题如下:

Given the information in Exhibit 1, the minimum cost of implementing Strategy 1 is closest to:

选项:

A.

$12.49

B.

$12.75

C.

$12.86

解释:

Correct Answer: A

A bull call spread is constructed by buying a lower exercise call and writing a higher exercise call. A bull spread becomes more valuable when the price of the underlying asset rises. The minimum cost implementation would typically use options with strike prices close to the current market price.

Buy $25 strike call and sell $35 strike call

Net premium for a bull call spread Vo = cL – cH = $10.30 – $1.45 = $8.85

A bear put spread is constructed by buying a higher exercise put and writing a lower exercise put. A bear spread becomes more valuable when the price of the underlying asset declines. The minimum cost implementation would typically use options with strike prices close to the current market price.

Buy $35 strike put and sell $25 strike put

Net premium for a bull call spread Vo = pH – pL = $5.20 – $1.56 = $3.64

Total cost = $8.85 + $3.64 = $12.49

Strategy 1 的cost 我会算,但是我不理解strategy 1 里 bull call spread 和 bear put spread 加在一起做的原理是什么?

在Xh 上同时有 long call + short put, Xl 上同时有short call + long put。这是合成了一个strangle的策略嘛?

1 个答案
已采纳答案

pzqa31 · 2023年07月19日

嗨,从没放弃的小努力你好:


不是,是box spread,不过这个知识点已经不在考纲里了,了解一下就行了:

box spread=bull call + bear put

=long XL call + short XH call +short XL put +long XH put

Box spread策略是用于判断option的定价是否合理,即判断option 的premium设定的是否合理,若合理定价,则产生无风险收益,若不是合理定价,就可以套利。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 209

    浏览
相关问题

NO.PZ202212300200003001 问题如下 Another client of EricaTaylor, Nithin Rao, es not own any shares of opqik Corporation. Rwantsto speculate on the privolatility of opqik anexpects large viations inthe share prifollowing the new prorelease in the next month. Raorequests thTaylor recommensuitable strategies to profit from the rectionalmoves in the share price. Taylor prepares the following three strategies topresent to RaoStrategy 1: A bull call sprecombinewith a beput spreusing $35 an$25strike options.Strategy 2: A long strale position the $30 strike price.Strategy 3: A long strangle position using $40 an$20 strike options.Exhibit 1 Option ContraPricing tails for opqik Corporation Given the information in Exhibit 1, the minimum costof implementing Strategy 1 is closest to: A.$12.49 B.$12.75 C.$12.86 CorreAnswer: bull call spreas constructebuying a lower exercise call anwriting a higher exercisecall. A bull sprebecomes more valuable when the priof the unrlying assetrises. The minimum cost implementation woultypically use options with strike pricesclose to the current market price.Buy $25 strikecall ansell $35 strike callNet premium for abull call spreVo = – = $10.30 – $1.45 = $8.85A beput spreas constructebuying a higher exercise put anwriting a lower exerciseput. A besprebecomes more valuable when the priof the unrlying assetclines. The minimum cost implementation woultypically use options withstrike prices close to the current market price.Buy $35 strike putansell $25 strike putNet premium for abull call spreVo = pH – pL = $5.20 – $1.56 = $3.64Totcost = $8.85+ $3.64 = $12.49 minimum cost是指两个策略loss相加?

2024-01-15 11:17 1 · 回答