NO.PZ2018113001000014
问题如下:
A portfolio manager wants to construct a bull spread using call options. An exercise price of $50 is priced at $8 and exercise price of $60 is priced at $2. Both the calls expire in one month and have the same underlying, which is currently trading at $55. the breakeven underlying price is:
选项:
A.56
B.60
C.54
解释:
A is correct.
考点:bull spread
解析:
用call构建bull spread(上涨时赚钱),应该买入执行价格较低的call option来赚钱,同时short执行价格较高的call option来cover成本,用公式表达即:
根据图形,当50T<60时,有breakeven price此时收益=0.
此时(ST-50)-8-(0-2)=0,可求ST=56
/哪种option strategy算breakeven的时候需要用到spot price呢
我记得题目里也遇到过