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stuartyuan · 2023年11月02日

我还是不明白为什么这里要short 一个ATM的call?

  1. CFA III
  2. Derivative

NO.PZ2018111501000019

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

我还是不明白为什么这里要short 一个ATM的call, 课上何老师讲为了cover 成本，short a call but it is a OTM call. 谢谢！

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2 个答案

pzqa35 · 2023年11月03日

嗨，从没放弃的小努力你好：


因为在这道题目中，投资者他自己对于未来的市场是有比较准确的判断的，所以从获利最多的角度来看的话，就是应该shortATM的call。关于什么情形去shortATM的call主要是看投资者对于未来的一个判断，如果无法准确判断，那么short OTM的call也能赚到一部分的期权费，只是没有ATM那么多而已。我们在做决策时，要站在投资者获利程度的这个角度来判断选项。

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加油吧，让我们一起遇见更好的自己！

pzqa35 · 2023年11月03日

嗨，从没放弃的小努力你好：


这道题是想要在增加GBP exposure来获得收益的同时降低风险。那么我们可以先计算出投资者认为的未来GBP的价格就是1.6*（1+5%）=1.68。也就是说GBP现在的价格是1.6，投资者预测它未来可以涨到1.68.

根据答案有两个选项，一个是买入1.60执行价的call，那么当未来真的涨价以后，就可以获得0.08的收益；另一个是买入1.68的call，那即使未来价格上涨他行不行权都无所谓，因为到时候市场价格也是1.68，所以payoff是0，但却损失了买入call的期权费。所以排除A选项，B和C都是能够在上涨中获利的。那么我们也知道，对于call option来说，执行价格越低，这表示我未来买入这个资产的价格就越低，那么它的期权费越贵。所以short1.68 call的期权费会更多，所以综上来说就选B，既能获得收益，同时又可以最大程度的降低成本。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

stuartyuan · 2023年11月03日

你好，那课上何老师讲的一般使用short OTM call or put 来赚一部分期权费 cover 成本，这里的OTM 又怎么理解呢？结合上面您的解释，什么情形要short ATM,什么时候short OTM.

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NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing Costs解析预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。 1.72 更难实现，不是应该卖这个吗？

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