NO.PZ202212300200003001
问题如下:
Another client of Erica
Taylor, Nithin Rao, does not own any shares of Dropqik Corporation. Rao wants
to speculate on the price volatility of Dropqik and expects large deviations in
the share price following the new product release in the next month. Rao
requests that Taylor recommend suitable strategies to profit from the directional
moves in the share price. Taylor prepares the following three strategies to
present to Rao
Strategy 1: A bull call spread combined with a bear put spread using $35 and $25
strike options.
Strategy 2: A long straddle position at the $30 strike price.
Strategy 3: A long strangle position using $40 and $20 strike options.
Exhibit 1 Option Contract Pricing Details for Dropqik Corporation
Given the information in Exhibit 1, the minimum cost
of implementing Strategy 1 is closest to:
选项:
A.$12.49
$12.75
$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
minimum cost是指两个策略loss相加?