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非恒名 · 2024年01月23日

Seagull期权还需要掌握吗

  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

没有在考纲里看到了呀，需要背吗

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1 个答案

pzqa31 · 2024年01月24日

嗨，从没放弃的小努力你好：


还在，了解一下吧。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ202212300200003401 问题如下 Given the information in Exhibit 1, the minimum cost of implementing abullish seagull strategy, using strike prices of $490 an$530, is closest to: A.$16.83 B.$22.47 C.$23.63 CorreAnswer: bullish seagullstrategy involves a bull call spre(bit call sprea anthe sale of OTMput.The three positions involve:Buying in-the-money(ITM) call strike $490 paying a premium $23.05 Selling OTM call atstrike $530 receiving a premium $3.40Selling OTM put atstrike $490 receiving a premium $2.82Cost of bullish seagullstrategy is $23.05 – $3.40 – $2.82 = $16.83 关于 bull seagull 和beseagull

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