NO.PZ2018111501000020
问题如下:
Campos says that there are better options-based strategies that can exploit market views and reduce hedging costs. She suggests the following strategies
Strategy 1. For AUD exposure, the appropriate strategy is to be long put options at a strike price of 2.1046, short put options with a strike price 2.1006, and short call options with a strike price of 2.1456.
Strategy 2. For CHF exposure, the appropriate strategy is to be long
put options at a strike price of 2.5309, short put options with a strike price
2.5049, and short call options with a strike price of 2.5669.
Is Campos most likely correct that Strategy 1 and Strategy 2 will accomplish the goals of exploiting market views and reducing hedging costs?
选项:
A.No, she is incorrect about reducing hedging costs.
B.Yes.
C.No, she is incorrect about exploiting market views.
解释:
C is correct.
考点:Strategies to Modify Risk and Lower Hedging Costs
解析:
中文解析:
1. 题目问的是策略1和策略2是否可以达到①利用市场观点②降低对冲成本这两个目标。
2. 本币是BRL,外币是AUD,和CHF。由表格的第二列和第四列的数据可知:
AUD市场预测是会贬值的,并且是由2.1046贬值到2.0355;
CHF市场预测是会升值的,并且是由2.5309升值到2.5642.
3. 分析策略1:
该策略是long ATM put(执行价格为2.1046),然后short OTM put(执行价格是2.1006),又short OTM call(执行价格是2.1456)。
(1)
其中short put和short call是可以获得期权费的,因此可以对冲一部分的成本,满足目标②;
(2)
首先预测AUD贬值,long put是很对的,但是由于我们预测AUD贬值到2.0355,但是却short了一个执行价格为2.1006的put,也就是当股价一路往下跌,跌破2.1006的时候,short的put就会被行权,会造成损失。正确的是应该根据市场预测,short执行价格为2.0355的put才对,所以策略1没有满足①利用市场观点的目标。
4. 分析策略2:
该策略的构成仍然是long
ATM put(执行价格为2.5309),然后short OTM put(执行价格是2.5049),又short OTM call(执行价格是2.5669)。
(1)
和策略1一样的,其中short put和short call是可以获得期权费的,因此可以对冲一部分的成本,满足目标②;
(2)
但是市场预测CHF会升值,因此应该long call才对,才可以在市场真正上涨的时候获利,但是该策略long put,因为我们预测CHF会升值,所以买put相当于白白花了期权费,这一点没有满足目标①,即没有利用市场观点。
5. 综上,两个策略都满足了降低hedging cost,但是都没满足利用利用市场观点的目标。
因此,本题选C。
怎样才算是exploit market view? 有没有典型的句式之类的。