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Darkblanca · 2024年01月31日

还在考纲里讲义就不放了是吧？

  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

还在考纲里讲义就不放了是吧？

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1 个答案

pzqa35 · 2024年02月01日

嗨，从没放弃的小努力你好：


这道题是2021年的一道mock题，解题的关键思路就是要理解bullish seagull这个策略是怎么执行的。我们在基础班的课上讲到的seagull策略是在外汇管理这个章节的，投资者拥有外币资产，但是担心它贬值，所以long put，但同时为了降低成本会short OTM call 和short OTM put。这个策略本身是bearish的一个观点，因为long put代表对于未来的一个观点还是看跌的。那么bullish seagull这个点在原版书上是没有提及到的，我们这个只是作为一个补充给到大家，所以这个题是有一点点的超纲哈。

那么bullish seagull就是对于未来市场是一个看涨的状态，那么此时就会long 低执行价格call（ITM），同时为了降低成本会short OTM call和short OTM put，所以这个头寸就相当于是bull call spread+ short OTM put。那么根据题目我们就可以看到买入ITM的call需要花费23.05，卖出OTM的call（X=530）会收到3.4，卖出OTM put（X=490）会收到2.82，那么最终总花费=23.05-2.82-3.4=16.83.

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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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