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Ella · 2024年02月20日

short put的损失是有上限的,而short call的损失无上限,stock价格波动大,short call可能会亏很多

NO.PZ2021061002000068

问题如下:

An asset manager owns non-dividend-paying stock in XYZ Corporation, currently priced (S0) at $50 a share. The asset manager is considering selling shares at a forward price (F0(T)) of $54 per share in six months at a risk-free rate of 2%.

Now consider buying a put option or selling a call option with an exercise price (X) equal to the forward price (F0(T)) as an alternative to a forward stock sale.

Based on the above information, answer the question:

In comparing a call option strategy sold at a forward price to a put option strategy bought at a forward price, the asset manager focused on how an immediate increase in the volatility of the underlying XYZ stock might affect the option value. Which of the following statements is most accurate about volatility changes and their impact on the strategy?

选项:

A.

Since changes in the volatility of the underlying shares have the opposite effect on put versus call options, this change will increase the attractiveness of the put strategy versus the call strategy.

B.

An increase in the volatility of the underlying shares will increase both the cost of the purchased put strategy and the premium received on the sold call strategy, so this change will make the call strategy more attractive than the put strategy.

C.

An increase in the volatility of the underlying shares has the same effect on call and put option values, so this change has no effect on the strategy decision.

解释:

中文解析

本题考察的是波动率volatility对期权价格的影响。

不论看涨还是看跌期权,其价格与波动率都是呈正相关关系。因此当波动率增加的时候,看涨和看跌期权的价格都上升。

所以对于long put的策略来说,意味着支付的期权费要更多,对于short call策略来说意味着收到的期权费更多。

所以这种情况下,short call策略的优势更明显。选B

short put的损失是有上限的,而short call的损失无上限,stock价格波动大,short call可能会亏很多

1 个答案

李坏_品职助教 · 2024年02月20日

嗨,努力学习的PZer你好:


这道题问的是volatility(标的资产波动率)的增加对于期权策略的影响。


不管是call还是put,波动率的增加都会让期权价值上升。此时购买put意味着你要支付更高的期权费(期权费就是期权的价格),而卖出call意味着你可以马上收取更高的期权费,那么肯定是short call占优势。这个题目只是让我们辨析期权费的变动方向,不用做过多的引申。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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