问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
从题干中得知，叫我们找出当波动很小时，能够获得最大利润且损失有限的策略。
不明白BC错在哪里？D为什么正确？B也是获得收益且损失有限（答案中所假设ispot price上升，这个在题干中也没强调啊，为什么直接说是错的？）
妙悟先生品职答疑助手 · 2018年08月21日
期权的价格一定是在at the money的时候最贵，所以long 97 call付出的premium一定是大于short 99 call的premium的，题目假设到期价格在97周围，如果刚好是97，那么显然是亏损的组合；同理，同样标的资产、到期时间、行权价格的看跌期权Premium要高于看涨期权，因而C也不合适。其次，题干的发问方式是most appropriate，并不意味着选项是必然错误的。这题其实不用考虑的那么复杂，就像您说的，题干的意思表达的比较清楚了，就是考查哪种策略在波动性小的时候收益高，这也是long butterfly和short straddle的特性，其实考查的思路更在这个地方。
KellyBai · 2018年09月10日
老师， 为什么同样标的资产、到期时间、行权价格的看跌期权Premium要高于看涨期权?
NO.PZ2016082402000034问题如下 Accorng to an in-house researreport, it is expectethUSPY (quoteJPY/US will tra ne97 the enof March. Frankie Shiller, the investment rector of a house fun cis to use option strategy to capture this opportunity. The current level of the USPY exchange rate is 97 on February 28. Accorngly, whiof the following strategies woulthe most appropriate for the largest profit while the potentiloss is limite Long a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option on USPY with strike priof USPY 97 and short a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: D The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. 为什么波动小用butterfly，butterfly不应该在短中长三个期限上做文章吗？
NO.PZ2016082402000034问题如下 Accorng to an in-house researreport, it is expectethUSPY (quoteJPY/US will tra ne97 the enof March. Frankie Shiller, the investment rector of a house fun cis to use option strategy to capture this opportunity. The current level of the USPY exchange rate is 97 on February 28. Accorngly, whiof the following strategies woulthe most appropriate for the largest profit while the potentiloss is limite Long a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option on USPY with strike priof USPY 97 and short a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: D The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. C可以把图画出来吗？
NO.PZ2016082402000034 Long a call option on USPY with strike priof USPY 97 anshort a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. 当前在97，一个月后还是97，说明想赌波动的，所以选蝶式期权。
下面的回答有人說波動小時收益高，我知道這是butterfly的特性 但是從題目中哪裏可以知道波動小。
关于C的我有疑问-C+P 的头寸并且有着相同的执行价格，我也没有找到其他的bon者stock做成组合，那么这样的头寸就变成了一条斜线是么，short spot position是什么意思呢，我尝试着计算了profit是，X=97，Profit=C-P, X 97时，Profit=97+C-P-St