NO.PZ202208100100000201
问题如下：
Are the strategies suggested by Dufu for Kadakia most likely correct?
选项：
A.Yes, both strategies are correct.
No, Strategy 1 is incorrect.
No, Strategy 2 is incorrect.
解释：
Solution
C is correct.
Strategy 1 is correct and Strategy 2 is incorrect. Given Kadakia’s expectations, the correct option strategy is a bear spread using calls. The bear spread can be implemented using call options or put options. In either case, it involves the purchase of the higher strike option and the sale of the lower strike option. Kadakia, however, has indicated that she would like to avoid a cash outlay. Given this constraint, the appropriate option strategy is to purchase November 120 call options and sell November 115 call options because doing so will result in an initial cash inflow of $5.40 – $2.70 = $2.70. Using put options would result in an initial cash outflow of $2.37 and a maximum profit of $2.63, which is less than the $2.70 maximum profit for the bear spread using calls. Net $2.63 if the stock falls below 115.
A is incorrect. Strategy 2 is incorrect because using put options would result in an initial cash outflow of $2.37.
B is incorrect. Strategy 1 is correct.
中文解析：
本题考察的是bear spread.
题干第二段说Kadakia预计XYZ公司的股价在下个月将大幅下跌。Kadakia希望利用期权从股价下跌中获利，但如果预期的股价下跌没有实现，他也希望限制损失。Kadakia还表示，她希望将建立期权头寸的成本降至最低。
根据Kadakia的预测，结合策略1和策略2中的策略，可知本题考察的是bear spread。
其中策略1：是使用call option来构建的bear call spread；策略2是使用put option来构建的bear put option。但是二者两个策略的成本不同：
构建策略1，买call花掉了2.7美元；卖call收到了5.4美元，有一个净收入为2.7美元；
构建策略2，买put花掉了5.22美元，卖put收到了2.85美元，有一个净支出为2.37美元。
由于Kadakia希望将成本降至最低，因此策略1是合适的。
有点不太确定， 当是bearish market，股价都在下降，那么为什么bearish call可以赚钱？
bearish call = Long x高的 call + short x低的call。本身这个头寸是一个net cash inflow 也就是一个credit spread，所以我们就用short x 低的call 赚一个期权费？
同样的逻辑： 当是bullish market，股价再上涨，那么为什么 bullish put可以赚钱？
Bullihs put = Long x 低的 put + short x 高的 put， net cahs inflow 也是一个credit spread，所以我们赚钱的来源是short x高的put 这个头寸中的期权费？
