关于这道题的初始头寸

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the following six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay:

Trade 1: Buy call with 1.68 strike

Sell call with 1.72 strike

Trade 2: Buy call with 1.60 strike

Sell call with 1.68 strike

Trade 3: Buy call with 1.60 strike

Sell call with 1.72 strike

Determine the trade that will most likely satisfy Aron’s objectives at expiration. Justify your response.

选项：

解释：

Correct Answer:

Trade 2 would be the most likely to satisfy Aron’s objectives. By buying a call struck at the current spot rate (1.60), Aron will benefit if GBP appreciates per his outlook. Selling the higher strike price out-of-the-money call at 1.68 (equal to his 5% appreciation expectation) would provide some premium income to reduce the cost of the trade, while not reducing his potential appreciation below 5%.

Trade 1 is ineffective because it does not provide upside exposure between the current spot of 1.60 and the current spot plus 5% of the expected 1.68, on expiration date.

Trade 3 is less effective than Trade 2 because the premium income from selling the call with a 1.72 strike is less than that from selling a call with a 1.68 strike. This trade is less effective at satisfying Aron’s secondary objective, which is to minimize the initial cash outlay.