NO.PZ2022123002000022
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.
老师好，我有个疑问：题目中说”one of the non-EUR currency exposures in the portfolio is GBP"，应该怎么理解这句话？是指这个人开始就已经拥有GBP的头寸，还是说后面要换成GBP？不是很理解为什么要long call来获得GBP exposure？谢谢！
