NO.PZ202301280100000304
问题如下:
Which of David’s recommended strategies results in the
largest profit at expiration?
选项:
A.Strategy 1
Strategy 2
Strategy 3
解释:
Correct
Answer: C
Strategy 3
If the stock price
is $790, both puts expire worthless and the investor keeps the $22.08 credit
received per option plus any upside on the stock.
Any upside in the
stock price is protected as there are no short calls in this strategy.
Capital Gain
(unrealized) = 500,000 × ($790 – $750) = $20,000,000
Option Premia
Received = 500,000 × $31.31 = $15,655,000
Option Cost
Incurred = 500,000 × $9.23 = –$4,615,000
Profit =
$20,000,000 + $15,655,000 – $4,615,000 = $31,040,000
Ignoring the
increased value of the underlying, the profit from this option strategy alone =
$15,655,000 – $4,615,000 = $11,040,000
Strategy 1
If the stock price
is $790, the short calls are assigned and the investor will forgo all profits
above the strike price of $730.
Hence, any upside
in the stock price above $730 is nullified by the short $730 call.
Capital Loss
Incurred = 500,000 × ($790 – $750) = $20,000,000
Option Premia
Received = 500,000 × [$3.41 -(790-730)]= -$28,295,000
Profit = $20,000,000 - $28,295,000 = –$8,295,000
Strategy 2
If the stock price
is $790, the puts expire worthless and the short calls are assigned so the
investor will forgo all profits above the call strike price of $720.
Any upside in the
stock price above $720 is nullified by the short $720 call.
Capital Loss Incurred
= 500,000 × ($720 – $750) = –$15,000,000
Option Premia
Received = 500,000 × $5.46 = $2,730,000
Option Cost
Incurred = 500,000 × $5.27 = –$2,635,000
Profit =
–$15,000,000 + $2,730,000 – $2,635,000 = –$14,905,000