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yan · 2024年10月12日

为什么是ATM put 而不是OTM put

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NO.PZ202312250100000503

问题如下:

Based on the information in Exhibit 2, for a breakeven scenario, the percentage change in the NAIC share price for the collar strategy in Recommendation 1 is closest to:

选项:

A.2.11%. B.4.26%. C.8.52%.

解释:

Per Recommendation 1, a collar option strategy is implemented by buying at-the-money put option and selling out-of-the-money call option.

Collar Option = Buy an ATM put and sell an out-of-the-money (OTM) call

Premium paid for ATM put option (i.e., $25 strike) is $2.67. Premium received for OTM call option (i.e., $30 strike) is $0.53.

Total cost of each collar option = $2.67 – 0.53 = $2.14

Breakeven price of the collar option = $25.12 + $2.14 = $27.26

Percentage change to breakeven = $2.14/$25.12 = 8.52%



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已采纳答案

pzqa35 · 2024年10月12日

嗨,从没放弃的小努力你好:


题目中描述道“ Concerned about taxes, he's hesitant to sell but wants to protect their value. He seeks Morgan's advice on safeguarding his investment from potential drops in NAIC's stock price, which currently stands at $25.12 per share.”说明他不想要股票的价格跌过25.12,他想要维持现在的水平,因此选一个ATM的put保护效果最好。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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