NO.PZ202301280200000801
问题如下：
Determine which one of the Nikolayev’s
strategies is most likely correct. Justify your response.
选项：
解释：
Correct
Answer:
Strategy 1 is
correct.
Depreciation of
the base currency USD in the P/B quote [P/B refers to the price of one unit of
the base currency B expressed in terms of the price currency P.] indicates
appreciation of the price currency CYF. A call option in CYF/USD is buying USD
and selling CYF, whereas a put option in CYF/USD is selling USD and buying CYF.
Nikolayev is expecting the ruble to appreciate against USD; hence buying an at
the money put option is the correct strategy to generate profits when CYF
appreciates against USD.
Strategy 2 is
incorrect. Risk reversal, also referred to as a collar strategy, is created by
buying stock and by simultaneously buying puts to protect the position against
downside risk and selling calls to offset the cost. Risk reversal strategy can
be implemented by buying CYF/USD puts and selling CYF/USD calls.
Strategy 3 is
incorrect. An at the money call option in CYF/USD would be to buy USD and sell
CYF. This strategy will generate losses if CYF appreciates against USD.
Strategy 1 is correct and the others are incorrect.Since Nikolayev expects the CYF to appreciate in the next six months once the short-term volatility subsides, we need to buy CYF.Only strategy 1 is short USD which means long CYF in six-month, so we can from the depreciation of the base currency.
Strategy 2, implement a risk reversal strategy which equals to long c and short put, so it's incorrect.
Strategy 3 is incorrect, Buy a six-month at the money call option on CYF/USD, and we can generate profits from appreciation of the base currency not depreciation.