NO.PZ2018111501000019
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 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. Which of the trades below will most likely satisfy Aron’s
objectives at expiration?
选项:
A.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.
解释:
B is correct.
考点:Strategies to Modify Risk and Lower Hedging Costs
解析:预测GBP会增值,所以Buy call with 1.60 strike,未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%, 1.6*(1+5%)=1.68,所以sell call with 1.68 strike可以降低成本。
这里有个问题,如果真判断准确,1.68的时候,就会被行权,那么这部分持仓就short出去了,题目中并没有说要把这部分仓位减掉,只是要尽可能降低成本,按理说用1.72更合适啊,至少这是一个out of 的期权,不会被行权,如果答案是1.68,是否应该加一个条件,就是计划以1.68卖出,这样严谨一些?