开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

这次熬过去得了 · 2025年03月16日

1

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.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

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Aron1.6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?

1 个答案

李坏_品职助教 · 2025年03月16日

嗨,爱思考的PZer你好:


1.68的时候,sell call就会被行权,但是这个人还有Buy call 啊,buy call他也可以行权,相当于最后是行权先买入GBP再卖给另外的对手,不涉及减仓的问题。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 5

    浏览
相关问题

NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。

2025-03-07 17:44 1 · 回答

NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。 1.72 更难实现,不是应该卖这个吗?

2024-04-07 21:30 1 · 回答

NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。 我还是不明白为什么这里要short 一个ATM的call, 课上何老师讲为了cover 成本,short a call but it is a OTM call. 谢谢!

2023-11-02 11:21 2 · 回答

NO.PZ2018111501000019问题如下One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike.B is correct. 考点Strategies toMofy Risk anLower Heing 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。如问题说述,请老师解答,谢谢

2023-10-21 15:22 1 · 回答