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rabbit · 2025年03月26日

B选项与C选项

  1. CFA III
  2. Derivative

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。

老师，请问下为什么不选择C选项。

解答我看过了，但不理解，当价格涨到1，68，sell call 不是就行权了，会抵消long call收益，如果执行价格1‘72，sell. Call 可以不行权

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1 个答案

李坏_品职助教 · 2025年03月26日

嗨，努力学习的PZer你好：


注意 minimizing the initial cash outlay这个要求。我们需要现在尽一切可能降低期初的现金流支出。


C选项卖出的1.72的call期权费比较低，而B选项卖出的1.68的call，期权费是高于1.72的call的。 既然这个人自己预判GBP最多只会涨到1.68，那就按照他的计算，卖出1.68行权价的call就行了。至于是否会完全抵消long call的收益，这个不用考虑。

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