问一道题：NO.PZ2019052801000126

问题如下：

An investor has established a bearish option strategy using the three same maturity put options. He buys two $46 puts at the cost of $5 each, and sells one $53 put for $8 and sells one $37 put for $3. If the underlying is trading at $32 at expiration, what is the final profit of the strategy?

选项：

$0 .

$3 .

$4 .

$5 .

解释：

B is correct.

考点：Spread Strategies

解析：这个组合的期权费收入（成本）总计为 (+8 -2×5 +3) = $1

卖出一份执行价为$53的看跌期权的利润： -($53 - $32) = -$21

买入两份执行价为$46 的看跌期权的利润：+2×($46 - $32) = $14 x 2 = $28

卖出一份执行价为$37的看跌期权的利润： -($37 - $32) = -$5

综合，将到期时组合的利润与组合的期权费相加可以得到：-$21 + $28 -$5 + $1 = $3 。