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良爱洳 · 2020年09月06日

问一道题:NO.PZ2017121101000028 [ CFA III ]

问题如下:

Stanley Kumar Singh, CFA, is the risk manager at SKS Asset Management. He works with individual clients to manage their investment portfolios.

A third client, Wanda Tills, does not currently own Walnut shares and has asked Singh to explain the profit potential of three strategies using options in Walnut: a long straddle, a bull call spread, and a bear put spread. In addition, Tills asks Singh to explain the gamma of a call option. In response, Singh prepares a memo to be shared with Tills that provides a discussion of gamma and presents his analysis on three option strategies:

Strategy 1: A long straddle position at the $67.50 strike option

Strategy 2: A bull call spread using the $65 and $70 strike options

Strategy 3: A bear put spread using the $65 and $70 strike options

Based on Exhibit 2, and assuming the market price of Walnut’s shares at expiration is $66, the profit or loss, on a per share basis, from investing in Strategy 3, is closest to:

选项:

A.

$2.36.

B.

$1.64.

C.

$2.64.

解释:

B is correct.

The bear put spread consists of buying a put option with a high strike price ($70) and selling another put option with a lower strike price ($65). The market price for the $70 strike put option is $3.70, and the market price for the $65 strike put option is $1.34 per share. Thus, the initial net cost of the bear spread position is $3.70 – $1.34 = $2.36 per share. If Walnut shares are $66 at expiration, the $70 strike put option is in the money by $4.00, and the short position in the $65 strike put expires worthless. After deducting the cost of $2.36 to initiate the bear spread position, the net profit is $1.64 per contract.

为什么不是0.64?当前市场价格是66 而投资者卖出了一个执行价格为65的put option 因此这里还有1元的loss 1.64-1=0.64
1 个答案
已采纳答案

xiaowan_品职助教 · 2020年09月09日

嗨,爱思考的PZer你好:


同学你好,

strategy 3 是一个bear put spread,是由两个put组成的期权策略,即买执行价格为70的put,同时卖执行价格为65的put。

期初现金流是-3.7+1.34=-2.36;到期市场价格66,执行价格为70的期权执行,获利4,总的损益为4-2.36 = 1.64


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