问题如下:
A manager would like to execute a collar strategy. The current price of a stock is $20, a put option with an exercise price of $15 is priced at $2.0 and a call option with an exercise price of $30 is priced at $2.0. If the price of underlying stock at the expiration is $35, the profit of this strategy is?
选项:
A. 15
B. 5
C. 10
解释:
C is correct.
考点:collar spread
解析:
对于基础资产为股票的头寸来说,投资者担心股票价格下跌,所以long put。
为了cover put的期权费,所以需要short call。
注意两个option的期权费是一样的,所以正好抵消,形成zero-cost collar。
其中call的执行价格应该高于put的执行价格。
所以collar的头寸是:long stock+long put+ short call
long call 应该是St-X呀,35-30,为什么是35-So?