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Alex · 2020年12月20日

问一道题:NO.PZ2017121101000022

问题如下:

Aline Nuñes, a junior analyst, works in the derivatives research division of an international securities firm. Nuñes’s supervisor, Cátia Pereira, asks her to conduct an analysis of various option trading strategies relating to shares of three companies: IZD, QWY, and XDF. On 1 February, Nuñes gathers selected option premium data on the companies, presented in Exhibit 1.

Nuñes considers two option strategies relating to XDF:

Strategy 7: Writing both the April €75.00 strike call option and the April €75.00 strike put option on XDF

Strategy 8: Writing the February €80.00 strike call option and buying the December €80.00 strike call option on XDF

Based on Exhibit 1, the best explanation for Nuñes to implement Strategy 8 would be that, between the February and December expiration dates, she expects the share price of XDF to:

选项:

A.

decrease.

B.

remain unchanged.

C.

increase.

解释:

C is correct.

Nuñes would implement Strategy 8, which is a long calendar spread, if she expects the XDF share price to increase between the February and December expiration dates. This strategy provides a benefit from the February short call premium to partially offset the cost of the December long call option. Nuñes likely expects the XDF share price to remain relatively flat between the current price €74.98 and €80 until the February call option expires, after which time she expects the share price to increase above €80. If such expectations come to fruition, the February call would expire worthless and Nuñes would realize gains on the December call option.

和老师请教一下:


一般说到option,比如说我long一个call,默认行权日期是什么时候呢?

如果我现在long call,是不是默认行权日在未来,然后现在到未来期间股价涨了我就有收益?


而这个日历option,如题说的2月一个call,默认就是2月行权,也就是2月以前股价变化影响现在的收益?

1 个答案
已采纳答案

xiaowan_品职助教 · 2020年12月21日

嗨,努力学习的PZer你好:


同学你好,

每一个option的合约中会规定其具体的到期日,在到期日决定是否行权。如果是long call,到期日市场价格高于行权价,那么行权就有收益。

题目中的calendar spread是卖一个2月到期的call,同时买一个12月到期的call。所以他希望的应该是从现在到2月份,价格都不会上涨,2月到期的call就不会行权,这样可以净赚期权费,而2月行权日过后,他会希望标的资产价格上涨,因为12月到期的call可以盈利。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!