NO.PZ2017121101000015
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 the following option strategies relating to IZD:
Strategy 1: Constructing a synthetic long put position in IZD
Strategy 2: Buying 100 shares of IZD and writing the April €95.00 strike call option on IZD
Strategy 3: Implementing a covered call position in IZD using the April €97.50 strike option
Based on Exhibit 1, Nuñes should expect Strategy 2 to be least profitable if the share price of IZD at option expiration is:
选项：
A.less than €91.26.
B.between €91.26 and €95.00.
C.more than €95.00.
解释：
A is correct.
Strategy 2 is a covered call, which is a combination of a long position in shares and a short call option. The breakeven point of Strategy 2 is €91.26, which represents the price per share of €93.93 minus the call premium received of €2.67 per share (S0 – C0). So, at any share price less than €91.26 at option expiration, Strategy 2 incurs a loss. If the share price of IZD at option expiration is greater than €91.26, Strategy 2 generates a gain.
辅导员，请问这类题，能否直接画个short put的图，然后根据图形看出最大loss肯定是在short put 和 横坐标相交的左边，然后直接选A（根据这三个选择特点，可以不计算具体数字）？
