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natalie2003 · 2021年05月09日

increasing his GBP exposure in line with his forecast的意思

  1. CFA III
  2. Asset Allocation

NO.PZ2018111501000019

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

increasing his GBP exposure in line with his forecast的意思难道不是可以承受1.68的值么……在此之上才需要Hegde,我是这么理解的。

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2 个答案

Hertz_品职助教 · 2022年02月14日

嗨，爱思考的PZer你好：


@罗小惠

同学你好

主要是考虑两方面哈

1.     对于call option来说，执行价格越低，期权费越贵（因为call option是有权以执行价格买入标的股票，执行价格越低，说明越是可以以较低的价格来购买标的股票，对于买期权的一方越有利。越有利的期权买的时候就应该越贵，即对应的期权费应该是越贵），因此先不用考虑其他因素的话，对于执行价格为1.68和执行价格为1.72的call option，肯定是卖出执行价格为1.68的call，咱们可以拿到的期权费多。

2.     另外要考虑的因素是预测汇率只能涨到1.68（具体在解析中有哈），咱们不管他预测的准还是不准，咱们需要做的是依据他的预测选策略，既然最多涨到1.68，所以卖出执行价格为1.68和执行价格1.72的期权都无所谓，因为都涨不到1.72，涨不过1.68嘛。

3.     然后1和2综合考虑，就是sell 1.68的call了

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Hertz_品职助教 · 2021年05月09日

嗨，爱思考的PZer你好：


同学你好~

（1）increasing his GBP exposure in line with his forecast的意思是：Aron想根据他的预期来增加GBP的敞口，他的预期是GBP将会升值5%。因为现在USD/GBP=1.6,增加5%为1.68。

（2）根据题干的意思他在做一个“tactical ”的管理，想要通过这个GBP的升值获得一点收益。所以他预期GBP升值，就会long call on GBP，且行权及为1.6，这样的话只要GBP升值一点他就会获利。

（3）题干又说了他想“minimizing the initial cash outlay.”，所以他需要sell一个option,因为他预期GBP就涨到1.68，之后不会往上涨了，所以就卖出一个行权价为1.68的call来获取期权费以降低成本。

（所以说他是想基于GBP的5%的升值获得一点收益，并没有谈到hedge的问题哈）

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加油吧，让我们一起遇见更好的自己！

罗小惠🌟 · 2022年02月14日

还是不太明白在选择sell option来赚期权费是为什么是选择1.68而不是1.70. 还想请教一下助教

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