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徐威廉 · 2021年07月27日

用bear call还是bear put?

NO.PZ2017121101000020

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 reviews the following option strategies relating to QWY:

Strategy 4: Implementing a protective put position in QWY using the April €25.00 strike option

Strategy 5: Buying 100 shares of QWY, buying the April €24.00 strike put option, and writing the April €31.00 strike call option

Strategy 6: Implementing a bear spread in QWY using the April €25.00 and April €31.00 strike options

Based on Exhibit 1, the breakeven share price for Strategy 6 is closest to:

选项:

A.

€22.50.

B.

€28.50.

C.

€33.50.

解释:

B is correct.

Strategy 6 is a bear spread, which is a combination of a long put option and a short put option on the same underlying, where the long put has a higher strike price than the short put. In the case of Strategy 6, the April €31.00 put option would be purchased and the April €25.00 put option would be sold. The long put premium is €3.00 and the short put premium is €0.50, for a net cost of €2.50. The breakeven share price is €28.50, calculated as XH – (pH – pL) = €31.00 – (€3.00 – €0.50) = €28.50.

老师,这道题的确没有说使用bear call还是bear put,但是我观察了QWY随时间变化call premium下降,put premium上升,是不是说明市场对未来的预期是下降的,所以我们要用put头寸?
1 个答案
已采纳答案

Hertz_品职助教 · 2021年07月28日

嗨,努力学习的PZer你好:


同学你好~

你这个问题挺好的,是这样的哈:在构建bear spread的时候,一般用put来构建,即bear put spread;在构建bull spread的时候,一般用call来构建,即bull call spread。可以说是一种默认的构建方法,

因此在做题的时候,我们的处理原则是这样的:遇到bear spread首先按照put option来构建去解题;遇到bull spread,我们首先用call option来构建去解题。

比方说本题客观题这种情况,我们看到考察的是bear spread,就直接用put来计算就好。但是如果用put来计算发现选项没有对应的答案,这时候我们再使用call来构建,因为用call也是可以构建bear spread的,只是极少使用而已。

如果是主观题,就是没有选项自己来解答的情况下,如果题目没有特别说明是怎样构建的,直接就按照bear put和bull call来作答即可,题目有说明就按照题目要求来。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!