NO.PZ2018113001000021
问题如下:
John does not have any XYZ stocks. He believes that the price will be volatile in one week because of quarterly earnings release but he is not sure about the direction of the movement. Which strategy would enable John to profit from upside or downside moves?
选项:
A.box spread
B.straddle
C.collar
解释:
B is correct.
考点:straddle
解析:
当投资者预测价格变化幅度很大且不确定方向的时候,可以Long call + long put,这样不管价格是朝哪个方向变动,都可以获益。这个策略就是straddle,它的缺点就是成本很高,需要long两份的期权,所以只有当价格变化幅度很大的时候才能cover成本,产生收益。
A不对,box spread主要是帮助投资者分辨option是不是合理定价的,如果是合理定价,则产生无风险收益,如果不是合理定价,就可以套利,该策略与此题无关。
C不对,collar是损失和收益都有限的策略,且这种策略是拥有基础资产的,不满足投资者的要求。
能说下box spread吗?