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Zwwei · 2021年10月04日

为何不可以买价外的期权，然后write更加外的期权来节省成本呢？

  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。

A为何不可？ 为何不可以买价外的期权，然后write更加外的期权来节省成本呢？
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已采纳答案

pzqa015 · 2021年10月07日

嗨，爱思考的PZer你好：


题目很关键一句话是A同学基于自己short term tactical outlook来调整GBP仓位，所以，他的预期对于这道题选对答案很关键。

A认为GBP会升值5% over the next 6 months，既然他认为汇率最多涨到1.68，那么如果买1.68的call，虽然花的期权费少，但并没有享受到期权带来的好处，所以long 1.68的call是不合适的。

同时，short 1.72 call赚到的期权费是低于short 1.68 call赚到的期权费的。

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罗小惠🌟 · 2022年02月14日

请问为什么short 1.72 call赚到的期权费是低于short 1.68 call赚到的期权费的？

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

对于call option来说，执行价格越低，期权费越贵。

原因：call option是有权以执行价格买入标的股票，因此执行价格越低，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。

那么，对买方越有利的期权买的时候卖方就应该多花钱才行即对应的期权费就越高了。

所以说卖出1.72的call收到的期权费要比卖出1.68的call收到的期权费要少哈

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