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Louis · 2021年10月23日

请问collar本质上还是一个bullish的策略对吗

NO.PZ2017121101000025

问题如下:

Stanley Kumar Singh, CFA, is the risk manager at SKS Asset Management. He works with individual clients to manage their investment portfolios.

Another client, Nigel French, is a trader who does not currently own shares of Walnut Corporation. French has told Singh that he believes that Walnut shares will experience a large move in price after the upcoming quarterly earnings release in two weeks. French also tells Singh, however, that he is unsure which direction the stock will move. French asks Singh to recommend an option strategy that would allow him to profit should the share price move in either direction.

The option strategy that Singh is most likely to recommend to French is a:

选项:

A.

straddle.

B.

bull spread.

C.

collar.

解释:

A is correct.

The long straddle strategy is based on expectations of volatility in the underlying stock being higher than the market consensus. The straddle strategy consists of simultaneously buying a call option and a put option at the same strike price. Singh could recommend that French buy a straddle using near at-the- money options ($67.50 strike). This allows French to profit should the Walnut stock price experience a large move in either direction after the earnings release.

如题谢谢

1 个答案
已采纳答案

Hertz_品职助教 · 2021年10月24日

嗨,努力学习的PZer你好:


同学你好~

对的。

1. Collar = long stock + long put + short call。

collar策略的核心头寸是long stock,long put是为了买保护,short call是为了降低成本,所以该策略整体是bullish的;

另外根据collar的图形的走向也可以得到bullish这一点。

2. 本题考察的是straddle策略,即预测波动率上涨的时候,可以long straddle哈

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