NO.PZ2018113001000071
问题如下：
Adonis who owns ABC shares, is now worriedabout the stock's decline, so he wanted to build a protective put strategy. Thestock is currently trading at $38 a share, a put option with strike price of $33is sold for $1.2.
Calculate the maximum loss and breakeven price for this strategy:
选项：
A. maximum loss ：4.2,breakeven price 39.2
B. maximum loss ：1.8,breakeven price 39.2
C. maximum loss ：4.2,breakeven price 36.8
解释：
A is correct
中文解析：
本题考察的是protective put策略。
计算最大损失，带入公式 Maximum loss= S0 − X + p0 = $38 − $35 +$1.2 = $4.2.
计算均衡点，带入公式Breakeven price = S0 + p0 = $38 + $1.2=$39.2.
如题目所述，max loss是-6.2，breakeven是对的。
