NO.PZ2019052801000126
问题如下:
An investor has established a bearish option strategy using the three same maturity put options. He buys two $46 puts at the cost of $5 each, and sells one $53 put for $8 and sells one $37 put for $3. If the underlying is trading at $32 at expiration, what is the final profit of the strategy?
选项:
A.$0 .
B.$3 .
C.$4 .
D.$5 .
解释:
B is correct.
考点:Spread Strategies
解析:这个组合的期权费收入(成本)总计为 (+8 -2×5 +3) = $1
卖出一份执行价为$53的看跌期权的利润: -($53 - $32) = -$21
买入两份执行价为$46 的看跌期权的利润:+2×($46 - $32) = $14 x 2 = $28
卖出一份执行价为$37的看跌期权的利润: -($37 - $32) = -$5
综合,将到期时组合的利润与组合的期权费相加可以得到:-$21 + $28 -$5 + $1 = $3 。
underlying 是32,但是46,53,37都比put的价格要高,应该不行权才对吧?
请问为啥不是直接期权费相加就是总成本呢?