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moon · 2022年03月03日

问题

  1. CFA III
  2. Derivative

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。

现在汇率是s0=1.6USD/GBP，预测GBP会升值


那为什么不long OTM GBP，比如x=1.68，这样long方支付的call option更便宜，而且未来汇率本身也会涨到1.68

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1 个答案

Hertz_品职助教 · 2022年03月04日

嗨，努力学习的PZer你好：


同学你好

问题：那为什么不long OTM GBP，比如x=1.68，这样long方支付的call option更便宜，而且未来汇率本身也会涨到1.68

回答：

同学你说的应该是为什么不long OTM call吧，也就是为什么不long X=1.68的call。

这样，首先我们为什么要long call呢？是不是预测汇率会涨，这样的话我们就可以按照指向价格买一个高于执行价格的东西了，我们就赚了。现在我们预测汇率只能涨到1.68，那么我们long 1.68的call会发生什么？long了这个call只有汇率超过1.68的时候我们才会行权，但是题目说了就只能涨到1.68，就是说如果我们买了一个行权价位1.68的call，期权费是便宜了，但是永远行不了权，就是白白支付了期权费，没有任何作用的。

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NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。 1.72 更难实现，不是应该卖这个吗？

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