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wuzx · 2022年03月06日

麻烦老师看下解题思路对吗

NO.PZ2016082402000034

问题如下:

According to an in-house research report, it is expected that USDJPY (quoted as JPY/USD) will trade near 97 at the end of March. Frankie Shiller, the investment director of a house fund, decides to use an option strategy to capture this opportunity. The current level of the USDJPY exchange rate is 97 on February 28. Accordingly, which of the following strategies would be the most appropriate for the largest profit while the potential loss is limited?

选项:

A.

Long a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date

B.

Long a call option on USDJPY with strike price of USDJPY 97 and short a call option on USDJPY with strike price of USDJPY 99 and the same expiration date

C.

Short a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date

D.

Long a call option with strike price of USDJPY 96, long a call option with strike price of USDJPY 98, and sell two call options with strike price of USDJPY 97, all of them with the same expiration date

解释:

ANSWER: D

The best strategy among these is a long butterfly, which benefits if the spot stays at the current level. Answer A is a long straddle, which is incorrect because this will lose money if the spot rate does not move. Answer B is a bull spread, which is incorrect because it assumes the spot price will go up. Answer C is the same as a short spot position, which is also incorrect.

当前在97,一个月后还是97,说明想赌波动的,所以选蝶式期权。

1 个答案

DD仔_品职助教 · 2022年03月07日

嗨,从没放弃的小努力你好:


同学你好,

不是想赌波动,而是波动小是一个现象。

当前97,一个月后还是97附近,所以说明波动小,只有butterfly是波动小的时候赚钱的策略。

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努力的时光都是限量版,加油!

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NO.PZ2016082402000034问题如下 Accorng to an in-house researreport, it is expectethUSPY (quoteJPY/US will tra ne97 the enof March. Frankie Shiller, the investment rector of a house fun cis to use option strategy to capture this opportunity. The current level of the USPY exchange rate is 97 on February 28. Accorngly, whiof the following strategies woulthe most appropriate for the largest profit while the potentiloss is limite Long a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option on USPY with strike priof USPY 97 and short a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: D The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. 为什么波动小用butterfly,butterfly不应该在短中长三个期限上做文章吗?

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