NO.PZ2016082402000031
问题如下:
An investor sells a June 2008 call of ABC Limited with a strike price of USD 45 for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD 40 for USD 5. What is the name of this strategy and the maximum profit and loss the investor could incur?
选项: Bear
spread, maximum loss USD 2, maximum profit USD 3
Bull spread, maximum loss unlimited, maximum profit USD 3
C.Bear spread, maximum loss USD 2, maximum profit unlimited
D.Bull spread, maximum loss USD 2, maximum profit USD 3
解释:
ANSWER: D
This position is graphed in Figure below. It benefits from an increase in the price between 40 and 45, so is a bull spread. The worst loss occurs below = 40, when none of the options is exercised and the net lost premium is . The maximum profit occurs above , when the two options are exercised, for a net profit of $5 minus the lost premium, which gives $3.
XH-XL+CH-CL = bull spread max Profit
45-40+5-3 = 7
老师,这题不该这么算吗?