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moon · 2022年04月07日

怎么从题目看出来他是推荐用May option?

* 问题详情,请 查看题干

NO.PZ201601050100001602

问题如下:

Based on Exhibit 1, the maximum loss per share of Ngoc’s recommended PSÔL protective put position is:

选项:

A.

$0.60.

B.

$2.41.

C.

$4.22.

解释:

C is correct.

Ngoc recommends a protective put position with a strike price of $35 using May options. The maximum loss per share on the protective put is calculated as

Maximum loss per share of protective put = S0 − X + p0 .

Maximum loss per share of protective put = $37.41 − $35.00 +$1.81 = $4.22.

In summary, with the protective put in place, Ahlim is protected against losses below $35.00. Thus, taking into account the put option purchase price of $1.81, Ahlim’s maximum loss occurs at the share price of $33.19, resulting in a maximum loss of $4.22 per share (= $37.41 – $33.19).

中文解析:

本题考察的是protective put策略求最大损失。

计算最大损失,带入公式 Maximum loss= S0 − X + p0 = $37.41 − $35.00 +$1.81 = $4.22.

答案说“Ngoc recommends a protective put position with a strike price of $35 using May options. The maximum loss per share on the protective put is calculated as”


怎么从题目看出来他是推荐用May option?

1 个答案

Hertz_品职助教 · 2022年04月08日

嗨,努力学习的PZer你好:


同学你好

该小问的是protective put策略,之所以使用执行价格未35,到期日未5月份的合约是题干给到的信息哈。对应的题干信息如下图:

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虽然现在很辛苦,但努力过的感觉真的很好,加油!