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.
$2.41.
$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？
