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Anna · 2022年05月11日

sell call at 1.68 strike到期是否需要交割

  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。

老师您好，对C选项有疑问：at expiration时， short call with 1.68 strike 是否需要交割？为什么要选需要交割的1.68 strike，而不选不会交割、净收期权费的1.72strike？谢谢。


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Hertz_品职助教 · 2022年05月11日

嗨，从没放弃的小努力你好：


同学你好

1.     问题1：at expiration时， short call with 1.68 strike 是否需要交割？

因为我们预测GBP最高涨到1.68，所以到期的时候如果没有涨到1.68，毫无疑问，long方不会行权，short 方白白获得一个期权费；

如果涨到了1.68，理论上对于long 方来说行不行权都一样的，行权是按照1.68买GBP，不行权在现货市场上也是按照1.68买GBP。对应的对于short方来说不论行不行权也都无所谓的。

2.     问题2：为什么要选需要交割的1.68 strike，而不选不会交割、净收期权费的1.72strike？

因为对于call来说，执行价格越低期权费越高，作为卖出call的一方，获得的期权费也就越多。况且即便GBP涨到了1.68，long 方行权也没有损失，所以综合考虑还是卖执行价为1.68的合算。

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努力的时光都是限量版，加油！

pzqa31 · 2023年07月19日

嗨，从没放弃的小努力你好：


因为是short call是为了获得期权费，所以当然是要选一个期权费高的啦。预计增值幅度最多就是5%，也就是涨到1.68，long 方行权也没有损失。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pepperhyp · 2023年07月19日

减少成本一般不是short otm call嘛？这样便宜，所以为啥不用1.72呢？

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