NO.PZ2018113001000057
问题如下：
Cornell is bearish on
shares of Company WXZ. Information for Company WXZ is presented in Exhibit 1.
Exhibit 1 Option Data for
Company WXZ, 20 March 2021, Current Share Price = $109.01
According to the above information and exhibit 1 data. the most
appropriate strategy that Fitch could recommend to Cornell is:
Fitch confirms Cornell’s bearish outlook and states, “We expect the stock to remain stable in
the near term, but in the long term, the outlook is bearish.” Cornell asks Fitch to provide recommendations on an appropriate option strategy.
选项：
A.
buy the June 2021 put and sell the November 2021 put
B.
buy the June 2021 call and buy the June 2021 put.
C.
buy the November 2021 put and sell the June 2021 put
解释：
C is correct
本题考察的是calendar spread。
Calendar spread策略的构建使用的是两个类型相同，行权价格相同，标的相同，只有到期时间不同的期权。
现在预测股价当前是平稳的，长期是下降的，即短期平稳长期价格有波动，因此使用的是long calendar策略，即买入一个长期限的期权，卖出一个短期限的期权（相反，如果认为短期波动大长期平稳，则构建short calendar策略，即买短期卖长期）；
又因为现在对市场的看法是bearish的，因此使用的是put option来构建（如果对市场看法是bullish的，则使用call option来构建）。
经过上面两步判断，最终我们需要采用的是short一个短期的put option，long一个长期的put option的策略，只有C选项正确。
长期波动变动较大，短期平稳，是要主动避免，所以需要买入长期期权避险吗？还是要卖出，区分不清楚
这道题因为bearish，我才想到long put选对的
麻烦老师指点，谢谢
