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Spencer · 2022年11月19日

sell call with 1.68 strike可以降低成本

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Aron1.6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。

老师请问,为何sell call with 1.68 strike可以降低成本?

1 个答案
已采纳答案

Hertz_品职助教 · 2022年11月20日

嗨,爱思考的PZer你好:


同学你好

问题:为何sell call with 1.68 strike可以降低成本?

回答:首先我们为了降低成本,是需要short option的,来赚取一点期权费嘛,这一点没有问题哈;

然后为什么是执行价为1.68的看涨期权呢?卖出一个执行价格更高的会不会更好呢,因为执行价格更高更不可能被行权,作为卖出的一方才更安全些。

这是因为对于看涨期权来说,执行价格越低才是越贵的,所以卖出执行价格1.68的看涨期权比卖出执行价格更高的看涨期权收到的期权费是更高的,所以能更好的降低成本。

而且卖出的1.68的期权,即便GBP涨到了1.68,并且对手方行权了,作为卖出期权的一方也没有损失,因为此时不论对手方行权与否,因为是ATM,都没有损失,而且这种情况下由于买期权的一方行权没有收益,一般也不会行权。

同学可能想,万一GBP涨的超过了1.68呢,那我们卖出这个看涨期权不就亏了嘛,注意我们这里是根据基金经理的预测买卖期权,如果GBP真的涨的超过了1.68,发生的亏损是因为基金经理能力不行,我们做题就是假设基金经理预测的是对的哈。

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