NO.PZ202208100100000103
问题如下：
Based on Patel’s outlook for Company B and using the information in Exhibit 2, the most appropriate strategy that Lyons could recommend to Patel is:
选项：
A.buy the June 2019 call and buy the June 2019 put. B.buy the June 2019 put and sell the November 2019 put. C.buy the November 2019 put and sell the June 2019 put.解释：
Solution
C is correct. A long calendar spread can be constructed by buying the distant November 2019 put and selling the near-term June 2019 put. A long calendar spread using puts is appropriate if the expectation is for a stable market in the near term with a long-term bearish outlook. The purchase of the June 2019 call and put is a straddle. A straddle is directionally neutral—that is, neither bullish nor bearish—and is, therefore, inappropriate. The sale of the distant November 2019 put and purchase of the near-term June 2019 put is a short calendar spread. The short calendar spread is appropriate if the expectation is for a big move in the underlying stock, not if the outlook for shares is stable.
A is incorrect. The purchase of the June 2019 call and put is a straddle. A straddle is directionally neutral—that is, neither bullish or bearish—and is, therefore, inappropriate.
B is incorrect. The sale of the distant November 2019 put and purchase of the near-term June 2019 put is a short calendar spread. The short calendar spread is appropriate if the expectation is for a big move in the underlying stock, not if the outlook for shares is stable.
老师，这题说要hedge this short position，那应该是要用看涨期权，long call option？为什么还要用 put calendar?put calendar也还是看跌，只是长短期波动不一样？
