NO.PZ2020021203000094
问题如下:
A trader creates a bear spread using put options with strike prices of USD 25 and USD 30 and the same time to maturity. The options cost USD 2 and USD 4.50 (respectively). Under what circumstances will the trade be profitable?
选项:
解释:
It costs USD 2.50 to set up the bear spread. If the asset price is between USD 27 .50 and USD 30, the payoff from the spread will be less than USD 2.50. If it is less than USD 27.50, the payoff will be between USD 2.50 and USD 5. Thus, the trade will be profitable if the price of the asset at maturity is less than USD 27.50.
助教你好,我按照李老师的方法写出以下东西,得出max gain是2.5,breakeven point是27.5,max loss是-2.5。
既然max gain是2.5,为什么解析这句【If it is less than USD 27.50, the payoff will be between USD 2.50 and USD 5】会有5?若他这话成立,那max gain应该是5才对呀,但这就跟式子推出来的不一致了。到底是哪儿错了?谢谢。