NO.PZ2021061002000059
问题如下：
Morgan's
family office currently owns 50,000 QWR shares. Morgan wants to reduce QWR's
stock position, but is delaying a cash sale for three months for tax reasons.
Which of the
following derivative contracts could the Morgan's chief investment officer use that would be
best suited to reduce exposure to a decline in QWR's share price over the next three
months?
选项：
A.A short futures position in QWR stock that
settles in three months
A long futures position on QWR stock that settles
in three months
A long call position on QWR stock that expires in
three months
解释：
中文解析
本题问的是下列哪种衍生品可以用来降低Morgan的股票敞口，从而来降低风险敞口。
A选项的short futures可以实现在合约到期的时候，按照合约约定的价格将标的资产交割出去，从而可以降低股票的风险敞口，是正确的。
对应的B选项：long futures会增加股票头寸，从而增加了风险敞口，不能选。
C选项，long call的一方在股价上涨高于执行价的时候，会行权按照执行价格买入股票，会增加股票头寸，不能选。
首先题目中的这个人已经拥有了股票，自身已经是long position(收益曲线对应 long forward)，然后他想降低风险敞口，就是怕万一股票跌了亏得太厉害。那么A选项 short foward和 C选项 long call是不是都可以在他跌的时候止损呢？比如说long call ,在跌的时候能够帮助他亏得比long forward 少一些，涨的时候一样能赚。
