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pepperhyp · 2023年07月19日

降低成本一般不是short otm call嘛？

  1. CFA III
  2. Derivative

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Aron在1.6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。

如题，为啥不是otm，选择了atm呢？

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1 个答案

pzqa31 · 2023年07月19日

嗨，爱思考的PZer你好：


这个地方可以这么想：asset portfolio是为了cover liability，也就是liab的每一笔现金流出，asset都要有一笔现金流入来cover，，Liability 的 call option 是对于公司来说long 了一个call option，所以我们为了抵消这个option，需要short call option。对于liab，callable bond中long call option相当于付期权费买这个option（本来bond可以卖的更贵，但callable卖的便宜，相当于发行人为了Long embeded call option支付给bond investor期权费），那么asset就应该收到一笔期权费，来cover负债中发行人long embeded call option所支付的期权费，所以，asset就应该用short option。

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