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坏呼呼嘿嘿 · 2023年07月22日

请老师讲一下这几个分别是怎么构建的

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202212300200004902

问题如下：

Explain why each of the following option strategies is less appropriate than a straddle, given Jacob’s beliefs:

i. bull spread

ii. short butterfly spread

iii. zero cost collar

解释：

Correct Answer:

i. A bull spread would lose money if the U.K. loses the bid and the share price falls sharply, and would make only limited profits (compared to a straddle) if the U.K. wins the bid and the share price appreciates sharply.

ii. A short butterfly spread would make only limited gains when the share price either increases or decreases beyond the breakeven points.

iii. A zero cost collar would lose a limited amount of money if the U.K. loses the bid, and would make only a limited profit (compared to a straddle) if the U.K. wins the bid.

请老师讲一下这几个分别是怎么构建的

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1 个答案

pzqa31 · 2023年07月23日

嗨，爱思考的PZer你好：


1.bull spread

Bull spread是可以用call 和put来构建的，而且不论用call还是put来构建，其图形都是一样的。

另外稍微提示一下，bull spread多用call来构建，bear spread多用put来构建，所以：

对于bull spread：如果没有说明是用call或者put来构建的，那么可以默认call来构建。如果是选择题，也优先使用call来计算，如果发现使用call找不到答案，则再考虑用put。


2.short butterfly spread

Butterfly Spread Using Calls = long call at XL + long call at XH +short two calls at XM

Butterfly Spread Using Puts = long put at XL + long put at XH +short two puts at XM

short butterfly 就是将上面的反过来即可。


butterfly spread蝶式策略现在已经不在我们的考纲中了，所以咱们的讲义中也是没有涉及该策略的。但因为该策略之前是属于考察范围内的，所以某些题目可能还会涉及，但是现在的考试是不会有了。


3.zero cost collar

collar有long put short call 和long call short put 两种。具体用哪种头寸取决于标的物是什么。

如果标的物是股票，一般担心股票价格下跌，所以用long put short call，股票价格下降有收益。

如果标的物是利率，对于borrower来说，担心利率上升，所以用long call short put，利率上升有收益。

zero cost collar就是put 和call的option premium相同。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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