老师可以画图看一下吗

问题如下：

Anneke Ngoc is an analyst who works for an international bank, where she advises high-net-worth clients on option strategies. Ngoc prepares for a meeting with a US-based client, Mani Ahlim.

Ngoc notes that Ahlim recently inherited an account containing a large Brazilian real (BRL) cash balance. Ahlim intends to use the inherited funds to purchase a vacation home in the United States with an expected purchase price of US$750,000 in six months. Ahlim is concerned that the Brazilian real will weaken against the US dollar over the next six months. Ngoc considers potential hedge strategies to reduce the risk of a possible adverse currency movement over this time period.

Ahlim holds shares of Pselftarô Ltd. (PSÔL), which has a current share price of $37.41. Ahlim is bullish on PSÔL in the long term. He would like to add to his long position but is concerned about a moderate price decline after the quarterly earnings announcement next month, in April. Ngoc recommends a protective put position with a strike price of $35 using May options and a $40/$50 bull call spread using December options. Ngoc gathers selected PSÔL option prices for May and December, which are presented in Exhibit 1.

Ahlim also expresses interest in trading options on India’s NIFTY 50 (National Stock Exchange Fifty) Index. Ngoc gathers selected one-month option prices and implied volatility data, which are presented in Exhibit 2. India’s NIFTY 50 Index is currently trading at a level of 11,610.

Ngoc reviews a research report that includes a one-month forecast of the NIFTY 50 Index. The report’s conclusions are presented in Exhibit 3.

Based on these conclusions, Ngoc considers various NIFTY 50 Index option strategies for Ahlim.

Based on Exhibit 1, the breakeven price per share of Ngoc’s recommended PSÔL protective put position is:

选项：

$35.60.

$36.81.

$39.22.

解释：

C is correct.

Ngoc recommends a protective put position with a strike price of $35 using May options. The breakeven price per share on the protective put is calculated as

Breakeven price per share of protective put = S0 + p0.

Breakeven price per share of protective put = $37.41 + $1.81 =$39.22.

In summary, Ahlim would need PSÔL’s share price to rise by the price of the put option ($1.81) from the current price of $37.41 to reach the breakeven share price—the price at which the gain from the increase in the value of the stock offsets the purchase price of the put option.

中文解析：

本题考察的是计算protective put策略的均衡点。

计算均衡点，带入公式Breakeven price = S₀ + p₀ = $37.41 + $1.81 =$39.22.