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mino酱是个小破货 · 2023年10月21日

请老师讲下为啥不选A，long otm call成本不更低吗？卖一个OTM call，不是有更多向上可能吗

  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。

如问题说述，请老师解答，谢谢

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1 个答案

pzqa31 · 2023年10月21日

嗨，努力学习的PZer你好：


首先我们为了降低成本，是需要short option的，来赚取一点期权费嘛，这一点没有问题哈；

然后为什么是执行价为1.68的看涨期权呢？卖出一个执行价格更高的会不会更好呢，因为执行价格更高更不可能被行权，作为卖出的一方才更安全些。

这是因为对于看涨期权来说，执行价格越低才是越贵的，所以卖出执行价格1.68的看涨期权比卖出执行价格更高的看涨期权收到的期权费是更高的，所以能更好的降低成本。

而且卖出的1.68的期权，即便GBP涨到了1.68，并且对手方行权了，作为卖出期权的一方也没有损失，因为此时不论对手方行权与否，因为是ATM，都没有损失，而且这种情况下由于买期权的一方行权没有收益，一般也不会行权。

同学可能想，万一GBP涨的超过了1.68呢，那我们卖出这个看涨期权不就亏了嘛，注意我们这里是根据基金经理的预测买卖期权，如果GBP真的涨的超过了1.68，发生的亏损是因为基金经理能力不行，我们做题就是假设基金经理预测的是对的哈。

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NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。 1.72 更难实现，不是应该卖这个吗？

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