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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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