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stuartyuan · 2023年11月02日

我还是不明白为什么这里要short 一个ATM的call?

  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。

我还是不明白为什么这里要short 一个ATM的call, 课上何老师讲为了cover 成本，short a call but it is a OTM call. 谢谢！

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2 个答案

pzqa35 · 2023年11月03日

嗨，从没放弃的小努力你好：


因为在这道题目中，投资者他自己对于未来的市场是有比较准确的判断的，所以从获利最多的角度来看的话，就是应该shortATM的call。关于什么情形去shortATM的call主要是看投资者对于未来的一个判断，如果无法准确判断，那么short OTM的call也能赚到一部分的期权费，只是没有ATM那么多而已。我们在做决策时，要站在投资者获利程度的这个角度来判断选项。

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加油吧，让我们一起遇见更好的自己！

pzqa35 · 2023年11月03日

嗨，从没放弃的小努力你好：


这道题是想要在增加GBP exposure来获得收益的同时降低风险。那么我们可以先计算出投资者认为的未来GBP的价格就是1.6*（1+5%）=1.68。也就是说GBP现在的价格是1.6，投资者预测它未来可以涨到1.68.

根据答案有两个选项，一个是买入1.60执行价的call，那么当未来真的涨价以后，就可以获得0.08的收益；另一个是买入1.68的call，那即使未来价格上涨他行不行权都无所谓，因为到时候市场价格也是1.68，所以payoff是0，但却损失了买入call的期权费。所以排除A选项，B和C都是能够在上涨中获利的。那么我们也知道，对于call option来说，执行价格越低，这表示我未来买入这个资产的价格就越低，那么它的期权费越贵。所以short1.68 call的期权费会更多，所以综上来说就选B，既能获得收益，同时又可以最大程度的降低成本。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

stuartyuan · 2023年11月03日

你好，那课上何老师讲的一般使用short OTM call or put 来赚一部分期权费 cover 成本，这里的OTM 又怎么理解呢？结合上面您的解释，什么情形要short ATM,什么时候short OTM.

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