NO.PZ2022123002000012
问题如下：
Peixaria indicates that his
research suggests that the USD/EUR currency pair will become more volatile over
the near term. He recommends that BC implement an options-based strategy using
USD/EUR options to profit from the expected increase in volatility.
In
regard to using USD/EUR options, Peixaria is least likely to recommend a
strategy to go:
选项：
A.
short an equal number of 15-delta puts and calls
B.
long an equal number of 25-delta puts and calls
C.
long an equal number of 50-delta puts and calls
解释：
Correct Answer: A
A short strangle
(short an equal number of 15-delta calls and puts) would only be appropriate if
volatility is expected to be low. The expectation is for increased volatility,
so the long strangles would be more appropriate. A strategy of taking long
positions on an equal number of 50-delta calls and 50-delta puts (i.e., a
50-delta straddle) is an appropriate way to take advantage of expected increased
volatility in the USD/EUR currency pair. However, 50-delta calls and puts are
at-the-money options and are more expensive than out-of-the-money options, such
as 25-delta calls and puts (a 25-delta strangle).
B is incorrect. A
long 25-delta strangle is appropriate if you expected increased volatility.
This strategy is a cheaper than the 50-delta strangle because 50-delta calls
and puts are at-the-money options and are more expensive than out-of-the-money
options such as 25-delta calls and puts (a 25-delta strangle).
C is incorrect. A
long 50-delta strangle (long 50-delta calls and puts) would be appropriate if
you expected high volatility.
如题，请问怎么知道25-delta是OTM option的？
