NO.PZ202212300200003401
问题如下:
Given the information in Exhibit 1, the minimum cost of implementing a
bullish seagull strategy, using strike prices of $490 and $530, is closest to:
选项:
A.
$16.83
B.
$22.47
C.
$23.63
解释:
Correct Answer: A
A bullish seagull
strategy involves a bull call spread (debit call spread) and the sale of an OTM
put.
The three positions involve:
Buying an in-the-money
(ITM) call at strike $490 by paying a premium $23.05
Selling an OTM call at
strike $530 by receiving a premium $3.40
Selling an OTM put at
strike $490 by receiving a premium $2.82
Cost of bullish seagull
strategy is $23.05 – $3.40 – $2.82 = $16.83
题目中从哪可以判断我应该用bull c pread+short p,还是bull p spread+short c