short put的损失是有上限的，而short call的损失无上限，stock价格波动大，short call可能会亏很多

问题如下：

An asset manager owns non-dividend-paying stock in XYZ Corporation, currently priced (S₀) at $50 a share. The asset manager is considering selling shares at a forward price (F₀(T)) of $54 per share in six months at a risk-free rate of 2%.

Now consider buying a put option or selling a call option with an exercise price (X) equal to the forward price (F₀(T)) as an alternative to a forward stock sale.

Based on the above information, answer the question：

In comparing a call option strategy sold at a forward price to a put option strategy bought at a forward price, the asset manager focused on how an immediate increase in the volatility of the underlying XYZ stock might affect the option value. Which of the following statements is most accurate about volatility changes and their impact on the strategy?

选项：

A.

Since changes in the volatility of the underlying shares have the opposite effect on put versus call options, this change will increase the attractiveness of the put strategy versus the call strategy.

B.

An increase in the volatility of the underlying shares will increase both the cost of the purchased put strategy and the premium received on the sold call strategy, so this change will make the call strategy more attractive than the put strategy.

C.

An increase in the volatility of the underlying shares has the same effect on call and put option values, so this change has no effect on the strategy decision.

解释：

中文解析

本题考察的是波动率volatility对期权价格的影响。

不论看涨还是看跌期权，其价格与波动率都是呈正相关关系。因此当波动率增加的时候，看涨和看跌期权的价格都上升。

所以对于long put的策略来说，意味着支付的期权费要更多，对于short call策略来说意味着收到的期权费更多。

所以这种情况下，short call策略的优势更明显。选B。