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徐威廉 · 2024年04月11日

为什么波动小用butterfly，butterfly不应该在短中长三个期限上做文章吗？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000034

问题如下：

According to an in-house research report, it is expected that USDJPY (quoted as JPY/USD) will trade near 97 at the end of March. Frankie Shiller, the investment director of a house fund, decides to use an option strategy to capture this opportunity. The current level of the USDJPY exchange rate is 97 on February 28. Accordingly, which of the following strategies would be the most appropriate for the largest profit while the potential loss is limited?

选项：

A.

Long a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date

B.

Long a call option on USDJPY with strike price of USDJPY 97 and short a call option on USDJPY with strike price of USDJPY 99 and the same expiration date

C.

Short a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date

D.

Long a call option with strike price of USDJPY 96, long a call option with strike price of USDJPY 98, and sell two call options with strike price of USDJPY 97, all of them with the same expiration date

解释：

ANSWER: D

The best strategy among these is a long butterfly, which benefits if the spot stays at the current level. Answer A is a long straddle, which is incorrect because this will lose money if the spot rate does not move. Answer B is a bull spread, which is incorrect because it assumes the spot price will go up. Answer C is the same as a short spot position, which is also incorrect.

为什么波动小用butterfly，butterfly不应该在短中长三个期限上做文章吗？

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已采纳答案

pzqa39 · 2024年04月11日

嗨，努力学习的PZer你好：


使用蝶式价差策略（Butterfly Spread）的主要原因是它是一种针对市场波动较小情景下的期权交易策略。以下是几个关键理由：

  1. 有限风险与有限收益： 蝶式价差构建时，投资者同时买入一个较低执行价和一个较高执行价的期权，同时卖出两个中间执行价的期权。这种组合结构使得蝶式价差具有清晰的损益图，呈现出双肩顶（或底）形状，最高点（或最低点）即为最大潜在盈利，两端的尖峰则代表最大可能亏损。在市场波动较小的情况下，蝶式价差的这种特性尤其吸引人，因为它为投资者提供了在一定价格区间内（通常围绕中间执行价XM）获得稳定收益的机会，同时限制了超出该区间时的潜在损失。
  2. 对冲窄幅震荡行情： 当市场预期股票价格将在一段时间内保持相对稳定，即波动幅度较小，且大致围绕某个中心价位波动时，蝶式价差能够有效地对冲这种窄幅震荡行情。策略中的买入期权为投资者提供了在价格小幅上涨或下跌时的盈利机会，而卖出的中间执行价期权则降低了策略成本，并在价格位于中间区域时贡献盈利。只要股票价格在设定的区间内波动，无论方向如何，蝶式价差都能实现正向收益。
  3. 低成本入场： 蝶式价差策略通常是一种净成本较低（甚至有时为零成本或负成本）的策略，因为卖出的期权数量多于买入的期权。这种成本优势使得投资者在市场波动较小的情况下，能够在承担有限风险的前提下参与市场，而不必投入大量资金购买单个期权或建立其他成本较高的策略。
  4. 降低时间价值衰减影响： 在低波动环境中，期权的时间价值衰减（theta decay）对买入期权持有者来说是一个不利因素。蝶式价差通过卖出期权来抵消部分时间价值损耗，特别是卖出的中间执行价期权，它们的时间价值衰减通常比买入的期权更快。这样一来，即使市场波动不大，策略也能从时间价值衰减中获益，有助于在期权到期前锁定部分利润。
  5. 管理预期与控制风险： 使用蝶式价差，投资者可以明确表达对市场波动范围的预期，即认为股票价格将在一个相对狭窄的区间内波动。这种策略有助于投资者在保持对市场看法的同时，严格控制风险，避免因市场意外大幅波动而遭受过大损失。

蝶式价差策略因其具有有限风险、有限收益、低成本、对冲窄幅震荡行情、降低时间价值衰减影响以及精确管理预期与风险等特性，非常适合在市场预期波动较小的情况下使用。它使投资者能够在市场平静时期捕捉微小价格变动带来的收益，同时保护自己免受大幅价格波动的冲击。


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NO.PZ2016082402000034问题如下 Accorng to an in-house researreport, it is expectethUSPY (quoteJPY/US will tra ne97 the enof March. Frankie Shiller, the investment rector of a house fun cis to use option strategy to capture this opportunity. The current level of the USPY exchange rate is 97 on February 28. Accorngly, whiof the following strategies woulthe most appropriate for the largest profit while the potentiloss is limite Long a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option on USPY with strike priof USPY 97 and short a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: D The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. C可以把图画出来吗？

2023-03-10 09:46 1 · 回答

NO.PZ2016082402000034 Long a call option on USPY with strike priof USPY 97 anshort a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. 当前在97，一个月后还是97，说明想赌波动的，所以选蝶式期权。

2022-03-06 20:35 1 · 回答

下面的回答有人說波動小時收益高，我知道這是butterfly的特性 但是從題目中哪裏可以知道波動小。

2019-11-09 20:29 1 · 回答

     关于C的我有疑问-C+P 的头寸并且有着相同的执行价格，我也没有找到其他的bon者stock做成组合，那么这样的头寸就变成了一条斜线是么，short spot position是什么意思呢，我尝试着计算了profit是，X=97，Profit=C-P, X 97时，Profit=97+C-P-St

2019-10-19 13:17 1 · 回答