NO.PZ202212300200004902
问题如下：
Explain why each of the following option strategies is less appropriate than a straddle, given Jacob’s beliefs:
i. bull spread
ii. short butterfly spread
iii. zero cost collar
选项：
解释：
Correct Answer:
i. A bull spread
would lose money if the U.K. loses the bid and the share price falls sharply,
and would make only limited profits (compared to a straddle) if the U.K. wins
the bid and the share price appreciates sharply.
ii. A short
butterfly spread would make only limited gains when the share price either
increases or decreases beyond the breakeven points.
iii.
A zero cost collar would lose a limited amount of money if the U.K. loses the
bid, and would make only a limited profit (compared to a straddle) if the U.K.
wins the bid.
i)bull spread: net long duration, against bearish view, thus least appropriate.
ii)short butterfly spread, long bullet+short barbell, fits bearish view, eliminate.
iii)zero cost collar: S+P-C, downside protection, fits bearish view, eliminate.
