为什么选项B 有short的操作呢

问题如下：

Mukilteo researches various hedge fund strategies. First, Mukilteo analyzes an event-driven strategy involving two companies, Algona Applications (AA) and Tukwila Technologies (TT). AA’s management, believing that its own shares are overvalued, uses its shares to acquire TT. The IC has expressed concern about this type of strategy because of the potential for loss if the acquisition unexpectedly fails. Mukilteo’s research reveals a way to use derivatives to protect against this loss, and he believes that such protection will satisfy the IC’s concern. Which of the following set of derivative positions will most likely satisfy the IC’s concern about the event-driven strategy involving AA and TT?

选项：

A.Long out-of-the-money puts on AA shares and long out-of-the-money calls on TT shares B.Long out-of-the-money calls on AA shares and long out-of-the-money puts on TT shares C.Long risk-free bonds, short out-of-the-money puts on AA shares, and long out-of-the-money calls on TT shares

解释：

B is correct. The event-driven strategy that Mukilteo researches is a stock-for-stock merger arbitrage strategy. In this strategy, because the management of the acquiring company (AA) believes its shares to be overvalued, it will offer AA shares in exchange for target company (TT) shares in a specified ratio. The merger arbitrage fund manager will then buy TT shares and sell AA shares in the same ratio as the offer, hoping to earn the spread on successful deal completion.

本题考察的是并购套利策略。题目中AA想用换股的方式收购TT，那么在这种情况下，AA的股价会下跌，TT的股价会上升，一般而言，此时投资者会short AA，同时long TT，希望能够赚一个价差。但是这样操作还有一个风险就是如果一旦并购失败，那么前期AA跌的部分就会涨回去，同时TT涨的部分也会跌回去，所以在short AA的同时long call option on AA，如果真的并购失败，那么AA虽然上涨，但是option头寸也会带来收益；long TT同时long put option on TT，如果并购失败，TT价格下跌，put option也会带来收益，所以B选项正确。