NO.PZ202312250100000503
问题如下：
Based on the information in Exhibit 2, for a breakeven scenario, the percentage change in the NAIC share price for the collar strategy in Recommendation 1 is closest to:
选项：
A.2.11%. B.4.26%. C.8.52%.解释：
Per Recommendation 1, a collar option strategy is implemented by buying at-the-money put option and selling out-of-the-money call option.
Collar Option = Buy an ATM put and sell an out-of-the-money (OTM) call
Premium paid for ATM put option (i.e., $25 strike) is $2.67. Premium received for OTM call option (i.e., $30 strike) is $0.53.
Total cost of each collar option = $2.67 – 0.53 = $2.14
Breakeven price of the collar option = $25.12 + $2.14 = $27.26
Percentage change to breakeven = $2.14/$25.12 = 8.52%
