NO.PZ2022123002000022
问题如下：
One of the non-EUR currencyexposures in the Portfolio is GBP. Aron frequently adjusts his GBP positionsbased on his short-term tactical outlook. Aron forecasts that the GBP willappreciate by 5% against the USD over the next six months. The current USD/GBPrate is 1.60 (1 GBP = 1.60 USD). Aron is considering the following six-monthEuropean option positions with the primary objective of increasing his GBPexposure in line with his forecast, and a secondary objective of minimizing theinitial cash outlay:
Trade 1: Buy call with 1.68 strike
Sell call with 1.72 strike
Trade 2: Buy call with 1.60 strike
Sell call with 1.68 strike
Trade 3: Buy call with 1.60 strike
Sell call with 1.72 strike
Determine thetrade that will most likely satisfy Aron’s objectives at expiration. Justifyyour response.
解释：
Correct Answer:
Trade 2 would bethe most likely to satisfy Aron’s objectives. By buying a call struck at thecurrent spot rate (1.60), Aron will benefit if GBP appreciates per his outlook.Selling the higher strike price out-of-the-money call at 1.68 (equal to his 5%appreciation expectation) would provide some premium income to reduce the costof the trade, while not reducing his potential appreciation below 5%.
Trade 1 isineffective because it does not provide upside exposure between the currentspot of 1.60 and the current spot plus 5% of the expected 1.68, on expirationdate.
Trade 3 is lesseffective than Trade 2 because the premium income from selling the call with a1.72 strike is less than that from selling a call with a 1.68 strike. Thistrade is less effective at satisfying Aron’s secondary objective, which is tominimize the initial cash outlay.
请问怎么理解short1.68，不会影响appreciation减少的意思啊？ call=1.68或者1.72，都不会行权吧？shortcall就是光赚期权费了吧？
