NO.PZ202301280200000802
问题如下:
Determine the overall cost and
breakeven strike price of the lowest cost strangle strategy.
选项:
解释:
Correct
Answer:
Implementing a
lowest cost deep out of the money strangle strategy will require buying a deep
out of the money put option at a strike price of CYF/USD 45 and a deep out of
the money call option at a strike price of CYF/USD 65.
Overall cost of
the strategy is $0.17 + $0.21 = $0.38 Breakeven price will be both on the
downside and upside.
Upside breakeven
price when CYF/USD will be at a strike of $65 + $0.38 = $65.38
Downside breakeven
price when CYF/USD will be at a strike of $45 – $0.38 = $44.62.
老师,这个一个option的multiplier不用乘进去吗?multiplier是不是表示一个针对一个stock,我构建成本0.38,一个option有100个stock,我构建成本38?还是multiplier就是表示针对100个stock,我构建成本0.38?