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xgxinw · 2025年02月02日

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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?

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