OTM 的 put option 虽然便宜，但不是不能完全 cover 损失么？为什么 C 还是正确的呢？谢谢老师

问题如下：

A fund manager is predicting a sharp fall in share prices in three months. Based on the judgement, he made the following statements:

Statement 1：Considering the sharp rise in volatility, he should contract a short straddle strategy.

Statement 2：To protect existing stock positions, he should construct the covered call strategy.

Statement 3：Given the cost consideration, the OTM put option is appropriate to protect the stock position.

Which of the above statements is true?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 3

D.

None

解释：

Statement 1 is incorrect, because he should long straddle when market volatility increases.

Statement 2 is incorrect, to protect existing stock positions, he should long put option and contract a protective put strategy.