NO.PZ2022123002000024
问题如下:
Gehlot then turns his
attention to Dong’s Swiss Franc (CHF) exposures, which have depreciated
approximately 5% against the USD. CHF/USD = 1.01 on February 1, 2020. Gehlot
requests that Chlapowski recommend ways to hedge the CHF exposure at a minimal
hedging cost. Chlapowski explains the usage of option contracts in Dong’s
portfolio and presents the details in Exhibit 2.
Exhibit
2 Option Prices for USD/CHF on February 1, 2020
Calculate the cost of
implementing a put spread using USD/CHF strike prices 0.98 and 0.95 shown in
Exhibit 2.
选项:
解释:
Correct Answer:
A put spread is buying an OTM put and
writing a deeper OTM put to reduce the cost of the long put. Both options will
have the same expiration date.
USD/CHF on
February 1, 2020 is (1/1.01) = 0.99.
To implement a put
spread, buy an OTM put at the 0.98 strike by paying $0.15 and write the deeper
OTM put at strike 0.95, receiving $0.07.
Net cost is $0.15
– $0.07 = $0.08.
Based his forecast, Geholt should implement a bear put by buying a OTM put and selling a deeper OTM put at the same expiration date. To get this put spread position,he should pay $0.08.