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五花肉 · 2019年02月26日

问一道题：NO.PZ2016032802000031

  1. CFA II
  2. Ethics

问题如下图：

    

选项：

A.

B.

C.

解释：


Steven sold put option不是亏钱了么怎么是套利啊？


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2 个答案
已采纳答案

发亮_品职助教 · 2019年02月27日

这个是持有标的股票，然后卖出标的股票的Put option。这是一种增强收益的策略。

非常有可能是投资者认为股票不会大涨，也不会大跌，非常有可能是股票将来价格稳定在一个区间内，但是也不想卖出这个股票。为了增强收益，就卖出Put option，赚取期权费。

预测不会大涨是因为，如果会大涨，头寸应该是Buy call option；预测不会大跌是因为，已经卖出了Put option，就预测这个不会行权，否则就不会作这个操作。

所以这个策略极有可能是在股票价格稳定为了增强收益做的。

Wendy_品职助教 · 2019年02月28日

回答本题需要注意两点：

一是：long stock +short put option 是一种套利策略

当put exercise price

当基金经理预测市场股价不会大跌时，预测put option不会行权，通过short put option可以增强投资收益。 

二是：clients knew this stategy in advance.

所以 not violate.

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NO.PZ2016032802000031问题如下Steven, a manager of a hee funcompany, recently purchasea lot of Bubbles' common stock, anthe same time he solput options on Bubbles' stotoo. Because the clients knew the funs generstrategy in aance, so, he not inform them anything about this tra. Steven violate the Co anStanr?A.No.B.Yes, because he manipulatepublicly trasecurities' prices.C.Yes, because he 't inform clients about this tra before trang.A is correct.Accorng to StanrII(Market Manipulation, Steven just usearbitrage opportunity to gain some profit. This transaction is not a violation of the stanr Anthe clients all knew this kinof strategy in aance, so, Steven mnot sclose this to his clients.我明白不违反IIB 但我想问问这是否违反其他准则？

2024-07-21 20:51 1 · 回答

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2023-11-04 01:20 2 · 回答

NO.PZ2016032802000031 问题如下 Steven, a manager of a hee funcompany, recently purchasea lot of Bubbles' common stock, anthe same time he solput options on Bubbles' stotoo. Because the clients knew the funs generstrategy in aance, so, he not inform them anything about this tra. Steven violate the Co anStanr? A.No. B.Yes, because he manipulatepublicly trasecurities' prices. C.Yes, because he 't inform clients about this tra before trang. A is correct.Accorng to StanrII(Market Manipulation, Steven just usearbitrage opportunity to gain some profit. This transaction is not a violation of the stanr Anthe clients all knew this kinof strategy in aance, so, Steven mnot sclose this to his clients. 看之前的回答“当put exercise pricurrent stoprice时，put option不会行权，short put option 可以赚取期权费。当基金经理预测市场股价不会大跌时，预测put option不会行权，通过short put option可以增强投资收益。 ”麻烦老师给下“put option不会行权，short put option 可以赚取期权费”这句话。。。虽然听完了后面的课但是又迷糊了。。可以举个例子么，谢谢

2022-09-28 16:48 1 · 回答

    看了之前的回答还是不是很清楚a和c 因为虽然公司是做对冲并且客户知道公司的交易策略但是这次交易应该也对客户进行披露吧？

2019-05-01 21:05 1 · 回答

    请问这个不算manipulate吗？怎么分清操作和策略的区别啊？？

2019-04-14 14:09 1 · 回答