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liliachen · 2019年03月03日

关于seagull spread中的LONG PUT。

何老师视频讲解中说到seagull spread中所有option都是otm的,但PPT中写到allow the strike price of long put to be ATM.所以,这里的long put 到底是OTM还是ATM的?

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年03月04日

讲义中后面举了个例子:

For example, if the current spot price is 1.3550, a seagull could be constructed by going long an ATM put at 1.3550 (the middle strike is the “body”), short an OTM put at 1.3500, and short an OTM call at 1.3600 (the latter two options are the “wings”)

所以海鸥期权的身体部分是long an ATM put,翅膀部分是short an OTM put 再加hort an OTM call

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