问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师，请问一下蝶式期权的应用场景是在小范围波动的情况下适合吗？这道题相当于是long call组成的蝶式期权，那么图形应该是在97的时候有最大亏损，可是题目条件是预期就是97这个水平，为什么还要选蝶式呢，不过其他选项能理解是可能有更大的亏损~
NO.PZ2016082402000034问题如下 Accorng to an in-house researreport, it is expectethUSPY (quoteJPY/US will tra ne97 the enof March. Frankie Shiller, the investment rector of a house fun cis to use option strategy to capture this opportunity. The current level of the USPY exchange rate is 97 on February 28. Accorngly, whiof the following strategies woulthe most appropriate for the largest profit while the potentiloss is limite Long a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option on USPY with strike priof USPY 97 and short a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: D The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. 为什么波动小用butterfly，butterfly不应该在短中长三个期限上做文章吗？
NO.PZ2016082402000034问题如下 Accorng to an in-house researreport, it is expectethUSPY (quoteJPY/US will tra ne97 the enof March. Frankie Shiller, the investment rector of a house fun cis to use option strategy to capture this opportunity. The current level of the USPY exchange rate is 97 on February 28. Accorngly, whiof the following strategies woulthe most appropriate for the largest profit while the potentiloss is limite Long a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option on USPY with strike priof USPY 97 and short a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: D The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. C可以把图画出来吗？
NO.PZ2016082402000034 Long a call option on USPY with strike priof USPY 97 anshort a call option on USPY with strike priof USPY 99 anthe same expiration te Short a call option on USPY anlong a put option on USPY with the same strike priof USPY 97 anexpiration te Long a call option with strike priof USPY 96, long a call option with strike priof USPY 98, ansell two call options with strike priof USPY 97, all of them with the same expiration te ANSWER: The best strategy among these is a long butterfly, whibenefits if the spot stays the current level. Answer A is a long strale, whiis incorrebecause this will lose money if the spot rate es not move. Answer B is a bull sprea whiis incorrebecause it assumes the spot priwill go up. Answer C is the same a short spot position, whiis also incorrect. 当前在97，一个月后还是97，说明想赌波动的，所以选蝶式期权。
下面的回答有人說波動小時收益高，我知道這是butterfly的特性 但是從題目中哪裏可以知道波動小。
关于C的我有疑问-C+P 的头寸并且有着相同的执行价格，我也没有找到其他的bon者stock做成组合，那么这样的头寸就变成了一条斜线是么，short spot position是什么意思呢，我尝试着计算了profit是，X=97，Profit=C-P, X 97时，Profit=97+C-P-St
