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赵磊fantasy · 2019年08月26日

问一道题:NO.PZ2016082402000034

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


请问为什么不是A呢 

1 个答案

orange品职答疑助手 · 2019年08月27日

同学你好,A选项同时买相同行权价的看涨和看跌,是在构建一个straddle策略,同学你可以回忆一下它的profit图。只有当标的资产价格很大的时候,这个策略才能赚到钱。因为同时买两个期权的成本相对而言还是高一些的,所以必须要求资产价格变化较大。而题目中他预期标的价格还是维持在97。

何小建 · 2019年10月24日

不管是向上还是向下都能获得收益?

orange品职答疑助手 · 2019年10月26日

是的呀,同学你看一下straddle的图以及它的构建过程,如果不理解可以提问

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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?

2024-04-11 14:32 1 · 回答

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?

2023-03-10 09:46 1 · 回答

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。

2022-03-06 20:35 1 · 回答

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。

2019-11-09 20:29 1 · 回答

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2019-10-19 13:17 1 · 回答