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ciaoyy · 2020年02月13日

问一道题：NO.PZ2018111501000019

  1. CFA III
  2. Derivative

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

为什么sell 1.68 call？不是sell 1.72 call，后者不是比ATM更加可以确保long call不行权，赚取期权费呀

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xiaowan_品职助教 · 2020年02月15日

同学，对于call option来说，strike price 是指在到期日，我们拥有了用这个价格购买标的资产的权利，那么这个价格越低，我们行权时获得的收益越大, 假设strike price 是X，到期时资产的实际价格是ST，那么如果不考虑期权费，我们行权的收益是 （ST-X)，这个期权本身也就越值钱。在这道题中，为了降低成本，我们要卖出一个更值钱的期权，所以选择行权价为1.68的call option

qyang · 2020年12月28日

为什么1•68时最贵？

qyang · 2020年12月28日

不用解答了已经看到解释

xiaowan_品职助教 · 2020年02月14日

同学你好，这道题中，Aron预测USD/GBP会上涨5%，那么我们在后续进行计算和分析的时候就假定1.6*（1+5%）=1.68是上限，而在所有不会行权的call option中，strike price 为1.68的option是最贵的，可以最大程度降低成本。如果打破1.68是上限的前提假设，那么不论是1.68还是1.72我们都无法确定是否会行权。

ciaoyy · 2020年02月15日

对于long call来说，为什么说执行价格为1.68的是最贵的呢？不是说执行价格越高，越不容易突破，越不值钱？

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