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cc · 2020年02月23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。

预计会涨到1.68，那sell call 的话是得到期权费的同时还要履行买的义务，是因为交割的FC还是涨了，所以都是收益吗?

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1 个答案

xiaowan_品职助教 · 2020年02月24日

同学你好，这道题Aron预测GBP会涨5%到1.68，那么我们接下来的分析都是建立在这个预测是准确的基础上，也就是说在到期日前GBP最高就是1.68，那么buy call with 1.68的对手方并不会选择行权，因为没有收益。而strike price 为1.68的call又是最贵的，所以可以更好降低成本。

Alex · 2020年04月01日

call option 行权价越低越贵，所以卖出最贵的就是行权价低的对吧

xiaowan_品职助教 · 2020年04月01日

是的同学

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