问题如下：
Stanley Kumar Singh, CFA, is the risk manager at SKS Asset Management. He works with individual clients to manage their investment portfolios.
A third client, Wanda Tills, does not currently own Walnut shares and has asked Singh to explain the profit potential of three strategies using options in Walnut: a long straddle, a bull call spread, and a bear put spread. In addition, Tills asks Singh to explain the gamma of a call option. In response, Singh prepares a memo to be shared with Tills that provides a discussion of gamma and presents his analysis on three option strategies:
Strategy 1: A long straddle position at the $67.50 strike option
Strategy 2: A bull call spread using the $65 and $70 strike options
Strategy 3: A bear put spread using the $65 and $70 strike options
Based on Exhibit 2, Strategy 1 is profitable when the share price at expiration is closest to:
选项：
A.$63.00.
B.$65.24.
C.$69.49.
解释：
A is correct.
The straddle strategy consists of simultaneously buying a call option and buying a put option at the same strike price. The market price for the $67.50 call option is $1.99, and the market price for the $67.50 put option is $2.26, for an initial net cost of $4.25 per share. Thus, this straddle position requires a move greater than $4.25 in either direction from the strike price of $67.50 to become profitable. So, the straddle becomes profitable at $67.50 – $4.26 = $63.24 or lower, or $67.50 + $4.26 = $71.76 or higher. At $63.00, the profit on the straddle is positive.
为什么前面是4.25，后面计算价格就是4.26呀？
