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Josy Pan · 2020年05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。

这里为何不是long OTM call on GBP来降低成本呢？S=1.60 --> OTM Call X>1.60? 这样分析错在哪里呢？谢谢。

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xiaowan_品职助教 · 2020年05月25日

嗨，努力学习的PZer你好：


同学你好，

这道题投资者对市场的看法是价格会从1.6涨到1.68，那么最理想的状态就是赚取这中间的差价，

而1.68就是我们认为的价格上限，如果long1.68为执行价格的call，是没办法获得收益的。

而B选项的策略组合可以获得1.6到1.68之间升值的部分


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AM1989 · 2023年07月19日

可以理解为，long能赚钱的（即使贵了点），sell价格更高的，这样吗？

pzqa31 · 2023年07月20日

嗨，爱思考的PZer你好：


是的 ，但是short的执行价格也不能太高，还是要基于对未来股价预期，比如这道题预计最多股价涨到1.68，选择short执行价格1.68的call, 最差payoff也就是0，但是比如你去short一个执行价格高于1.68的call,一但执行了，payoff是负的。

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NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。 1.72 更难实现，不是应该卖这个吗？

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