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
选项：
A. $2.36.
B. $1.64.
C. $2.64.
解释：
B is correct.
The bear put spread consists of buying a put option with a high strike price ($70) and selling another put option with a lower strike price ($65). The market price for the $70 strike put option is $3.70, and the market price for the $65 strike put option is $1.34 per share. Thus, the initial net cost of the bear spread position is $3.70 – $1.34 = $2.36 per share. If Walnut shares are $66 at expiration, the $70 strike put option is in the money by $4.00, and the short position in the $65 strike put expires worthless. After deducting the cost of $2.36 to initiate the bear spread position, the net profit is $1.64 per contract.
为什么不是0.64？当前市场价格是66 而投资者卖出了一个执行价格为65的put option 因此这里还有1元的loss 1.64-1＝0.64