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HG · 2021年03月17日

OTM call不会执行的啊

  1. CFA III
  2. Derivative

NO.PZ2018111501000016

问题如下：

Raymond, a US analyst, is managing a fund with EUR-denominated assets. In order to protect the assets from downside return movement, he decides to use option contracts. However, he also wants to reduce hedging costs. Assume the fund performance is measured in USD, he will most likely choose to:

选项：

A.

buy an USD/EUR ATM put option

B.

write an USD/EUR OTM call option

C.

buy an USD/EUR OTM put option.

解释：

C is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：为了避免外汇资产下跌，应该买put option（注意是DC/FC的外汇报价方式），所以B选项排除。由于这个分析师需要降低对冲成本，那么选择OTM put option更符合他的要求。

老师short一个OTM的call option不是也可以让cost下降吗？收到一个premium，而且是OTM的call基本上不会执行，那么不就赚了吗？

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1 个答案

Hertz_品职助教 · 2021年03月17日

嗨，努力学习的PZer你好：


嗨~同学你好

  你讲到的short 一个USD/EUR OTM call option，的确可以获得一部分premium 来降低成本。但是咱们看题目哈~这个人呢他有连个目的，第一个是 protect the assets from downside return movement，第二个是reduce hedging costs。Short 一个OTM call只能降成本，无法提供保护。所以呢，提供保护需要long put，降低成本就要long OTM put。

我理解你考虑的点，但short call需要有另一个策略和它搭配使用才可以，比方说long ATM put，同时再short OTM call。

希望能解答你的疑问，加油！

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