老师能够详细解释一下这道题吗

NO.PZ2016082402000033

问题如下：

Consider a bearish option strategy of buying one $50 strike put for $7, selling two $42 strike puts for $4 each, and buying one $37 put for $2. All options have the same maturity. Calculate the final profit per share of the strategy if the underlying is trading at $33 at expiration.

选项：

$1 per share

$2 per share

$3 per share

$4 per share

解释：

ANSWER: B

Because the final price is below the lowest of the three strike prices, all the puts will be exercised. The final payoff is ($50-$33)-2($42-$33)+($37-$33) =$17- $18 +$4 = $3. From this, we have to deduct the up-front cost, which is-$7+2($4)-$2=-$1. The total profit is then, ignoring the time value of money, $3-$1=$2 per share.

老师能够详细解释一下这道题吗

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1 个答案

品职答疑小助手雍 · 2021年03月20日

嗨，努力学习的PZer你好：

首先33低于所有的行权价了，所以所有的看跌期权都行权了。那就一个一个期权的算收益就行了。

买50的看跌行权赚50-33=17元，卖2个42行权的看跌别人行权亏（42-33）*2=18元，买37行权的看跌行权赚37-33=4元。所有期权行权的收益净额就是17-18+4=3元。

然后买卖这些期权花费是：花7元，收4*2=8元，花2元，合计花了7-8+2=1元。

花1元，收益3元，所以利润是2元。

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努力的时光都是限量版，加油！

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NO.PZ2016082402000033 Consir a bearish option strategy of buying one $50 strike put for $7, selling two $42 strike puts for $4 each, anbuying one $37 put for $2. All options have the same maturity. Calculate the finprofit per share of the strategy if the unrlying is trang $33 expiration. $1 per share $2 per share $3 per share $4 per share ANSWER: B Because the finpriis below the lowest of the three strike prices, all the puts will exercise The finpayoff is ($50-$33)-2($42-$33)+($37-$33) =$17- $18 +$4 = $3. From this, we have to the up-front cost, whiis-$7+2($4)-$2=-$1. The totprofit is then, ignoring the time value of money, $3-$1=$2 per share. 老师能够详细一下这道题吗

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老师能够详细解释一下这道题吗

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