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Ciser · 2021年04月02日

市场观点涨到1.68，Short call option at 1.68,

  1. CFA III
  2. Asset Allocation

NO.PZ2018111501000019

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。

那么long方不会行权吗？
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4 个答案

Hertz_品职助教 · 2022年02月14日

嗨，爱思考的PZer你好：


@罗小惠🌟

同学你好

你的问题：既然put option行权价越高越贵，为什么不卖1.70的put这样可以赚取更多的行权费？

回答：注意看题目哈，这是一道客观题，是根据选项来作答的，选项只是对call option的买卖对比哈，并不涉及put option。

上一个同学只是问put option的执行价格和期权费的关系呢

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加油吧，让我们一起遇见更好的自己！

Hertz_品职助教 · 2022年01月25日

嗨，从没放弃的小努力你好：


@柠乐

同学你好

你的问题：想问问老师，你在这道题的解答里说call的行权价越低越值钱，是不是put的行权价越高越值钱呢？

回答：是的。call option行权价越低越贵；put option行权价越高越贵。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

罗小惠🌟 · 2022年02月14日

既然put option行权价越高越贵，为什么不卖1.70的put这样可以赚取更多的行权费？

柠乐 · 2022年01月25日

想问问老师，你在这道题的解答里说call的行权价越低越值钱，是不是put的行权价越高越值钱呢？

Hertz_品职助教 · 2021年04月02日

嗨，努力学习的PZer你好：


问题：市场观点涨到1.68，Short call option at 1.68，那么long方不会行权吗？

同学你好~

如果涨到1.68，那么我们卖出的这个行权价为1.68的option，肯定会被行权的（long 方会行权），这一点你讲的是对的。

题干中说到我们的其中一个目标是要降低成本，因此我们short了这个行权价为1.68的option，通过收点期权费来抵消一部分成本。

那为什么卖出行权价为1.68的呢？

首先，题干说预期GBP上涨幅度是5%，于是我们 计算（1.6*（1+5%）=1.68）可知,也就涨到1.68，不会再高了。所以就卖出行权价为1.68的option。

那么为什么不卖出行权价更高的比方说1.7或者更高的2.0的option呢？因为对于call option，行权价越低越值钱，因此相比于卖出一个更高行权价的option，卖出1.68的是受到期权费最多的。（如有疑问，欢迎追问）

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努力的时光都是限量版，加油！

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