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小米 · 2021年04月28日

课后题

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201712110100000208

问题如下：

Based on Exhibit 1, the maximum gain per share that could be earned if Strategy 7 is implemented is:

选项：

A.

€5.74.

B.

€5.76.

C.

unlimited.

解释：

B is correct.

Strategy 7 describes a short straddle, which is a combination of a short put option and a short call option, both with the same strike price. The maximum gain is €5.76 per share, which represents the sum of the two option premiums, or c0 + p0 = €2.54 + €3.22 = €5.76. The maximum gain per share is realized if both options expire worthless, which would happen if the share price of XDF at expiration is €75.00.

怎么看出来是short straddle的？而不是long呢？

添加评论
lliu · 2022年05月05日

因为strategy是writing (selling = short) 不是buying

2 个答案

Hertz_品职助教 · 2022年05月05日

嗨，努力学习的PZer你好：


@ lliu

同学你好

是的哈，策略7中描述的是write call和put，也就是卖出call和put的意思，这构成的是short straddle。

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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！

Hertz_品职助教 · 2021年04月28日

嗨，努力学习的PZer你好：


同学你好~

short straddle策略，是sell一个call和一个put option，并且这两个option的行权价和到期时间是一样的。

咱们看一下题干表述的策略7，就是write了一个call和一个put，并且这两个option的行权价都是75，到期时间也相同，所以就是short straddle策略哈。如果是long straddle，其构成是long call + long put，call 和put的行权价和到期时间相同。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ201712110100000208问题如下Aline Nuñes, a junior analyst, works in the rivatives researvision of internationsecurities firm. Nuñes’s supervisor, Cátia Pereirasks her to conanalysis of various option trang strategies relating to shares of three companies: IZ QWY, anX. On 1 February, Nuñes gathers selecteoption premium ta on the companies, presentein Exhibit 1.Nuñes consirs the following option strategies relating to IZStrategy 1: Constructing a synthetic long put position in IZtrategy 2: Buying 100 shares of IZanwriting the April €95.00 strike call option on IZtrategy 3: Implementing a coverecall position in IZusing the April €97.50 strike optionNuñes next reviews the following option strategies relating to QWY:Strategy 4: Implementing a protective put position in QWY using the April €25.00 strike optionStrategy 5: Buying 100 shares of QWY, buying the April €24.00 strike put option, anwriting the April €31.00 strike call optionStrategy 6: Implementing a besprein QWY using the April €25.00 anApril €31.00 strike optionsFinally, Nuñes consirs two option strategies relating to X:Strategy 7: Writing both the April €75.00 strike call option anthe April €75.00 strike put option on XStrategy 8: Writing the February €80.00 strike call option anbuying the cember €80.00 strike call option on XBaseon Exhibit 1, the maximum gain per share thcoulearneif Strategy 7 is implementeis: A.€5.74. B.€5.76. C.unlimite B is correct. Strategy 7 scribes a short strale, whiis a combination of a short put option ana short call option, both with the same strike price. The maximum gain is €5.76 per share, whirepresents the sum of the two option premiums, or + p0 = €2.54 + €3.22 = €5.76. The maximum gain per share is realizeif both options expire worthless, whiwoulhappen if the share priof X expiration is €75.00. 中文解析策略7描述了一种short strale策略，它是由short call和short put构成的，call和put具有相同的执行价格。最大收益发生在股价等于两个期权的执行价格75的时候，此时收益最大为卖掉两个期权获得的期权费= €2.54 +€3.22 =€5.76。 这个题我有点晕了，每次做完5.76，又看了下现在的股价，认为客户会立马行权。。。能再帮我理一下期权的过程吗？是不是说在某一段时间内，比如七月，客户才可以行权，那时如果股价横在执行价格，客户也不会行权，就可以赚满两个期权费了？

2022-12-17 18:41 1 · 回答