NO.PZ2017121101000020
问题如下：
Aline Nuñes, a junior analyst, works in the derivatives research division of an international securities firm. Nuñes’s supervisor, Cátia Pereira, asks her to conduct an analysis of various option trading strategies relating to shares of three companies: IZD, QWY, and XDF. On 1 February, Nuñes gathers selected option premium data on the companies, presented in Exhibit 1.
Nuñes reviews the following option strategies relating to QWY:
Strategy 4: Implementing a protective put position in QWY using the April €25.00 strike option
Strategy 5: Buying 100 shares of QWY, buying the April €24.00 strike put option, and writing the April €31.00 strike call option
Strategy 6: Implementing a bear spread in QWY using the April €25.00 and April €31.00 strike options
Based on Exhibit 1, the breakeven share price for Strategy 6 is closest to:
选项：
A. €22.50.
B. €28.50.
C. €33.50.
解释：
B is correct.
Strategy 6 is a bear spread, which is a combination of a long put option and a short put option on the same underlying, where the long put has a higher strike price than the short put. In the case of Strategy 6, the April €31.00 put option would be purchased and the April €25.00 put option would be sold. The long put premium is €3.00 and the short put premium is €0.50, for a net cost of €2.50. The breakeven share price is €28.50, calculated as XH – (pH – pL) = €31.00 – (€3.00 – €0.50) = €28.50.
老师，这道题的确没有说使用bear call还是bear put，但是我观察了QWY随时间变化call premium下降，put premium上升，是不是说明市场对未来的预期是下降的，所以我们要用put头寸？