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puchao · 2021年11月02日

请问short一个1.68以上的call来降低成本不应该更保险一点吗？

  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。

short一个1.68以上的call来降低成本不应该更保险一点吗，主人公的预测是涨到1.68，如果刚刚好short1.68的call的话万一预测错，多涨了一点超过1.68的话对方就会行权，主人公就要付钱了

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Hertz_品职助教 · 2021年11月03日

嗨，努力学习的PZer你好：


同学你好~

在这里呢，我们short一个行权价为1.68的call目的是为了降低成本的，因为我们购买行权价位1.60的call要花钱嘛

如果预测的不准，涨过了1.68，我们卖出的这个行权价位1.68的call的确会被对手方行权，我们也就会失去1.68以上的收益了。

但是注意两点：

1.     看涨期权行权价越低是越贵的，因为行权价越低，越容易向上突破。所以相比于卖出一个行权价格是1.68以上的call，这个行权价位1.68的call肯定更贵，我们卖出的时候就能多获得一点期权费了，也能更好的降低成本了。

2.     另外这个人预测的不准其实不是我们要考虑的，我们只是基于他的这个预测来帮他做一个策略的选择，至于由于预测不准造成了损失，那就是这个基金经理自身能力的问题啦，不是我们的考虑范围哦

----------------------------------------------
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.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing 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。 1.72 更难实现，不是应该卖这个吗？

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