NO.PZ2017121101000027
问题如下:
Stanley Kumar Singh, CFA, is the risk manager at SKS Asset Management. He works with individual clients to manage their investment portfolios.
A third client, Wanda Tills, does not currently own Walnut shares and has asked Singh to explain the profit potential of three strategies using options in Walnut: a long straddle, a bull call spread, and a bear put spread. In addition, Tills asks Singh to explain the gamma of a call option. In response, Singh prepares a memo to be shared with Tills that provides a discussion of gamma and presents his analysis on three option strategies:
Strategy 1: A long straddle position at the $67.50 strike option
Strategy 2: A bull call spread using the $65 and $70 strike options
Strategy 3: A bear put spread using the $65 and $70 strike options
Based on Exhibit 2, the maximum profit, on a per share basis, from investing in Strategy 2, is closest to:选项:
A. $2.26.
B. $2.74.
C. $5.00.
解释:
A is correct.
The bull call strategy consists of buying the lower- strike option and selling the higher-strike option. The purchase of the $65 strike call option costs $3.65 per share, and selling the $70 strike call option generates an inflow of $0.91 per share, for an initial net cost of $2.74 per share. At expiration, the maximum profit occurs when the stock price is $70 or higher, which yields a $5.00 per share payoff ($70 – $65) on the long call position. After deduction of the $2.74 per share cost required to initiate the bull call spread, the profit is $2.26 ($5.00 – $2.74).
想问一下delta的定义和计算方法 这个是在讲义的哪里讲到呢