NO.PZ2019052801000061
问题如下:
If the price of a stock is expected to be volatile in the following months, but whether it will increase or decrease is uncertain, which of the following strategy is most beneficial for investors?
选项:
A.A short position in butterfly spread.
B.Create a neutral calendar spread.
C.A long position in butterfly spread.
D.Create a bullish calendar spread.
解释:
A is correct.
考点:spread strategies
解析:Short butterfly spread在股价接近Xm时面临少量亏损,在股价大幅波动远离Xm时获得收益,A正确。
Long butterfly spread在股价接近Xm时获得收益,在股价大幅波动远离Xm时面临少量亏损,C错误。
Calender spread的期权头寸具有相同的标的物、相同的执行价格,但不同的到期日。与butterfly spread相似,当股票价格接近执行价格,获得收益。
long butterfly spread是CL+CH-2CM和PL+PH-2PM,
short butterfly spread是2CM-CL-CH和2PM-PL-PH吗?课上只讲了第一种情况,但是没有说清楚头寸