俞同學(xué)
2024-07-19 19:52老師，這個(gè)atm call 為什么strike是40.50？39.50 call為什么不可以，這不是離current price最近的么？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2024-07-22 13:29
該回答已被題主采納
同學(xué)，上午好。
這道題有問(wèn)題的，因?yàn)閘ong straddle策略應(yīng)該long執(zhí)行價(jià)格相同的期權(quán)，put和call都應(yīng)選擇Exercise Price=39.5對(duì)應(yīng)的期權(quán)費(fèi)
A straddle strategy is implemented by buying closer to ATM puts and ATM calls.
Cost of closest to ATM put option (i.e., $39.50 strike) is $2.22.
Cost of ATM call option (i.e., $39.50 strike) is $2.40.
Cost of each straddle option = $2.22 + $2.40 = $4.62
Number of option contracts required to hedge Reddy’s CFT position = 50,000/100 = 500 option contract
Overall cost to implement collar strategy = $4.62 x 500 = $2,310
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