木同學(xué)
2025-07-05 17:352025.2mock1里，第五題，第三問(wèn)。current stock price is $39.55，A strangle strategy is implemented by buying OTM puts and OTM calls with the same expiration date. The cost of the OTM put option (i.e., $38.50 strike) is $1.76. The cost of the OTM call option (i.e., $40.50 strike) is $1.81.The percentage increase in the CFT share price at which a long strangle strategy would break even is closest to: C 9.03%..我計(jì)算出來(lái)的盈虧平衡點(diǎn)是44.07
所屬：CFA Level III > Portfolio Management Pathway 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
2025-07-10 10:35
該回答已被題主采納
同學(xué)，上午好。44.07是對(duì)的。
這個(gè)mock的題目是錯(cuò)的。
strangle strategy有兩個(gè)break even point，當(dāng)標(biāo)的資產(chǎn)價(jià)格達(dá)到這兩個(gè)臨界值時(shí)，strangle strategy' profit=0
OTM價(jià)外看漲期權(quán)執(zhí)行價(jià)格是40.5，期權(quán)費(fèi)是1.81
OTM價(jià)外看跌期權(quán)執(zhí)行價(jià)格是38.5，期權(quán)費(fèi)是1.76
breakeven price分別是
①34.93，此時(shí)只有put行權(quán)，Profit=Xp-ST-c0-p0，求ST=breakeven price=Xp-c0-p0=38.5-1.81-1.76=34.93
②44.07，此時(shí)只有call行權(quán)，Profit=ST-Xc-c0-p0，求ST=breakeven price=Xc--c0-p0=40.5+1.81+1.76=44.07
股價(jià)變化至breakeven的百分比就分別是:
34.93/39.55-1=-11.68%
44.07/39.55-1=11.43%
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