木同學
2025-07-05 17:352025.2mock1里，第五題，第三問。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%..我計算出來的盈虧平衡點是44.07
所屬：CFA Level III > Portfolio Management Pathway 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Simon助教
2025-07-10 10:35
該回答已被題主采納
同學，上午好。44.07是對的。
這個mock的題目是錯的。
strangle strategy有兩個break even point，當標的資產(chǎn)價格達到這兩個臨界值時，strangle strategy' profit=0
OTM價外看漲期權執(zhí)行價格是40.5，期權費是1.81
OTM價外看跌期權執(zhí)行價格是38.5，期權費是1.76
breakeven price分別是
①34.93，此時只有put行權，Profit=Xp-ST-c0-p0，求ST=breakeven price=Xp-c0-p0=38.5-1.81-1.76=34.93
②44.07，此時只有call行權，Profit=ST-Xc-c0-p0，求ST=breakeven price=Xc--c0-p0=40.5+1.81+1.76=44.07
股價變化至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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