紅同學(xué)
2024-01-22 20:31請問strangle怎么解釋
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
梁雪助教
2024-01-22 20:43
該回答已被題主采納
同學(xué)你好，long strangle是買入同樣到期日的OTM call 和OTM put，由于OTM所以期權(quán)費較便宜。
原版書的描述如下：
A similar option structure is a strangle position for which a long position is buying out-of-the-money (OTM) puts and calls with the same expiry date and the same degree of being out of the money (we elaborate more on this subject later). Because OTM options are being bought, the cost of the position is cheaper—but conversely, it also does not pay off until the spot rate passes the OTM strike levels. As a result, the risk–reward for a strangle is more moderate than that for a straddle.
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