题目
A trader writes ten (10) naked put option contracts, with each contract being on 100 shares. The strike price is $50.00 and the stock price is currently $55.00. The option price is $3.40. The time to maturity is six months and the implied volatility is 40.0%. What is the margin requirement?
选项
A.$3,400
B.$5,500
C.$7,300
D.$9,400
答案
D
解析
The margin requirement is the greater of 1,000×[$3.40＋20%×$55.00 -MAX(0,55-50)] and 1,000×($3.40＋10%×$50.00); i.e., the greater of $9,400 and $8,400 Written naked put option：取较大值 1：100%期权卖出收益＋20%标的资产现价 - 期权虚值状态的部分=1,000×[$3.40＋20%×$55.00－MAX(0, 55－50)] =9,400 2：100%期权卖出收益加10%执行价格=1,000×($3.40＋10%×$50.00)=8,400