题目
An investor sells a June 2008 call of ABC Limited with a strike price of USD 45 for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD 40 for USD 5. What is the name of this strategy and the maximum profit and loss the investor could incur?
选项
A.Bear Spread, Maximum Loss USD 2, Maximum Profit USD 3
B.Bull Spread, Maximum Loss Unlimited, Maximum Profit USD 3
C.Bear Spread, Maximum Loss USD 2, Maximum Profit Unlimited
D.Bull Spread, Maximum Loss USD 2, Maximum Profit USD 3
答案
D
解析
This is a bull spread strategy. The profit of the call with a strike price of 45 is: - Max(0, St - 45) + 3. The profit of the call with a strike price of 40 is Max(0, St - 40) - 5. The total profit is Max(0, St - 40) - Max(0, St - 45) - 2.St ≥ 45, total profit = 3. 40 ＜ St ＜ 45, total profit = St - 42. St ≤ 40, total profit = - 2. Therefore, maximum loss is $2, maximum profit is $3.操作1：卖看涨：3-max(0,st-45) 操作2：买看涨：max(st-40,0)-5 当ST＜40时，操作1：3；操作2：-5，因此最大损失2. 当ST≥45时，操作1：3-(st-45)；操作2：(st-40)-5，因此最大收益3。