题目
Assume that the current price of a stock is $100. A call option on that stock with an exercise price of $97 costs $7. A call option on the stock with the same expiration and an exercise price of $103 costs $3. Using these options what is the expiration profit of a bear call spread if the stock price is equal to $110?
选项
A.$2
B.$6
C.-$2
D.-$6
答案
C
解析
The trader of a bear call spread sells the call with an exercise price below the current stock price and buys the call option with an exercise price above the stock price. Therefore, for a stock price of $110 at expiration of the options, the buyer realizes a payoff of -$13 from his short position and a positive payoff of $7 from his long position for a net payoff of -$6. The revenue of the strategy is $4. Hence the profit is equal to -$2.空头熊市看涨期权价差交易者以低于当前股票价格的行权价卖出看涨期权，以高于股票价格的行权价买入看涨期权。因此，在期权到期时股票价格为110美元，买方从他的空头头寸获得- 13美元的收益，从他的多头头寸获得正的7美元收益，净收益为- 6美元。该策略的收益是4美元。因此利润等于- 2美元。