题目
Consider a bullish spread option strategy of buying one call option with a $30 exercise price at a premium of $3 and writing a call option with a $40 exercise price at a premium of $1.50. If the price of the stock increases to $42 at expiration and the option is exercised on the expiration date, the net profit per share at expiration (ignoring transaction costs) will be:
选项
A.$8.50
B.$9.00
C.$9.50
D.$12.50
答案
A
解析
The net profit of the call option with strike price of 30: Max(0,42-30)-3=9 The net profit of the call option with strike price of 40:-Max(0,42-40)+1.5=-0.5 The total net profit: 9-0.5=8.5 买入执行价格为30的看涨期权净损益：Max(0, 42-30)-3=9 卖出执行价格为40的看涨期权净损益：-Max(0, 42-40) ＋1.5=-0.5 所以净损益：9-0.5=8.5