题目
Consider the following option strategy of buying one at-the-money put with a strike price of $43 for $6, selling two puts with a strike price of $37 for $4 each and buying one put with a strike price of $32 for $1. If the stock price plummets to $19 at expiration, calculate the net profit/loss per share of the strategy.
选项
A.-2.00 per share
B.Zero
C.1.00 per share
D.2.00 per share
答案
D
解析
●The easiest thing to do is to find the net profit or loss for each position and then add them together, recognizing whether a position is short or long. ●Net profit of the long $43 strike put position: Max(0,43-19)-6=18 ●Net profit of the short $37 strike puts position: -2×Max(0,37-19)+(2×4)=-28 ●Net profit of the long $32 strike put position: Max(0,32-19)-1=12 ●Total net profit is:18-28+12=2. 买入执行价格为43的看跌期权净损益：Max(0, 43﹣19)﹣6=18 卖出两份执行价格37的看跌期权净损益：﹣2×Max(0, 37﹣19)＋(2×4)=﹣28 买入执行价格为32的看跌期权净损益：Max(0, 32﹣19)﹣1=12 净损益18﹣28＋12=2.