题目
Joe Brocato is currently following two stocks in the pharmaceutical industry: ABC and XYZ. He is bullish on ABC, but bearish on XYZ. ABC is currently priced at $53.60 and XYZ is currently priced at $9.80. He is considering an options strategy to capitalize on his expectations. Brocato gathers the following three months of data on put and call options for both stocks:「huixue_img/importSubject/1564169527468625920.png」In three months, assume ABC has increased in price by $1.00 while XYZ has dropped by $1.67. Which of the following strategies would have been the most profitable in three months?
选项
A.Short the ABC put option with the $45 strike price, and short the XYZ call option with the $7.50 strike price.
B.Go long the ABC put option with the $45 strike price, and go long the XYZ call option with the $7.50 strike price.
C.Go long the ABC call option with the $55 strike price, and go short the XYZ put option with the $10 strike price.
D.Short the ABC call option with the $55 strike price, and go long the XYZ put option with the $10 strike price.
答案
D
解析
Shorting the ABC call with the $55 strike price will be out-of-the-money, thus, the profit will be the option premium ($1.10). Going long the) XYZ put option with the $10 strike price will be in-the-money, and the profit will be: 10 - 8.13 - 0.75 = 1.12. 假设ABC股票上升1元，XYZ股票下降1.67元，以下哪个策略获利做大。 A: short ABC put (45) and short XYZ call (7.5); profit=0.2＋2.5-(8.13-7.5)=2.07. B: long ABC put (45) and long XYZ call(7.5); profit=-0.2-2.5＋(8.13-7.5)=-2.07. C: long ABC call (55) and short XYZ put(10); profit=-1.1＋0.75-(10-8.13)=-2.22. D: short ABC call(55) and long XYZ put(10); profit= 1.1-0.75＋(10-8.13)= 2.22. D获利最大