题目
Research and model projections indicate that a specific event is likely to move the CHF against the USD. While the direction of the move is highly uncertain, it is highly likely that magnitude of the move will be significant. Based on this information, which of the following strategies would provide the largest economic benefit?
选项
A.Long a call option on USD\/CHF and long a put option on USD\/CHF with the same strike price and expiration date.
B.Long a call option on USD\/CHF and short a put option on USD\/CHF with the same strike price and expiration date.
C.Short a call option on USD\/CHF and short a put option on USD\/CHF with the same strike price and expiration date.
D.Short a call option on USD\/CHF and long a put option on USD\/CHF with the same strike price and expiration date.
答案
A
解析
While the direction of the move is highly uncertain, it is highly likely that magnitude of the move will be significant; we can see that we should take a trend trading. So, we buy a call option and buy a put option, this strategy calls straddle. 题目问 策略要提供最大化收益，并且不确定方向的。 short call option是损失无限，收益有限。 Long call option反之。PUToption也是一样。 因此买入看涨好额买入看跌构成的straddle是符合提干要求的。