题目
Which of the following regarding option strategies is (are) not correct? I A long strangle involves buying a call and a put with equal strike prices. II A short bull spread involves selling a call at lower strike price and buying another call at higher strike price. III Vertical spreads are formed by options with different maturities. IV A long butterfly spread is formed by buying two options at two different strike prices and selling another two options at the same strike price.
选项
A.I only
B.I and III only
C.I and II only
D.III and IV only
答案
B
解析
●A long strangle involves buying a call and a put with different strike prices. Buying a call and a put with equal strike prices is a straddle. ●A long bull spread involves buying a call at lower strike price and selling a call at higher strike price. Hence, a short bull spread is the opposite, i.e. selling a call at lower strike price and buying a call at higher strike price. ●Vertical spreads correspond to different strike prices, not maturities. Horizontal spreads correspond to different maturities. ●A long butterfly spread is formed by buying two options at two different maturities and selling another two options at the same strike price.long strangle包括买入执行价格不同的看涨和看跌期权。以相同的执行价格买入看涨期权和看跌期权是一种long straddle。买入牛市价差包括以较低的执行价格买进看涨期权，以较高的执行价格卖出看涨期权。因此，卖出牛市价差正好相反，即以较低的执行价格卖出看涨期权，以较高的执行价格买入看涨期权。垂直价差对应的是不同的执行价格，而不是到期日。水平价差对应不同的到期期限。买入蝴蝶价差是通过买入两个不同期限的期权，然后以相同的执行价格（中间价）卖出两份期权。