题目
Your bank is an active player in the commodity market. The view of the economist of the bank is that inflation is expected to rise moderately in the near term and market volatility is expected to remain low. The traders are advised to undertake deals on the metals exchange to align your book to conform with the expectations of the economist of the bank. As risk manager, you are asked to monitor the positions of the traders to make sure that they have the exposures to inflation and market volatility sought by the bank. Which trader has taken an appropriate position among the traders you are monitoring?
选项
A.Trader A bought a call and a put, both with 90 days to expiration and with strike price equal to the existing spot level.
B.Trader B bought a put option with a down-and-in knock in feature.
C.Trader C bought a call option at the existing spot levels and sold a call at a higher strike price, both with 90 days to expiration.
D.Trader D sold a call option and bought a put at the existing levels, both with 90 days to expiration.
答案
C
解析
Inflation is expected to rise moderately in the near term and market volatility is expected to remain low, stock price will increase moderately, so, choose bull spread.短期内通胀预期温和上升，市场波动预期保持低位，股价将温和上涨，因此，选择牛市价差。