温同学2020-07-09 09:28:54

Pierre- Louis Robert just purchased a call option on shares of the Michelin Group. A few days ago he wrote a put option on Michelin shares. The call and put options have the same exercise price, expiration date, and number of shares underlying. Considering both positions, Robert’s exposure to the risk of the stock of the Michelin Group is: A long. B short. C neutral. 我选择的是C，因为首先投资人买的是看空期权，所以股价上涨，对于投资人是风险。但是随后投资人买了看涨期权，如果股价上涨，那么看涨期权的收益能够覆盖看空期权，如果股价下跌，看空期权的收益覆盖看涨期权。所以选择C。 但是答案是A，解释如下，不太明白，请您讲解一下。 A is correct. Robert’s exposure to the risk of the stock of the Michelin Group is long. The exposure as a result of the long call position is long. The exposure as a result of the short put position is also long. Therefore, the combined exposure is long. 为什么看涨期权的风险敞口是long，不是short呢？