frr07172018-04-02 15:33:20
题目: Bochanski cautions that covered call options are not as effective as protective put positions in protecting the portfolio against any future downturn. He comments, “Protective put positions are analogous to insurance policies.” When implementing protective put positions, Bochanski states that factors he considers are stock price and put exercise price. Upon thinking about Bochanski’s statement, Dan Smith states that he would consider time value and upfront premium. Beauregard adds that she considers stock volatility and time until expiration. Q. In comparing insurance policies to protective put positions, whose statements most likely relate to the amount of loss that the investor is willing to bear? A. Bochanski B. Smith C. Beauregard 字数超限了, 老师请refer to 下一题, 谢谢!
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Vincent2018-04-02 18:31:47
protective put strategy 里面考虑的是股票价格,行权价格,和期权费。B只考虑了期权费(upfront premium), 因为期权费含有time value和intrinsic value, 他提到了time value是期权费的一部分,所以只提到了期权费。C啥都没考虑。
题目问的是可能承担的最大损失,protective put strategy的最大损失是X-P-S. 从公式看我们只考虑行权价格,put的premium和股票价格。
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