木同学2025-07-05 17:35:01
木同学2025.2mock1里，第五题，第三问。current stock price is $39.55，A strangle strategy is implemented by buying OTM puts and OTM calls with the same expiration date. The cost of the OTM put option (i.e., $38.50 strike) is $1.76. The cost of the OTM call option (i.e., $40.50 strike) is $1.81.The percentage increase in the CFT share price at which a long strangle strategy would break even is closest to: C 9.03%..我计算出来的盈亏平衡点是44.07
回答（1）
Simon2025-07-10 10:35:47
Simon同学，上午好。44.07是对的。
这个mock的题目是错的。
strangle strategy有两个break even point，当标的资产价格达到这两个临界值时，strangle strategy´ profit=0
OTM价外看涨期权执行价格是40.5，期权费是1.81
OTM价外看跌期权执行价格是38.5，期权费是1.76
breakeven price分别是
①34.93，此时只有put行权，Profit=Xp-ST-c0-p0，求ST=breakeven price=Xp-c0-p0=38.5-1.81-1.76=34.93
②44.07，此时只有call行权，Profit=ST-Xc-c0-p0，求ST=breakeven price=Xc--c0-p0=40.5+1.81+1.76=44.07
股价变化至breakeven的百分比就分别是:
34.93/39.55-1=-11.68%
44.07/39.55-1=11.43%
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