融跃教育

来自:FRM > 一级 > 电脑版 > Unit 11.期权 2021-09-11 13:05
Buying a call at a low exercise price, buying another at a higher exercise price, and selling calls with exercise prices between the high and low is called a butterfly spread.请问老师,low K call期权费高,high K call期权费低对吗?哪个更容易行权?butterfly策略优缺点是什么?
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Lorien

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liuxuyao    2021-09-12 09:13

致精进的你:

对的同学,对于看涨期权来说,low K call期权费高,high K call期权费低,具体行权与否要看K与S的对比哈,butterfly策略成本很低,杠杆作用强,但是盈利区间很窄,而且你得保证价格在到期时间内不跑走,是致力于从小反弹中获利的策略哈

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