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FRM每日一练——Option Combination Strategies

来源：高顿网校 2015-03-23

　　Exercise：

　　Which of the following regarding option strategies is/are not correct?

　　IA long strangle involves buying a call and a put with equal strike prices

　　IIA short bull spread involves selling a call at lower strike price and buying another call at higher strike price

　　IIIVertical spreads are formed by options with different maturities

　　IVA long butterfly spread is formed by buying two options at two different strike prices and selling another two options at the same strike price

　　A.I only

　　B.I and III only

　　C.I and II only

　　D.III and IV only

　　Answer: B

　　A long strangle involves buying a call and a put with different strike prices. Buying a call and a put with equal strike prices is a straddle.

　　A long bull spread involves buying a call at lower strike price and selling a call at higher strike price. Hence, a short bull spread is the opposite, i.e. selling a call at lower strike price and buying a call at higher strike price

　　Vertical spreads correspond to different strike prices, not maturities. Horizontal spreads correspond to different maturities.

　　A long butterfly spread is formed by buying two options at two different maturities and selling another two options at the same strike price.

　　相关知识点：Option Combination Strategies

　　Long straddle: Bet on volatility. Buy a call and a put with the same exercise price and expiration date. Profit is earned if stock price has a large change in either direction.

　　Short straddle: Sell a put and a call with the same exercise price and expiration date. If stock price remains unchanged, seller keeps option premiums. Unlimited potential losses.

　　Strangle: Similar to straddle except purchased option is out-of-the-money, so it is cheaper to implement. Stock price has to move more to be profitable.

　　Strips and straps: Add an additional put (strip) or call (strap) to a straddle strategy.

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