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期權考考你

2013/10/19

冇市睇又悶悶地, 出d問題考下你地先~ 唔好睇小, 好難的!!

 

假設其他因素不變, 請根據下圖的風險值回答以下問題: (期權金以成交價計)

1) 如果做咗張 Long Call 23400, 聽日期指收市升125點, 咁個期權金會等如幾多?
2) 如果要做一對回報接近完全一樣既 Long Strangle (即升跌都可以賺到同樣既錢), Long Call 24400, Long Put 要做邊個行使價?
3) 比較 24000 Call 及 22400 Put, 邊個既時間值損耗會較大?
4) 如果預期個市短期內會大升, 升一千點, 應該 Long Call 邊個行使價最為有利?
5) 除咗 Delta, Gamma, Theta 及 Vega 外, 仲有一個風險值係咩?

 

答案將於稍後時間公布, 唔識計既都請盡力試下計; 完全唔知發生咩事既請留言"XXX", 等我可以知道究竟有幾多人識, 個比例大概係幾多, 你地既答案會左右我黎梗拍解釋風險值嗰 Part 既內容, 所以請積極參與, THX!

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