然后我们来解释下call debit spread 策略: 这个策略一般适用于你觉得标的资产在未来的一段时间不会上涨太多,但是大趋势是上涨。 核心思想:在比较低的价格位置买入call option, 同时在稍微高点的位置卖出 call option,然后赚取价格在两个高低不同的标的价格之间的盈利(两份期权的到期日相同)。我们用具体的例子来解释...
Credit Spread在不同金融产品中的应用案例 Credit Spread策略在期权交易中具有广泛的应用。例如,在美股期权交易中,投资者可以通过卖出看涨期权(Call Option)并同时买入行权价更高的看涨期权(即构建Call Credit Spread策略)来获得额外的保费收入。当标的资产价格上涨但未达到较高行权价时,投资...
总体上来说,我觉得我们讲解的call debit spread, call credit spread, put debit spread 还有 put credit spread策略,我觉得在市场上比较有效的是put credit spread 和 call credit spread . 总体上来说,call credit spread 用来看跌我们手中的标的资产,从而赚取sell call option的手续费,但是同时未来防止黑天鹅事件...
An example of a bear call spread would include buying a January 50 call on ABC for $2 andwritinga January 45 call on ABC for $5. Let's break this down: You buy a January 50 call option on ABC stock for $2. This gives you the right to buy 100 shares of ABC at $50 per share...
Exhibit 1 illustrates a credit spread call option. [ILLUSTRATION OMITTED] Credit spread options enable investors to separate credit risk from market risk and other types of risk in the following situations. Suppose an investor w...
题目 What is the value of the credit spread call option to an owner of USD10 million of Stedman bonds one year after bond issuance? A. 0, they are out-of-the-money. B. USD64,000. C. USD128,000. 相关知识点: 试题来源: 解析 C 略 反馈 收藏 ...
Assume that instead of a binary credit put option, FI intends to issue the bond with a credit spread call option. The bond’s risk factor is 2 and assume it is now one year from today. The value of the credit call option is closest to: A. 225,000. B. 300,000. C. the credit ...
In the financial world, a credit spread option (also known as a "credit spread") is an options contract that includes the purchase of one option and the sale of a second similar option with a different strike price. Effectively, by exchanging two options of the same class and expiration, ...
Value of Equity 相当于Call option Value of Debt 想当于Put option 所以可以使用PS=CK来计算Value of debt 2.解释Credit Spreads,time to maturity, interest rate之间的关系 2.1 Credit Spread 风险Bond和无风险Bond的利率差 T增大,Credit Spread变宽,但是对非常风险的debt,Credit Spread有可能会收窄 ...
18. Credit spread option pay off 的计算 Schweser notes 3 / page 125 19. Cash CDOs and synthetic CDOs 区别 In Cash CDOs , the issuer directly buys the actual securities 20. BISTRO 和 j-port区别 Both are synthetic structures. Pls refer to Schweser note 3 / page 138-139 ...