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北京国际金融培训中心(金程北京)
金程教育WWW.GFEDU.NET 专业·领先·增值
2015 年5 月考试真题解析
1. A company is expected to announce the terms of a materially important contract
negotiation in early April. A trader expects the company’s stock to be range-bound
until then and has entered into a position that is short 100 March calls with a strike
price of USD 50 and long 100 April calls with a strike price of USD 50. After some
consideration, the risk committee believes there is a possibility that the news will be
released in mid-March and informs the trade of this change. Based on the new
information, the trader sells the 100 April calls and buys 50 March calls with a strike at
9
USD 30 and 50 March calls with a strike at USD 70. What types of positions did the
k
trader have? w
A
A. The original position was long a call spread and the final position was long a
F
C
strangle
B. The original position was long a calendar spread and the final position was long
信
a butterfly spread. 微
加
C. The original position was long a reverse calendar spread and the final position
was long a call spread. 习
D. The original position was long a calendar spread and the final position was short
学
a butter
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