FRM考试Combinations of Calls and Puts相关内容介绍！

发布时间：2021-07-12 09:24编辑：融跃教育FRM

Combinations of Calls and Puts是FRM一级考试的相关内容，在备考中，考生一定要对相关内容有所了解。下文是对它的详细介绍，一起了解一下！

Straddle ：

long straddle= long call+ long put

• This strategy is profitable when the stock price moves strongly in either direction. This strategy bets on volatility.》》》戳：免费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）

short straddle= short call+ short put

• bets on little movement in the stock

Strangle ：

Different strike price (compared with straddle)

Strips ：

Long 2 Put +Long 1 Call

Straps ：

Long 2 Call +Long 1 Put

Collar ：

Collar= protective put+ covered call = long stock+ short call + long put

• If the premium of the two are equal, it is called a zero-cost collar.

Box pread：

Box Spread= bull call spread+ bear put spread

Interest rate Option： 【资料下载】点击下载融跃教育FRM考试公式表

Call/Put ：

Call: floating-rate borrower

Put: floating-rate investor

计算payoff

• Call: P=max (0, NP* (LIBOR - cap strike) * actual days /360)

• Put: P=max (0, NP* (floor strike - LIBOR) * actual days /360)

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