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On March 16th 2022, 300ETF closed at 4.146. Mrs Guo shorted fifive June K = 3 . 7 puts at a price of 0.051 per

On March 16th 2022, 300ETF closed at 4.146. Mrs Guo shorted fifive June = 3.7 puts at a price of 0.051 per share, longed fifive June = 3.6 puts at a price of 0.0362 per share, shorted fifive June = 4.7 calls at a price of 0.0406 per share, and longed fifive June = 4.8 calls at a price of 0.0294 per share. There are 86 natural days left. Each option contract concerns 10000 shares. Assume the trading fees to be 2 yuan for opening or closing a contract.


(a) This strategy is often called the iron condor. Calculate the minimum amount of margin required for Mrs Guo's position. You might find the following information useful:

(i) The margin for the put bull spread or call bear spread is magnitude of the difffference of the two strike prices × contract multiplier.

(ii) The margin for the short straddle or short strangle is max(margin for the short callmargin for the short put) + Price of the option corresponding to the smaller margin × contract multiplier.

(b) Calculate the premium Mrs Guo received when opening this position. Calculate the expected maximum return for this position.

(c) What is the position's approximate maximum loss? Remember to take into account of the trading fees as well.

(d) On March 28th 2022, the 300ETF was trading at 4.137. The information about the 2206 300ETF options. 

Calculate the current net profifit and return. Should Mrs Guo close her position now? Give your advice to her.

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