WITH REGARD TO GUSCOTT’S SUGGESTIONS TO THE MANAGER OF THE EMO...

23. With regard to Guscott’s suggestions to the manager of the EMO Fund on reducing the ongoing

costs of hedging, which of the following option portfolios correctly describes a seagull spread?

A. Long a high strike put, short a low strike put.

B. Buying an out‐of‐the‐money put and writing a deeper out‐of‐the‐money put.

C. Buying a protective put, writing a deeper out‐of‐the‐money put, and writing an out‐of‐the‐

money call.