单选题 Tommy Stamlano owns stock worth $80 per share. Stamlano buys a put option with a strike price of $70 for $1.50. At expiration of the put option, the stock price is $65 per share. The profit or loss from Stamlano's portfolio insurance strategy is a:

A、

A. loss of $11.50.
B、

B. loss of $1.50.
C、

C. gain of $16.50.

【正确答案】 A

【答案解析】The put option is in-the-money at expiration ( Max (0, X - S) ) and is worth $5. Stamlano lost $15 on the stock ( $80- $65) and is also out the premium on the option, $1.50. Therefore, Stamlano lost a total of $11.50 ( - $15 - $1.50 + $5).