NO.PZ2020021205000045
问题如下：
A trader wants to create synthetically a nine-month European put futures option on 1 million times an index. The futures price is USD 2,500, the strike price is USD 2,400, the risk-free rate is 2%, and the volatility of the futures price is 20%. What position should the trader take in futures contracts initially? How does this differ from the position the trader would take if he or she were hedging the same nine-month European put futures option on 1 million times the index?
选项：
解释：
The delta of a long position in a put option on a futures price is e-rT[N(d1 ) - 1]. In this case:
d1== 0.3223
and delta is
[N(0.3223) - 1] = -0.368
The trader should short futures contracts on 368,000 times the index initially to match the delta of the position that is desired. If the trader were hedging 1 million put futures contracts he or she would take a long position in futures contracts on 368,000 times the index.
How does this differ from the position the trader would take if he or she were hedging the same nine-month European put futures option on 1 million times the index?
和前面的题目不是一个意思么？没明白在问什么，也不明白回答为什么从short变成long？另外想问下，delta算出来是负的就是short对么，或者说是基础资产如果是long，就是short，基础资产是short，就是long？
