开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

kevinzhu · 2022年06月23日

答案看不懂

* 问题详情,请 查看题干

NO.PZ202108100100000407

问题如下:

The strategy suggested by Lee for hedging small moves in Solomon’s ETF position would most likely involve

选项:

A.

selling put options.

B.

selling call options.

C.

buying call options.

解释:

B is correct.

because selling call options creates a short position in the ETF that would hedge his current long position in the ETF.

Exhibit 2 could also be used to answer the question. Solomon owns 10,000 shares of the GPX, each with a delta of +1; by definition, his portfolio delta is +10,000. A delta hedge could be implemented by selling enough calls to make the portfolio delta neutral:

NH = - Portfolio delta / DeltaH = +10,000/+0.6232 = -16,046 calls

中文解析:

对冲小幅波动用delta hedge的方法。现在持有股票的多头,因此做对冲应该long put或者short call,因此本题只能选择B。

具体short call的份数按照公式计算即可。

答案看不懂,请再详细解析一下

1 个答案

Lucky_品职助教 · 2022年06月24日

嗨,努力学习的PZer你好:


这道题要选出答案并不需要定量计算,为了hedge一个ETF的long position,要么short call,要么long put,而选项中只有short call,所以选B。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 433

    浏览
相关问题

NO.PZ202108100100000407 问题如下 The strategy suggesteLee for heing small moves in Solomon’s ETF position woulmost likely involve selling put options. selling call options. C.buying call options. B is correct. because selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is +10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral:NH = - Portfolio lta / lt = +10,000/+0.6232 = -16,046 calls中文解析对冲小幅波动用lta hee的方法。现在持有股票的多头,因此做对冲应该long put或者short call,因此本题只能选择B。具体short call的份数按照公式计算即可。 如题

2023-10-19 16:58 1 · 回答

NO.PZ202108100100000407问题如下 The strategy suggesteLee for heing small moves in Solomon’s ETF position woulmost likely involve selling put options.selling call options.C.buying call options. B is correct. because selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is +10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral:NH = - Portfolio lta / lt = +10,000/+0.6232 = -16,046 calls中文解析对冲小幅波动用lta hee的方法。现在持有股票的多头,因此做对冲应该long put或者short call,因此本题只能选择B。具体short call的份数按照公式计算即可。 答案中0.6232是怎么来的?没有看懂

2022-08-16 22:13 1 · 回答