NO.PZ2018122701000048
问题如下：
A portfolio manager owns a portfolio of options on a non-dividend paying stock RTX. The portfolio is made up of 10,000 deep in-the-money call options on RTX and 50,000 deep out-of-the money call options on RTX. The portfolio also contains 20,000 forward contracts on RTX. RTX is trading at USD 100. If the volatility of RTX is 30% per-year, which of the following amounts would be closest to the 1-day VaR of the portfolio at the 95 percent confidence level, assuming 252 trading days in a year?
选项：
A.USD 932
B.USD 93,263
C.USD 111,122
D.USD 131,892
解释：
B is correct.
考点Mapping to Option Position
解析We need to map the portfolio to a position in the underlying stock RTX. A deep in-the-money call has a delta of approximately 1, a deep out-of-the-money call has delta of approximately 0 and forwards have a delta of 1. The net portfolio has a delta of about 30,000 and is approximately gamma neutral. The 1-day VaR estimate at 95 percent confidence level is computed as follows:
两个问题。
第1个问题，这题先求NET的position，因为deep-in-the-money的call opt的delta是1，deep-out-of-the-money的call opt的delta是0，forward contract的delta是1，所以就考虑delta是1的这两个的仓位，一个仓位是10000一个是20000，一共是30000，这是正确的理解。也就是答案的这一句： A deep in-the-money call has a delta of approximately 1, a deep out-of-the-money call has delta of approximately 0 and forwards have a delta of 1. 但随后答案有问题了，它说：The net portfolio has a delta of about 30,000 。这怎么能是delta 是30000呢？这是delta 是1的net position有30000份啊。
第2个问题，假如这题改一下，deep in-the-money的call opt还是10000份，另一份 call不是deep out-of-the-money，而是delta是0.5的一点点out-of-the-money，请问该如何处理？是不是用0.5乘以它这个资产的份数50000得到25000，然后加上刚才那些？另外如果这个0.5不是一点点out-of-the-money，而是一点点in-the-money的，也这么计算吗，在相加的时候符号需要取负号吗？
