NO.PZ2016082404000034
问题如下：
Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which of the following portfolios of options shows exposures consistent with this report?
选项： The desk has substantial long-expiry long call
positions and substantial short-expiry short put positions.
The desk has substantial long-expiry long put positions and substantial long-expiry short call positions.
C.The desk has substantial long-expiry long call positions and substantial short-expiry short call positions.
D.The desk has substantial short-expiry long call positions and substantial long-expiry short call positions.
解释：
ANSWER: D
Long gamma means that the portfolio is long options with high gamma, typically short-term (short-expiry) ATM options. Short vega means that the portfolio is short options with high vega, typically long-term (long-expiry) ATM options.
D选项：The desk has substantial short-expiry long call positions and substantial long-expiry short call positions.
如果改成：The desk has substantial short-expiry long option positions and substantial long-expiry short option positions.正确吗? 谢谢老师。
