NO.PZ2019070101000030
问题如下：
Which of the following statement is not correct?
I. Rho for equity options is small.
II. Put option deltas range from -1 to 0.
III. A 20 vega suggests that for a 1% increase in volatility, the option price will decrease by 20%.
IV. Theta is the most negative for at-the-money options.
选项：
A.I.
B.II.
C.III
D.IV.
解释：
C is correct
考点：Other Greek Letters-Other
解析：Vega与期权价格的变动是正向关系，对于一个20 Vega的期权，代表着当Vega增加1%时，期权价格会上升20%。
我理解越接近到期日Theta变化越大，且theta一直是负的。但at the money不是X=S的中间时间吗？越接近到期日的时候不应该是in the money？
