NO.PZ2019010402000031
问题如下:
A manager has a short position in call options, this position will have:
选项:
A.
positive gamma
B.
negative gamma
C.
neutral gamma
解释:
B is correct.
考点:GREEK-GAMMA
解析:
Gamma的正负取决于头寸方向,long call/put的gamma大于0,short call/put的gamma小于0。这一题的头寸是short options,所以gamma是negative的。
已知Gamma是图形的二阶导数,在 Short position时。图形斜率变化率小于零应该怎么动态的理解呀?