NO.PZ202208100100000102
问题如下：
With respect to Company A, which of Navarro’s statements to Patel is most likely correct?
选项：
A.Statement 1 B.Statement 2 C.Statement 3解释：
Solution
B is correct. Statement 2 is correct. The short stock/long call position is long vega and will benefit from increased volatility, whereas the short stock/short put position is short vega and will benefit from reduced volatility. Statement 1 is incorrect. The delta of her short position is –500. The call delta is 500 × 0.439 = 219.5. The delta of the combined position is –280.5. The short put delta is 0.199.5 = 500 × –(–0.399). The delta of the combined position is –300.5. Thus, both positions are bearish, but the put delta position is more bearish. Statement 3 is incorrect. The theta of the short stock/long call position is negative and is exposed to time decay. The theta for the short stock/short put position is positive [= –(–0.028)] and benefits from time decay.
A is incorrect. Statement 1 is incorrect. The delta of her short position is –500. The call delta is 500 × 0.439 = 219.5. So, the stock + call position delta is –280.5. The short put delta is 500 × –(–0.399) = 199. So, the stock + short put position delta is –300.5. Thus, while both positions are bearish, the stock + short put delta position is more bearish.
C is incorrect. Statement 3 is incorrect. The theta of the short stock/long call position is negative and is exposed to time decay. The theta for the short stock/short put position is positive [= –(–0.028) and benefits from time decay.
请问？为啥 这里可以理解一份期权对应100份股票，所以在计算期权的delta的时候，要用合约的份数先乘以100再乘以期权的delta？
为啥一份合约 对应100份股票？
