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大吉0511 · 2023年06月11日

. The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying. The larg

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NO.PZ202212300200003302

问题如下:

A client, Wanda Tills asks Singh to explain the gamma of a call option. Based on the data in Exhibit 2, Singh would advise Tills that the call option with the largest gamma would have a strike price closest to:

选项:

A.

$ 55.00

B.

$ 67.50

C.

$ 80.00

解释:

Correct Answer: B

B is correct. The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying. The largest gamma occurs when options are trading at the money or near expiration, when the deltas of such options move quickly toward 1.0 or 0.0. Under these conditions, the gammas tend to be largest and delta hedges are hardest to maintain.

. The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying.


我的理解67.5不是已经 in the money了吗,如股价是67.79

1 个答案

pzqa31 · 2023年06月11日

嗨,努力学习的PZer你好:


因为gamma最大是出现在at the money或者临近到期,所以在三个选项里选一个最接近at the money的,也就是和当前股价67.79差的最小的哈。

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