NO.PZ2023041003000057
问题如下:
GI Stock and Option
Information
If the price of GI
stock approaches $75 over the next 30 days, which of the following changes in option
parameter measures will most likely be observed?
选项:
A.
Decreases in vega and the absolute value of theta
B.
Increases in vega and the absolute value of theta
C.
A decrease in vega and an increase in the absolute value of theta
解释:
Typically, theta
is negative for options. The speed of the option value decline increases,
however, as time to expiration decreases. Vega is high when options are at or
near the money. During the next 30 days, the options will approach expiration
and approach being at the money.
A is incorrect.
C is incorrect.
Vega increases as the options become closer to at-the-money.
这题什么意思?现在股价是77,看涨或看跌期权执行价格是75,未来30天股价是75,然后呢?跟波动率和到期时间增大还是减小有什么关系?