NO.PZ2023091802000143
问题如下:
The short index futures makes the portfolio delta neutral. It does
not help with large moves.
Which position is most risky?
选项:
A.
Gamma-negative, delta-neutral
B.
Gamma-positive, delta-positive
C.
Gamma-negative, delta-positive
D.
Gamma-positive, delta-neutral
解释:
A riskier position is one that is expected to move around a lot in
value. A delta neutral position should not change in value as the value of the
underlying asset changes. This eliminates Choice A and Choice D Choice C is
correct because a gamma-negative position means that delta and the change in
the underlying asset move inversely with each other.
move around是指波动很大的意思吗?