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Jena · 2023年10月27日

答案解析中的move around是什么意思

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?

1 个答案
已采纳答案

pzqa27 · 2023年10月27日

嗨,努力学习的PZer你好:


第一句话的意思是:风险较高的头寸是指预期价值波动较大的头寸。

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