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pseudonym · 2023年12月31日

怎么知道25delta是OTM option的?

NO.PZ2022123002000012

问题如下:

Peixaria indicates that his research suggests that the USD/EUR currency pair will become more volatile over the near term. He recommends that BC implement an options-based strategy using USD/EUR options to profit from the expected increase in volatility.

In regard to using USD/EUR options, Peixaria is least likely to recommend a strategy to go:

选项:

A.

short an equal number of 15-delta puts and calls

B.

long an equal number of 25-delta puts and calls

C.

long an equal number of 50-delta puts and calls

解释:

Correct Answer: A

A short strangle (short an equal number of 15-delta calls and puts) would only be appropriate if volatility is expected to be low. The expectation is for increased volatility, so the long strangles would be more appropriate. A strategy of taking long positions on an equal number of 50-delta calls and 50-delta puts (i.e., a 50-delta straddle) is an appropriate way to take advantage of expected increased volatility in the USD/EUR currency pair. However, 50-delta calls and puts are at-the-money options and are more expensive than out-of-the-money options, such as 25-delta calls and puts (a 25-delta strangle).

B is incorrect. A long 25-delta strangle is appropriate if you expected increased volatility. This strategy is a cheaper than the 50-delta strangle because 50-delta calls and puts are at-the-money options and are more expensive than out-of-the-money options such as 25-delta calls and puts (a 25-delta strangle).

C is incorrect. A long 50-delta strangle (long 50-delta calls and puts) would be appropriate if you expected high volatility.

如题,请问怎么知道25-delta是OTM option的?

1 个答案
已采纳答案

pzqa31 · 2024年01月01日

嗨,努力学习的PZer你好:


关于delta的表述以下请参考:

1. 50-delta是省略了50%的%,也就是ATM的delta。

2. delta前面的数字小于50,且越小越OTM;delta前面的数字大于50,且越大越ITM. 所以25-delta相比于35-delta更OTM。

3.不论put和call,50-delta,25-delta,35-delta都是取的绝对值,比较大小也是比较绝对值,都是delta前面的数字(或者说绝对值)越大,越贵。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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