Statement 1“While the position deltas of the stock + call portfolio and the stock + put portfolio are bearish, the position delta of the call position would be more bearish than that of the put position.”
Statement 2“The stock + call portfolio is long vega and thus will benefit from increased volatility. However, the stock + put portfolio is short vega and thus will benefit from reduced volatility.”
Statement 3“The stock + call portfolio benefits from time decay, and the stock + put portfolio is exposed to time decay.”
能否请老师复习一下vega与portfolio的关系
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