NO.PZ202208100100000102
问题如下：
With respect to Company A, which of Navarro’s statements to Patel is most likely correct?
选项：
A.Statement 1 B.Statement 2 C.Statement 3解释：
Solution
B is correct. Statement 2 is correct. The short stock/long call position is long vega and will benefit from increased volatility, whereas the short stock/short put position is short vega and will benefit from reduced volatility. Statement 1 is incorrect. The delta of her short position is –500. The call delta is 500 × 0.439 = 219.5. The delta of the combined position is –280.5. The short put delta is 0.199.5 = 500 × –(–0.399). The delta of the combined position is –300.5. Thus, both positions are bearish, but the put delta position is more bearish. Statement 3 is incorrect. The theta of the short stock/long call position is negative and is exposed to time decay. The theta for the short stock/short put position is positive [= –(–0.028)] and benefits from time decay.
A is incorrect. Statement 1 is incorrect. The delta of her short position is –500. The call delta is 500 × 0.439 = 219.5. So, the stock + call position delta is –280.5. The short put delta is 500 × –(–0.399) = 199. So, the stock + short put position delta is –300.5. Thus, while both positions are bearish, the stock + short put delta position is more bearish.
C is incorrect. Statement 3 is incorrect. The theta of the short stock/long call position is negative and is exposed to time decay. The theta for the short stock/short put position is positive [= –(–0.028) and benefits from time decay.
Q1.为什么一份合约就对应100个股票？哪里学过，我怎么一点也没有印象?
Q2.stock 的delta 默认是1？delta的定义是底层资产价格变化对期权价格变化的影响，但是如果单纯交易stock，并不涉及期权啊
Q3.theta 的定义是时间流逝对期权价格的影响，因为stock不涉及期权，所以 theta 是不是0？The theta for the short stock/short put position应该是 0 –(–0.028) =0.028？
Q4.为什么当theta 为负数，时间流逝越多，期权越不值钱（何老师课上说的）？怎么通过theta=change in price of option/change in time理解，我感觉分子分母方向正反变化有点乱，很难解释，请老师解答一下。
