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徐威廉 · 2024年04月13日

到期日和gamma的关系

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000035

问题如下：

Which of the following statements is incorrect?

选项：

A.

  The vega of a European-style call option is highest when the option is at-the-money.

B.

  The delta of a European-style put option moves toward zero as the price of the underlying stock rises.

C.

  The gamma of an at-the-money European-style option tends to increase as the remaining maturity of the option decreases.

D.

  Compared to an at-the-money European-style call option, an out-of-the- money European-style option with the same strike price and remaining maturity has a greater negative value for theta.

解释：

ANSWER: D

Vega is highest for ATM European options, so statement A is correct. Delta is negative and moves to zero as S increases, so statement B is correct. Gamma increases as the maturity of an ATM option decreases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement D is incorrect.

C选项，随着到期日临近，at the money 的gamma上升；in/out the money 的gamma下降。请分别解释一下为什么？

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已采纳答案

pzqa39 · 2024年04月14日

嗨，爱思考的PZer你好：


随着到期日临近，平价期权的Gamma值上升是因为其价值主要由时间价值构成，对标的资产价格的微小变动极其敏感；

而实值和虚值期权的Gamma值下降，是因为其价值主要由内在价值决定，临近到期时对标的资产价格变动的敏感度相对较低。

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NO.PZ2016082404000035问题如下 Whiof the following statements is incorrect?   The vega of a European-style call option is highest when the option is at-the-money.   The lta of a European-style put option moves towarzero the priof the unrlying storises.   The gamma of at-the-money European-style option ten to increase the remaining maturity of the option creases.   Compareto at-the-money European-style call option, out-of-the- money European-style option with the same strike prianremaining maturity ha greater negative value for theta. ANSWER: D Vega is highest for ATM Europeoptions, so statement A is correct. lta is negative and moves to zero S increases, so statement B is correct. Gamma increases the maturity of ATM option creases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect. 关于答案错误的原因Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect.我觉得和表述的不是一回事，我对理解是对于theta，无论是call还是put，都小于0，ATM时|theta|最大，OTM和ITM时，with the same strike prianremaining maturity，|theta|更小。

2022-03-23 10:58 1 · 回答

Whiof the following statements is incorrect?   The vega of a European-style call option is highest when the option is at-the-money.   The lta of a European-style put option moves towarzero the priof the unrlying storises.   The gamma of at-the-money European-style option ten to increase the remaining maturity of the option creases.   Compareto at-the-money European-style call option, out-of-the- money European-style option with the same strike prianremaining maturity ha greater negative value for thet ANSWER: Vega is highest for ATM Europeoptions, so statement A is correct. lta is negative anmoves to zero S increases, so statement B is correct. Gamma increases the maturity of ATM option creases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect. 老师您好，解析里说 Theta is greater (in absolute value) for short-term ATM options, 这个没错。可是的是 a greater negative value for theta啊，这也是对的啊，又不是比较绝对值之后值的大小。是我英文理解的问题吗？

2020-05-08 21:44 1 · 回答

请问C的remaining maturity不是应该是快到期的时间么？为什么里面直接把它当成两个不一样maturity的option来看了？

2019-11-14 09:42 2 · 回答

是理解不了

2019-10-31 21:51 1 · 回答