开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Amy_ywh · 2024年07月19日

这里为什么可以assume delta portfolio = 1?

NO.PZ2023020101000028

问题如下:

Newport has an endowment that helps support the school financially. The school has learned the endowment will be receiving a gift of 100,000 shares of Global Industries (GI) stock in one month. IST recommends the use of a one-month options position to hedge against a material price decline on the stock during this period. Exhibit 2 lists the relevant GI stock and option characteristics.

Exhibit 2 GI Stock and Option Information

Assuming one option per share, an appropriate delta hedge for the GI stock would most likely be to:

选项:

A.

sell 168,010 calls.

B.

sell 148,428 calls.

C.

buy 40,100 puts.

解释:

The call delta is 0.5952. The number of calls to hedge 100,000 shares is calculated as 1/0.5952 = 168,010. An appropriate hedge for 100,000 shares of stock with a delta of 1 would be to sell 168,010 calls.

B is incorrect. This assumes DeltaH (used when selling calls against 100,000 short puts) should be used. The portfolio delta is 1 and the put delta is –0.4010 and DeltaH = –0.6737 (or –0.4010/0.5952), which would be used when hedging a short position of puts on 100,000 shares of stock. Using calls, the number of hedging units is 1/–0.6737; 1/0.6737 = 148,428.

C is incorrect. The correct number of puts to purchase is calculated as 1/Delta put or 249,376 puts.

如题

1 个答案

pzqa35 · 2024年07月19日

嗨,努力学习的PZer你好:


我们delta衡量的是标的资产变动1单位,头寸的变动是多少,那么对于股票而言,delta是等于1的,因为股价变动1单位,对应的股票头寸价格也是变动1单位。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 161

    浏览
相关问题

NO.PZ2023020101000028 问题如下 Newport henwmentthhelps support the school financially. The school hlearnethe enwmentwill receiving a gift of 100,000 shares of GlobInstries (GI) stoinone month. IST recommen the use of a one-month options position to heeagainst a materipricline on the storing this perio Exhibit 2lists the relevant GI stoanoption characteristics.Exhibit 2 GI StoanOption InformationAssuming one option per share, anappropriate lta hee for the GI stowoulmost likely to: A.sell 168,010calls. B.sell 148,428calls. C.buy 40,100 puts. The call lta is0.5952. The number of calls to hee 100,000 shares is calculate1/0.5952 =168,010. appropriate hee for 100,000 shares of stowith a lta of 1woulto sell 168,010 calls.B is incorrect. Thisassumes lt(usewhen selling calls against 100,000 short puts) shoulbeuse The portfolio lta is 1 anthe put lta is –0.4010 anlt=–0.6737 (or –0.4010/0.5952), whiwoulusewhen heing a short positionof puts on 100,000 shares of stock. Using calls, the number of heing units is1/–0.6737; 1/0.6737 = 148,428. C is incorrect. Thecorrenumber of puts to purchase is calculate1/lta put or 249,376puts. 如上

2024-03-08 14:36 1 · 回答

NO.PZ2023020101000028问题如下 Newport henwmentthhelps support the school financially. The school hlearnethe enwmentwill receiving a gift of 100,000 shares of GlobInstries (GI) stoinone month. IST recommen the use of a one-month options position to heeagainst a materipricline on the storing this perio Exhibit 2lists the relevant GI stoanoption characteristics.Exhibit 2 GI StoanOption InformationAssuming one option per share, anappropriate lta hee for the GI stowoulmost likely to: A.sell 168,010calls.B.sell 148,428calls.C.buy 40,100 puts. The call lta is0.5952. The number of calls to hee 100,000 shares is calculate1/0.5952 =168,010. appropriate hee for 100,000 shares of stowith a lta of 1woulto sell 168,010 calls.B is incorrect. Thisassumes lt(usewhen selling calls against 100,000 short puts) shoulbeuse The portfolio lta is 1 anthe put lta is –0.4010 anlt=–0.6737 (or –0.4010/0.5952), whiwoulusewhen heing a short positionof puts on 100,000 shares of stock. Using calls, the number of heing units is1/–0.6737; 1/0.6737 = 148,428. C is incorrect. Thecorrenumber of puts to purchase is calculate1/lta put or 249,376puts. 如题,解答里是说lta 为1,但要hee 风险,不应该是让portfolio lta 为0的一阶导?

2023-10-15 23:55 1 · 回答

NO.PZ2023020101000028 问题如下 Newport henwmentthhelps support the school financially. The school hlearnethe enwmentwill receiving a gift of 100,000 shares of GlobInstries (GI) stoinone month. IST recommen the use of a one-month options position to heeagainst a materipricline on the storing this perio Exhibit 2lists the relevant GI stoanoption characteristics.Exhibit 2 GI StoanOption InformationAssuming one option per share, anappropriate lta hee for the GI stowoulmost likely to: A.sell 168,010calls. B.sell 148,428calls. C.buy 40,100 puts. The call lta is0.5952. The number of calls to hee 100,000 shares is calculate1/0.5952 =168,010. appropriate hee for 100,000 shares of stowith a lta of 1woulto sell 168,010 calls.B is incorrect. Thisassumes lt(usewhen selling calls against 100,000 short puts) shoulbeuse The portfolio lta is 1 anthe put lta is –0.4010 anlt=–0.6737 (or –0.4010/0.5952), whiwoulusewhen heing a short positionof puts on 100,000 shares of stock. Using calls, the number of heing units is1/–0.6737; 1/0.6737 = 148,428. C is incorrect. Thecorrenumber of puts to purchase is calculate1/lta put or 249,376puts. 这道题给出的条件是IST recommen the use of a one-month options position to hee against a materipricline on the storing this perio 为了对冲股票价格下降的风险,应该是long put啊,为啥最后的结果是sell call呢?咱们计算的时候,是不是先用put计算一下,发现答案对不上,然后再转求call的头寸啊?是这道题出的有问题,还是就是这样考察这个知识点呢?

2023-10-05 18:16 1 · 回答

NO.PZ2023020101000028 问题如下 Newport henwmentthhelps support the school financially. The school hlearnethe enwmentwill receiving a gift of 100,000 shares of GlobInstries (GI) stoinone month. IST recommen the use of a one-month options position to heeagainst a materipricline on the storing this perio Exhibit 2lists the relevant GI stoanoption characteristics.Exhibit 2 GI StoanOption InformationAssuming one option per share, anappropriate lta hee for the GI stowoulmost likely to: A.sell 168,010calls. B.sell 148,428calls. C.buy 40,100 puts. The call lta is0.5952. The number of calls to hee 100,000 shares is calculate1/0.5952 =168,010. appropriate hee for 100,000 shares of stowith a lta of 1woulto sell 168,010 calls.B is incorrect. Thisassumes lt(usewhen selling calls against 100,000 short puts) shoulbeuse The portfolio lta is 1 anthe put lta is –0.4010 anlt=–0.6737 (or –0.4010/0.5952), whiwoulusewhen heing a short positionof puts on 100,000 shares of stock. Using calls, the number of heing units is1/–0.6737; 1/0.6737 = 148,428. C is incorrect. Thecorrenumber of puts to purchase is calculate1/lta put or 249,376puts. 请问这题考的是讲义的哪个知识点?

2023-07-07 17:13 1 · 回答