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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。

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努力的时光都是限量版,加油!

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