为啥otm put的wwr更大呢

问题如下：

A hedge fund manages a portfolio of equity options. Among them are options written by a financial institution on its own stock. Assuming the financial institution could write one of the following options, which option would give the highest wrong-way risk?

选项：

A.

An in-the-money call option

B.

An in-the-money put option

C.

An out-of-the-money call option

D.

An out-of-the-money put option

解释：

D is correct. “Buying a put option on a stock (or stock index) where the underlying in question has fortunes that are highly correlated to those of the counterparty is an obvious case of wrong-way risk” (CR 2017, reference below). Thus, choices A and C are ruled out.

Also, according to CR 2017, “an out-of-the-money put option will have more wrong- way risk than an in-the-money one.” That implies option D is the only correct one.