NO.PZ2023091802000156
问题如下：
An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time. Which strategy would the trader most likely employ to hedge his portfolio?
选项：
A.
Sell short dated options and buy long dated options
B.
Buy short dated options and sell long dated options
C.
Sell short dated options and sell long dated options
D.
Buy short dated options and buy long dated options
解释：
Such a portfolio is short vega (volatility) and short theta (time).
We need to implement a hedge that is delta-neutral and involves buying and
selling options with different maturities. Long positions in short-dated
options have high negative theta and low positive vega. Hedging can be achieved
by selling short-term options and buying long-term options.
比如volatility变大为什么Vega小于0？还有此题为什么theta小于0？
