问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师你好，请问答案里面直接写的是long或者short ATM的option，但题目中并没有相关的ATM的表述。如果D选项的前半句并不是ATM，那么long 一个快要到期的期权并不会有较大的gamma吧，而应该是长期的齐全才相对较大吧？
品职答疑小助手雍 · 2019年08月16日
同学你好，这题确实拿atm举例更好
saimeiei · 2019年08月16日
老师你好，我的后半句"那么long 一个快要到期的期权并不会有较大的gamma吧，而应该是长期的齐全才相对较大吧？"对吗
品职答疑小助手雍 · 2019年08月16日
快到期的atm的期权gamma很大，这点上课时候应该强调过的。
saimeiei · 2019年08月16日
老师，我的问题不是ATM的期权…不是特指…
品职答疑小助手雍 · 2019年08月16日
所以我说用ATM举例更好，只要不是深度实值或者深度虚值的，都是快到期的时候gamma大。
saimeiei · 2019年08月16日
就是对于所有的期权来说，只要不是deep itm或者deep otm，都是越临近到期gamma越大，对吗
品职答疑小助手雍 · 2019年08月16日
对的
NO.PZ2016082404000034问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report? The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions. The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions. The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions. The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. 请问这是基础课哪一块知识
NO.PZ2016082404000034 问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report? The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions. The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions. The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions. The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions.如果改成The sk hsubstantishort-expiry long option positions ansubstantilong-expiry short option positions.正确吗? 谢谢老师。
NO.PZ2016082404000034问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report? The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions. The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions. The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions. The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. short vega是指负的vega还是指vega比较小呢？能否可以通过long 短期call 得到呢？Long gamma能否通过short put长期得到呢？
NO.PZ2016082404000034 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma anshort vegWhiof the following portfolios of options shows exposures consistent with this report? The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions. The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions. The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions. The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. 还是不太明白short expire和long expire的选择
老师，我说把答案中两个内容作为组合来考虑整体的gamma和vega的，就感觉虽然答案long一个快到期的atm的option，gamma是大了，但再short一个很长时间到期的option，gamma不又小了吗？而且short vega就是short波动，一个long call一个short call的头寸怎么就是short volatility了呢