问题如下图：因为问的是在option的生命周期里？所以是个动态对冲，profit指的是成本最低，如果问的这个option获利最大就是b？
选项：
A. 
B. 
C. 
D. 
解释：
orange品职答疑助手 · 2019年11月05日
我觉得本题考点是delta动态对冲。delta对冲是指，构建投资组合（买入期权），使得新构建成的投资组合对于标的资产的价格变动敏感度为0。
但delta对冲是瞬时对冲。要想一直实现对冲目的，就必须要动态对冲，即不断根据标的资产的价格变动，来调整对冲比例。如果标的资产的真实波动率过大，即每次调整投资组合的幅度过大，就会带来过大的成本。因此，真实波动率越小，动态投资组合的调整成本也越小，即越profitable。
B选项的话不对，因为动态对冲的组合是否能赚钱，取决于隐含波动率和真是波动率是否一致，和标的资产价格一直上升与否无关
orange品职答疑助手 · 2019年11月05日
我意思是，问option获利最大的话，也不是B
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