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Falcon · 2020年09月09日

问一道题：NO.PZ201702190300000408

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

8.The strategy suggested by Lee for hedging small moves in Soiomon‘s ETF position would most likely involve:

选项：

A.

selling put options.

B.

selling call options.

C.

buying call options.

解释：

B is correct

because selling call options creates a short position in the ETF that would hedge his current long position in the ETF.

Exhibit 2 could also be used to answer the question. Solomon owns 10,000 shares of the GPX, each with a delta of +1; by definition, his portfolio delta is + 10,000. A delta hedge could be implemented by selling enough calls to make the portfolio delta neutral:

NH=Portfolio deltaDelataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ delta}}{Delata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.

老师看下我理解的对不对。

我通过payoff画图定性理解，现在是long ETF, 担心ETF下降，既可以选择Short Call，也可以选择Long Put。

如果选择Short Call 的话只能在small move时起作用，用收到的期权费hedge ETF的下降, 一旦ETF的下降超过了Short Call的期权费，就起不到Hedge的作用了。

如果担心大幅下降，只有Long Put才有用。

这道题如果有Long Put也是对的。

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1 个答案

WallE_品职答疑助手 · 2020年09月09日

不对，你都说了如果担心大幅下降，只有Long Put才有用。

但这个题目说的是 small moves，如果你Long put 那不是白交期权费？所以有short call 还是选 short call

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NO.PZ201702190300000408 老师好，这道题说拥有ETF，那就是long一个头寸，但如何判断是call还是put呢？我当时认为题目说he is worriethe inx woulcline，那就代表原来是认为价格会上涨么，那应该是call啊

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2021-07-01 18:31 1 · 回答

NO.PZ201702190300000408 selling call options. buying call options. B is correbecause selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral: NH=Portfolio ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataH​Portfolio lta​=+0.6232+10,000​−16,046 calls.老师 如果A说buy put对吗？

2021-05-17 13:12 1 · 回答

NO.PZ201702190300000408 selling call options. buying call options. B is correbecause selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral: NH=Portfolio ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataH​Portfolio lta​=+0.6232+10,000​−16,046 calls.1，解析中的公式从哪里来的？我在强化班中并没有看到。为什么可以直接用 portfolio lta除以 lta put ，而且分子分母都是正数，得出来的是负数？2.怎么定量求解？

2021-02-12 23:04 1 · 回答

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2020-09-26 19:52 1 · 回答