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让我爱你 · 2021年03月20日

问一道题:NO.PZ201712110100000306

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NO.PZ201712110100000306

问题如下:

Based on the data in Exhibit 2, Singh would advise Tills that the call option with the largest gamma would have a strike price closest to:

选项:

A.

$ 55.00.

B.

$ 67.50.

C.

$ 80.00.

解释:

B is correct.

The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying. The largest gamma occurs when options are trading at the money or near expiration, when the deltas of such options move quickly toward 1.0 or 0.0. Under these conditions, the gammas tend to be largest and delta hedges are hardest to maintain.

The largest gamma occurs when options are trading at the money or near expiration, when the deltas of such options move quickly toward 1.0 or 0.0.

答案的表述有问题吧,应该是+1 or -1?

1 个答案

Hertz_品职助教 · 2021年03月20日

嗨,爱思考的PZer你好:


嗨 同学你好~

  答案的表述是没有问题的哈~ 问题问的是有最大的gamma的call option,call option的delta是处于大于0小于1的范围的 (put option的delta是处于大于-1小于0的范围的),所以答案表述没有问题~加油~~

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ201712110100000306 问题如下 Baseon the ta in Exhibit 2, Singh woulaise Tills ththe call option with the largest gamma woulhave a strike priclosest to: A.$ 55.00. B.$ 67.50. C.$ 80.00. B is correct. The $67.50 call option is approximately the money because the Walnut share priis currently $67.79. Gamma measures the sensitivity of option’s lta to a change in the unrlying. The largest gamma occurs when options are trang the money or neexpiration, when the ltof suoptions move quickly towar1.0 or 0.0. Unr these contions, the gammtento largest anlta hees are harst to maintain. 中文解析本题考察的是gamma在ATM的时候最大这个知识点。根据表格2的表头信息可知,当前的股价是67.79.在三个中,只有B的67.50是最接近当前股价的,也就是最接近ATM的状态的,此时的gamma最大。 想和老师确认一下这四个字母的特征,以下总结对吗?GammaATM时候最大, 随着到期日,Gamma越来越大,到期日的Gamma 最大 Long 0, short 0 2.VegATM的option 最大。 随着到期日临近,Vega变的越来越小,到期日的Vega最小 Long 0, short 03.Theta随着到期日的临近,theta越来越大 Long 0, short 04.ltforwarfuture 的lta=1

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