NO.PZ201702190100000102
问题如下：
2.Which of the following options strategies is Ferrell most likely to recommend for the client’s portfolio?
选项：
A.Long calls
B.Short calls
C.Short puts
解释：
B is correct.
An index-tracking portfolio without options has a delta of 1. To achieve a delta of 0.9, the delta of the options position must be negative. Of the three choices, only short calls have a negative delta. Long call options have deltas ranging from 0 to 1. Short calls, therefore, have deltas ranging from 0 to -1. The short call position lowers the portfolio’s overall delta as desired.
考点： Sensitivity Risk Measures
解析：
option 用delta衡量风险，正如股票通常用 β ，债券通常用duration & convexity衡量。
delta的定义是期权价格变化 / 标的物资产的价格变化，对于call option，标的物资产价格增加，期权价格越高，所以long call option的delta为正。short call option的delta为负。同理，long put option的delta为负,short put option的delta为正。具体内容在二级衍生这门学科还会学到。
不太理解题目的解释，这个题目客户风险承受力弱，是需要降低风险敞口的，但delta的判断不太明白
