开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

格格蔡斯 · 2021年08月07日

delta对冲

* 问题详情,请 查看题干

NO.PZ201702190300000408

问题如下:

8.The strategy suggested by Lee for hedging small moves in Soiomons 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+0.623216,046 calls.NH=\frac{Portfolio\text{ delta}}{Delata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.

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 worried the index would decline,那就代表原来是认为价格会上涨么,那应该是call啊

1 个答案

WallE_品职答疑助手 · 2021年08月09日

嗨,爱思考的PZer你好:


he is worried the index would decline, 也就是说你担心它下跌,那要获得一个下跌的时候能给你带来收益的策略来对冲你的风险。因为现在为了hedge一个ETF的long position,要么short call,要么long put,而选项中只有short call

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 482

    浏览
相关问题

NO.PZ201702190300000408 这句话的意思是一个3个月的fra,可以在3个月后以0.75%的利率进入一个6个月的loan对吗?beginning in six month是持续6个月的意思?

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

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.Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. 这里为什么portfolio lta是+10000?

2020-09-26 19:52 1 · 回答