NO.PZ201702190300000408
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:
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