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玛卡巴卡123 · 2021年11月14日

还是不太明白short expire和long expire的选择

NO.PZ2016082404000034

问题如下:

Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which of the following portfolios of options shows exposures consistent with this report?

选项:

A.

  The desk has substantial long-expiry long call positions and substantial short-expiry short put positions.

B.

  The desk has substantial long-expiry long put positions and substantial long-expiry short call positions.

C.

  The desk has substantial long-expiry long call positions and substantial short-expiry short call positions.

D.

  The desk has substantial short-expiry long call positions and substantial long-expiry short call positions.

解释:

ANSWER: D

Long gamma means that the portfolio is long options with high gamma, typically short-term (short-expiry) ATM options. Short vega means that the portfolio is short options with high vega, typically long-term (long-expiry) ATM options.

还是不太明白short expire和long expire的选择

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已采纳答案

品职答疑小助手雍 · 2021年11月15日

同学你好,考的是期权希腊字母的相关结论。题目问下列哪个选项与long gamma, shorrt vega相一致。

涉及你的问题的结论是:long一个短期到期的(short-expiry)的处在ATM状态的option具有较高的正gamma;short 一个长期到期的(long-expiry)的处在ATM状态的option 相当于short较高的vage。

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