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啵啵啵啵啵啵儿儿 · 2021年12月20日

gamma neutral

* 问题详情,请 查看题干

NO.PZ202108100100000408

问题如下:

Lee’s put-based hedge strategy for Solomon’s ETF position would most likely result in a portfolio gamma that is:

选项:

A.

negative.

B.

neutral.

C.

positive.

解释:

C is correct.

Because the gamma of the stock position is 0 and the put gamma is always non-negative, adding a long position in put options would most likely result in a positive portfolio gamma.

Gamma is the change in delta from a small change in the stock’s value. A stock position always has a delta of +1. Because the delta does not change, gamma equals 0.

The gamma of a call equals the gamma of a similar put, which can be proven using put-call parity.

中文解析:

根据题干可知,使用的是long put来进行对冲。对于call或者put,只要是long头寸,gamma都为正的;而不论call或者put只要是short 头寸,其gamma都是负的。因此本题选C。

老师好,因为不是用option portfolio可以使gamma=0,从而delta不变, 那么想问下什么时候判断是gamma neutral的情况?谢谢

1 个答案
已采纳答案

lynn_品职助教 · 2021年12月20日

嗨,努力学习的PZer你好:


gamma neutral一般很难持续,需要根据gamma hedge的公式一直动态调仓。关于gamma neutral 出题的角度也一般都是给你一个时点的gamma情况,让你调整持仓。

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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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