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.
neutral.
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