NO.PZ2016082404000035
问题如下：
Which of the following statements is incorrect?
选项： The vega of a European-style call option is
highest when the option is at-the-money.
The delta of a European-style put option moves toward zero as the price of the underlying stock rises.
C.The gamma of an at-the-money European-style option tends to increase as the remaining maturity of the option decreases.
D.Compared to an at-the-money European-style call option, an out-of-the- money European-style option with the same strike price and remaining maturity has a greater negative value for theta.
解释：
ANSWER: D
Vega is highest for ATM European options, so statement A is correct. Delta is negative and moves to zero as S increases, so statement B is correct. Gamma increases as the maturity of an ATM option decreases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement D is incorrect.
关于D选项，答案解释错误的原因：Theta is greater (in absolute value) for short-term ATM options, so statement D is incorrect.我觉得和选项表述的不是一回事，我对D选项的理解是：对于theta，无论是call还是put，都小于0，ATM时|theta|最大，OTM和ITM时，with the same strike price and remaining maturity，|theta|更小。
