NO.PZ2016082404000037
问题如下：
An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time. Which strategy would the trader most likely employ to hedge the portfolio?
选项： Sell short-dated options and buy long-dated
options.
Buy short-dated options and sell long-dated options.
C.Sell short-dated options and sell long-dated options.
D.Buy short-dated options and buy long-dated options.
解释：
ANSWER: A
Such a portfolio is short vega (volatility) and short theta (time). We need to implement a hedge that is delta-neutral and involves buying and selling options with different maturities. Long positions in short-dated options have high negative theta and low positive vega. Hedging can be achieved by selling short-term options and buying long-term options.
题目第一句话“An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time.”给了两个条件，这个组合是short vega和short theta的组合。关于这一点不是很理解，exhibits high unfavorable sensitivity to increases in implied volatility到底是什么意思呢？为什么是short vega？
另外答案中有一句话：We need to implement a hedge that is delta-neutral，为什么还要考虑delta-neutral呢？这题考点不是构建组合用vega和theta to hedge吗
