题目
A delta-neutral option portfolio has a position gamma of +300. If call options have a (percentage) delta of 0.58 and gamma of 0.120, what trades will neutralize the delta and gamma of the portfolio?
选项
A.Long 1,500 put options and sell 950 shares
B.Short 1,500 put options and buy 950 shares
C.Long 2,500 call options and sell 1,450 shares
D.Short 2,500 call options and buy 1,450 shares
答案
D
解析
To neutralize position gamma of +300, short 300/0.12 = 2,500 call options; i.e.,-2,500×0.12=- 300.But this creates -2,500 × 0.58 = -1,450 position delta, so buy 1,450 shares.为了使投资组合的gamma 300达到gamma中性， 卖出300/0.12=2,500的看涨期权但就会产生-2,500 × 0.58 = -1,450delta， 则买入1450份股票。