题目
A European call option has a (percentage) delta of 0.580. A trader creates a straddle by purchasing 1,000 of the call options and 1,000 put options with identical strike and maturity. However, the trader wants to neutralize delta. Which of the following trades, when added to the straddle, will neutralize the total position's delta?
选项
A.Short 1,380 of the call options
B.Short 160 of the underlying shares
C.Long 720 of the put options
D.No additional trade required as the straddle is already delta neutral
答案
B
解析
As the put has delta = N(d1) - 1 = 0.58 - 1 = -0.42, the straddle has position delta = (+1,000×0.58) + (+1,000×-0.42)=580-420=+160, which is neutralized by shorting 160 shares这个看跌期权的delta为= N(d1) - 1 = 0.58 - 1 = -0.42,，这个跨式期权的delta为=( 1,000×0.58) ＋( 1,000×－0.42)=580－420= 160，通过带160份股票可以达到delta中性。