题目
A portfolio of short calls and short puts is delta-neutral and the options are, on average, at-the-money (ATM) with near-term maturities. Which of the following is most likely true about the portfolio's theta?
选项
A.Large and negative
B.Small and negative
C.Small and positive
D.Large and positive
答案
D
解析
As the maturity decreases, the position gamma of ATM options tends to increase (decrease) for long (short) options. Short call options and short put options both have negative position gamma. Therefore, portfolio of entirely short positions in generally near-term, ATM options will tend to have a large and negative position gamma.rf=theta+rS_0×delta+1/2 σ^2 〖S_0〗^2×gammabut if delta = 0 (delta neutral), then:theta+1/2 σ^2 〖S_0〗^2×gamma=+constant, such that:If delta-neutral, then, the theta will tend to be large and positive.随着到期日的减少，买（卖）期权的平价期权的γ趋于增加（减小）。 卖看涨期权和卖看跌期权均具有负γ。 因此，通常在短期内，平价期权中的完全空头头寸的投资组合往往会具有较大的负头寸系数。rf=theta rS_0×delta 1/2 σ^2 〖S_0〗^2×gammabut if delta = 0 (delta neutral), then:theta 1/2 σ^2 〖S_0〗^2×gamma= constant,如果delta中性，那么theta趋向于较大且负的正的gamma头寸。