题目
A portfolio of stock A and options on stock A is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio both delta and gamma neutral?
选项
A.Buy call options on stock A and sell stock A
B.Sell call options on stock A and sell stock A
C.Buy put options on stock A and buy stock A
D.Sell put options on stock A and sell stock A
答案
D
解析
To reduce positive gamma, one needs to sell options. When call options are sold, the delta becomes negative and one needs to buy stock to keep delta neutrality. When put options are sold, the delta becomes positive, and one needs to sell stock to keep delta neutrality.为了减少正gamma，人们需要出售期权。 卖出看涨期权时，差价变为负数，因此需要购买股票以保持差价中立。 卖出认沽期权时，Delta变为正值，因此需要出售股票以保持Delta中立。