题目
A trader buys an at-the-money call option with the intention of delta-hedging it to maturity. Which one of the following is likely to be the most profitable over the life of the option?
选项
A.An increase in implied volatility.
B.The underlying price steadily rising over the life of the option.
C.The underlying price steadily decreasing over the life of the option.
D.The underlying price drifting back and forth around the strike over the life of the option.
答案
D
解析
There are two important factors in this situation: The option is at the money, and the trader intends to delta-hedge it to maturity. The fact that the option is at the money means that the delta is most sensitive to changes in the price of the underlying asset. Movement away from the current price would create the need to re-hedge and increase costs. Since the position will be hedged, the ultimate value of the underlying asset will not affect the profitability of the position.在这种情况下，有两个重要因素：期权是价内的，交易者打算将其对冲至到期。 期权是平价的意味着，增量对基础资产价格的变化最为敏感。 偏离当前价格将产生重新套期保值和增加成本的需求。 由于头寸将被套期，因此基础资产的最终价值不会影响头寸的获利能力。