题目
An equity options trader is short a call option of a stock with strike at $104. The maturity of the option is within half an hour and the current price is $103.75. Which of the following Greeks poses the highest risk to his position?
选项
A.Delta
B.Gamma
C.Rho
D.Theta
答案
B
解析
Delta is greatest for in-the-money options.Gamma is greatest for short-term at-the-money options. Given the traders is short the option, the gamma poses the highest risk to his position.Rho is the rate of change of the option with respect to the interest rate. The longer the time to expiration, the more sensitive is the option value to changes in the interest rate.Theta measures the change in an option price with respect to the passage of time. Time decay is more severe for short-term options that are at the money.Delta是平价期权最好的选择。gamma最适合短期的平价期权。 鉴于交易者做空期权，gamma对他的头寸构成最大风险。Rho是期权相对于利率的变化率。 到期时间越长，期权价值对利率的变化越敏感。Theta衡量期权价格随时间的变化。 对于平价短期期权，时间衰减更为严重