题目
An investor is looking to create an options portfolio on XYZ stock that will have virtually zero vega exposure while maximizing the ability to profit from increases in interest rates. If the current price of XYZ is $50, which of the following would accomplish his goals?
选项
A.Sell a call with a strike price of $50
B.Buy a call with a strike price of $25
C.Sell a put with a strike price of $50
D.Buy a put with a strike price of $25
答案
B
解析
Vega is an option's sensitivity to changes in volatility of the underlying stock. vega is close to zero for deep in- or deep out-of-the-money puts and calls. Rho is an option’s sensitivity to changes in interest rates and tends to be the highest for in-the-money calls and puts. Increases in rates will cause larger increases for in-the-money calls, but larger decreases for in-the-money puts. Given this info, choice b will work because it is a deep in-the-money call, and choice c will not work because it is a short position in an at-the-money put. Choice a will not work because it is an at-the-money call (which would be highly sensitive to vega). And choice d will not work because rising rates will have little impact on the position since it is an out-of-the-money put.Vega是期权对基础股票波动性变化的敏感性。 对于deep平价或价外的看跌期权和看涨期权，vega几乎为零。 Rho是期权对利率变化的敏感度，通常对于货币内看涨和看跌期权而言是最高的。 费率的提高将导致货币内看涨期权的增加幅度更大，但货币内看跌期权的下降幅度更大。 给定此信息，选择b将起作用，因为它是一个价内看跌期权，而选择c将不起作用，因为它是平价看跌期权中的空头头寸。 选择a无效，因为它是平价通话（对vega高度敏感）。 选择d将不起作用，因为升息率对价位的影响很小，因为这是一笔超值的认沽权。