题目
An options dealer sells equity call options. When sold, the options are at-the-money and the firm will be delta-neutral hedged. Which of the following statements is correct? I The options dealer will have a negative gamma and negative vega exposure. II Over time, gamma and vega will have less of an impact on the value of the option dealer’s position if the option moves away from the money.
选项
A.I only
B.II only
C.Both I and II
D.Neither I nor II
答案
C
解析
Because the options dealer has sold options, the dealer will have a negative gamma and negative vega exposure. When sold, the options are at-the-money, but over time the options will move in or out-of-the-money. Gamma and vega decline as the options move away from an at-the-money position, so gamma and vega will have less of an impact on the value of the option over time. Hence the correct answer is both I and II.由于期权交易商已售出期权，因此经销商将具有负的伽玛值和负的vega风险。 售出时，这些期权是平价的，但是随着时间的流逝，这些期权将变价或变价。 随着期权远离平价合约，gamma和vega贬值，因此随着时间的推移，gamma和vega对期权价值的影响较小。 因此，正确答案是I和II。