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.卖出期权时会有负gamma与负Vega敞口，并且当出售时期权是平值状态，随着时间推移标的资产价格会发生变化，因此期权会进入实值或虚值状态，期权的gamma与Vega也会降低，所以随着时间的推移，gamma与Vega对期权价值的影响也会逐渐减弱。