题目
Call and put option values are most sensitive to changes in the volatility of the underlying when:
选项
A.Both calls and puts are deep in-the-money.
B.Both puts and calls are deep out-of-the-money.
C.Calls are deep out-of-the-money and puts are deep in-the-money.
D.Both calls and puts are at-the-money.
答案
D
解析
Vega measures the sensitivity of the option value to changes in volatility. vega is at a maximum when calls and put options are at-the-money.Vega衡量期权价值对波动率变化的敏感性。 当看涨期权和看跌期权平价时，vega达到最大值。trader