题目
How can a trader produce a short vega, long gamma position?
选项
A.Buy short-maturity options, sell long-maturity options.
B.Buy long-maturity options, sell short-maturity options.
C.Buy and sell options of long maturity.
D.Buy and sell options of short maturity.
答案
A
解析
For vanilla options, gamma is the highest for short-term options. vega is highest for long-term options.对于普通期权，短期期权的gammag值最高。长期期权的vega最高。