题目
If it is necessary to be long 2,500 deep-in-the-money call options in order to create a gamma neutral position, which of the following actions would best restore the original delta-neutral position after the addition of the options?
选项
A.Sell 1,250 shares of the underlying asset
B.Buy 1,250 shares of the underlying asset
C.Sell 2,500 shares of the underlying asset
D.Buy 2,500 shares of the underlying asset
答案
C
解析
The delta of a call option that is deep in-the-money is close to 1. The addition of the 2,500 long options to bring about gamma neutrality disturbed the original delta neutral position of the portfolio. Since 2,500 options have been added, 2,500×1.0=2,500 shares of the underlying must be sold to restore delta neutrality to the portfolio. Note that answer A could be correct only if the options were at-the-money where delta is 0.5.价内期权深度比较大的看涨期权的价格接近1。2,500张长期期权的加价带来了gamma中性，这扰乱了投资组合的原始delta中立地位。 由于添加了2,500份期权，必须出售2,500×1.0 = 2,500股基础股票才能恢复投资组合的中立性。 请注意，答案A仅在选项为平价（delta为0.5）的情况下才是正确的。