题目
In sequence FROM LOWEST to highest value of option delta, what is the correct order of the following four options: in-the-money (ITM) call option, out-of-the-money (OTM) call option, in-the-money (ITM) put option, and out-of-the-money (OTM) put option?
选项
A.OTM put, OTM call, ITM call, ITM put
B.OTM call, ITM call, ITM put, OTM put
C.ITM call, ITM put, OTM put, OTM call
D.ITM put, OTM put, OTM call, ITM call
答案
D
解析
ITM put has lowest value as deep ITM put approaches -1.0OTM put has next highest value as deep OTM put approaching zero but always negativeOTM call has next highest value as deep OTM call approaching zero but always positive, and ITM call has highest value as deep ITM call approaching 1.0深度价内认沽权逼近-1.0，价内认沽权具有最低的价值由于深层价外认沽权接近零但始终为负，因此价外认沽权具有次高价值随着深层价外看涨期权接近零，但价外看涨期权具有第二高的值，但始终为正；而深层价内看涨期权接近1.0，价内看涨期权具有最高的价值。