题目
Patricia has a short position in 100 put option contracts where the per-option (aka, percentage) vega is 33.50 and the stock's volatility is 30.0% per annum. The value of each option is $8.77 and each contract is for 100 options. If the volatility jumps by +5.0% to 35.0%, which is nearest to the estimated change in her position's value?
选项
A.Loss of $16,750.00
B.Loss of $4,385.00
C.Loss of $1,469.00
D.Gain of $4,385.00
答案
A
解析
A vega of 33.50 implies the value of the option will increase (as a linear approximation only!) by $33.50 per one unit increase in volatility, where one unit is 100%. Therefore a 5.0% increase in volatility implies a change of 5.0% × 33.5 = $1.6750 but given Patricia has a short position in 100 contracts, her estimated LOSS is 5% × 33.50 × -10,000 = -$16,750.33.50的vega表示期权的价值每增加1个单位为100％的波动率，将增加33.50美元（仅作为线性近似！）。 因此，波动率增加5.0％意味着5.0% × 33.5 = $1.6750，但鉴于Patricia在100张合约中有空头头寸，她的估计亏损为5% × 33.50 × -10,000 = -$16,750。