题目
Portfolio manager Sally has a position in 100 option contracts with the following position greeks: theta=+25,000; vega=+330,000 and gamma=-200; ie., positive theta, positive vega and negative gamma. Which of the following additional trades, utilizing generally at-the-money(ATM) options, will neutralize(hedge) the portfolio with respect to theta, vega and gamma?
选项
A.Sell short-term options + sell long-term options (all roughly at-the-money)
B.Sell short-term options + buy long-term options (~ ATM)
C.Buy short-term options + sell long-term options (~ ATM)
D.Buy short-term options + buy long-term options (~ ATM)
答案
C
解析
For ATM options, vega and theta are increasing funtions with maturity;and ganma is a decreasing function with matutity.To buy short-term options + sell long-term options → negative position thera,negative position vega,and positive position gamma.In regard to (A),sell short-term + sell long-term options → positive thera,negative vega; negative gamma.In regard to (B),sell short-term + buy long-term options → positive thera,positive vega; and negative gamma.In regard to (D),buy short-term + buy long-term → negative thera,positive vega; and positive gamma.对于ATM选项，vega和theta随着功能的成熟而增加；而gamma随着功能的成熟而减少。买入短期期权 卖出长期期权→负头寸theta，负头vega和正头gamma。关于（A），卖出短期 卖出长期期权→正头寸theta，负vega； 负gamma。关于（B），卖出短期 买入长期期权→正头寸theta，正vega； 和负gamma。关于（D），买入短期 买入长期→负头寸theta，正vega； 和正gamma。