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 gammWhich 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.在ATM期权中，vega和theta随着期限的增加而增加，ganma随着期限的增加而减少。C选项：买入短期 卖出长期期权会产生负theta，负vega，正gamma。A选项：卖出短期 卖出长期期权会产生正theta，负vega，负gamma。B选项：卖出短期 买入长期期权会产生正theta，正vega，负gamma。D选项：买入短期 买入长期期权会产生负thera，正vega，正gamma。