题目
Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which of the following portfolios of options shows exposures consistent with this report?
选项
A.The desk has substantial long-expiry long call positions and substantial short-expiry short put positions.
B.The desk has substantial long-expiry long put positions and substantial long-expiry short call positions.
C.The desk has substantial long-expiry long call positions and substantial short-expiry short call positions.
D.The desk has substantial short-expiry long call positions and substantial long-expiry short call positions.
答案
D
解析
The portfolio account shows a net long Gamma, short Vega, which means Gamma>, 0, Vega<0. For Gamma, the shorter the duration, the larger the Gamma, the longer the duration, the smaller the Gamma, It might be easier to put in Numbers. So the short term gamma is equal to 7, and the long term gamma is equal to 3. For Vega, the longer the term, the greater the Vega. Here, make the short term Vega=4, and the long term Vega=6; Long corresponds to “+”, and Short to “-”. To meet the requirements of the title, see the following table:「huixue_img/importSubject/1564170386160095232.png」So，the desk has substantial short-expiry long call positions and substantial long-expiry short call positions.