题目
Suppose a financial institution has a portfolio that contains the following four positions in options on a stock: I. A long position in 20,000 call options and the delta of each of these option is 0.620. II. A short position in 10,000 call options and the delta of each of these options is 0.550. III. A long position in 20,000 put options and the delta of each of these options is -0.470. IV. A short position in 10,000 put options and the delta of each of these options is -0.430. Which trade will make the portfolio delta neutral?
选项
A.Short 1,800 shares
B.Short 4,350 shares
C.Long 2,250 shares
D.Long 3,700 shares
答案
A
解析
The position delta of the portfolio = (+1)×20,000×0.620 + (-1)×10,000×0.550 + (1)×20,000×-0.470 + (-1)×10,000×-0.430 = +1,800.Therefore to neutralize delta, the trade is to short (sell) 1,800 shares (each share has a delta of 1.0).资产组合的delta为( ＋1)×20,000×0.620 ＋(－1)×10,000×0.550＋ (1)×20,000×－0.470＋ (－1)×10,000×－0.430 = ＋1,800.因此，要抵消差价，交易就是做空（卖出）1800股（每股差值为1.0）。