题目
Suppose an existing short option position is delta-neutral, but has a gamma of negative 600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta-neutral, which of the following is the appropriate strategy?
选项
A.Buy 400 options and sell 300 shares of the underlying asset.
B.Buy 300 options and sell 400 shares of the underlying asset.
C.Sell 400 options and buy 300 shares of the underlying asset.
D.Sell 300 options and buy 400 shares of the underlying asset.
答案
A
解析
To gamma-hedge, we should buy 400 options (600/1.50). The additional options will alter delta, and to maintain delta-hedged position again, we should sell 300 shares (400× 0.75) of the underlying position.要进行gamma对冲，我们应该购买400个期权（600 / 1.50）。 额外的期权将改变Delta，并再次保持delta套期保值头寸，我们应出售300股基础头寸（400×0.75）。