题目
Which of the following choices will effectively hedge a short call option position that exhibits a delta of 0.5?
选项
A.Sell two shares of the underlying for each option sold.
B.Buy two shares of the underlying for each option sold.
C.Sell the number of shares of the underlying equal to one-half the options sold.
D.Buy the number of shares of the underlying equal to one-half the options sold.
答案
D
解析
Answer: D In order to hedge a short call option position, a manager would have to buy enough of the underlying to equal the delta times the number of options sold. In this case, delta = 0.5, so for every two options sold, the manager would have to buy a share of the underlying security. (Stop-loss strategies with call options are designed to limit the losses associated with short option positions. The strategy requires purchasing the underlying asset for a naked call position when the asset rises above the option’s strike price.)为了对冲空头看涨期权头寸，基金经理必须买入足够多的标的股票，以等于delta乘以卖出的期权数量。在这种情况下，delta = 0.5，也就是说，每卖出两份期权，经理就必须买一份标的证券。(看涨期权的止损策略被设计用来限制与空头期权头寸相关的损失。该策略要求在无担保买入期权的基础资产升至期权执行价格之上时购买该资产。)