题目
Which of the following statements is true regarding options Greeks?
选项
A.Theta tends to be large and positive when buying at-the-money options.
B.Gamma is greatest for in-the-money options with long maturities.
C.Vega is greatest for at-the-money options with long maturities.
D.Delta of deep in-the-money put options tends toward +1.
答案
C
解析
Theta is negative for long positions in ATM options, so A is incorrect. Gamma is small for ITM options, so B is incorrect. Delta of ITM puts tens to -1, so D is incorrect.对于ATM期权多头，Theta为负值，因此A是不正确的。对于ITM选项来说，Gamma很小，因此B是不正确的。ITM put趋向于-1，所以D是不正确的。