题目
Which position is most risky?
选项
A.Gamma-negative, delta-neutral
B.Gamma-positive, delta-positive
C.Gamma-negative, delta-positive
D.Gamma-positive, delta-neutral
答案
C
解析
A riskier position is one that is expected to move around a lot in value. A delta neutral position should not change in value as the value of the underlying asset changes. This eliminates Choice A and Choice D. Choice C is correct because a gamma-negative position means that delta and the change in the underlying asset move inversely with each other.风险较高的头寸可能会变动很多。 随着基础资产价值的变化，中立三角洲头寸的价值不应发生变化。 这样就消除了选择A和选择D。选择C是正确的，因为gamma为负的位置意味着增量和基础资产的变化彼此相反。