题目
Yesterday, a market maker sold (wrote) 100 at-the-money (ATM) call options when the percentage delta was 0.57. The market maker immediately started a daily dynamic delta hedge by purchasing the underlying shares to achieve a a position delta of zero (i.e., to neutralize delta). Today, the share price dropped such that the call option percentage delta reduced to 0.54. What is today's dynamic delta hedge trade?
选项
A.Buy 3.0 shares
B.Sell 3.0 shares
C.Buy 54.0 shares
D.Sell 54.0 shares
答案
B
解析
The option position delta changed by -100×(0.54 - 0.57) = +3.0 such that 3.0 shares are sold. Put another way,Yesterday: the option position delta was -100×0.57 = -57; this required the purchase of 57 shares to achieve delta neutral.Yesterday's position = short 100 call options [@ 0.57 per option delta] + long 57 shares. Today: the option position changed to -100×0.54 = -54; three shares must be sold to reduce the share delta from 57 to 54.Today's position = short 100 call options [@ 0.54 per option delta] + long 54 shares.期权头寸差改变了-100×（0.54-0.57）= 3.0，从而卖出了3.0股。 换句话说：昨天：期权头寸delta为-100×0.57 = -57； 这就需要购买57股才能达到中立的增量。昨天的头寸=空头100手看涨期权[@0.57每期权的delta] 多头57股。 今天：期权头寸改为-100×0.54 = -54； 必须售出三股，才能将股本差异从57减少到54。今天的头寸=空头100个看涨期权[@0.54每期权的delta] 多头54股。