题目 Each of the following is true about option gamma, EXCEPT which is false? 选项 A.For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of both [...]
题目 A stock with a (continuous) dividend yield of 1.0% has a current price of $30 and volatility of 22%. We use a two-step binomial model to value a two-year European style call option on the [...]
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 [...]
题目 An at-the-money call option has a (percentage) delta of 0.600 and gamma of 0.030. A market maker writes (sells) 100 call options, but only after the stock price unexpectedly jumps $2.00, so [...]
题目 Consider a European call option on a non-dividend-paying stock. The strike price is $80.00 while the stock price is currently $90.00. Barbara the Risk Analyst employs a two-step (i.e., three [...]
题目 A European call option has a (percentage) delta of 0.580. A trader creates a straddle by purchasing 1,000 of the call options and 1,000 put options with identical strike and maturity. However, [...]
题目 Robert the Trader has already written 1,000 call options with (percentage) delta of 0.670 and gamma of 0.090 such that his position delta is -670.0 and his position gamma is -90.0. He can buy [...]
题目 Which of the following statements about option time value is true? 选项 A.Deeply out-of-the-money options have more time value than at-the-money options with the same remaining time to [...]
题目 A market maker writes (sells) a contract of 100 call options, where the percentage (per option) delta of the call options is 0.60 and the gamma is 0.080. The market maker wants to neutralize [...]
题目 An investor is looking to create an options portfolio on XYZ stock that will have virtually zero vega exposure while maximizing the ability to profit from increases in interest rates. If the [...]
