题目 A delta-neutral option portfolio has a position gamma of +300. If call options have a (percentage) delta of 0.58 and gamma of 0.120, what trades will neutralize the delta and gamma of the [...]
题目 In evaluating the dynamic delta hedging of a portfolio of short option position, which of the following is correct? 选项 A.The interest cost of carrying the delta hedge will be highest when [...]
题目 Mr. Black has been asked by a client to write a large put option on the S&P 500 index. The option has an exercise price and a maturity that is not available for options traded on [...]
题目 A European put option on a non-dividend paying stock has a remaining life of 6 months with a strike of USD 50 and the risk-free rate of 1%, after 3 months which of the following stock prices [...]
题目 A portfolio of stock A and options on stock A is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio both delta and gamma neutral? 选项 [...]
题目 If it is necessary to be long 2,500 deep-in-the-money call options in order to create a gamma neutral position, which of the following actions would best restore the original delta-neutral [...]
题目 A trader buys an at-the-money call option with the intention of delta-hedging it to maturity. Which one of the following is likely to be the most profitable over the life of the option? 选项 [...]
题目 Consider a non-dividend paying stock currently priced at $37. Assuming that the price of the stock will rise or fall by 5% every three months. The continuously compounded risk free rate is 7%. [...]
题目 Suppose an existing short option position is delta-neutral, but has a gamma of negative 600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to [...]
题目 A portfolio has the following position Greeks: delta = -300, gamma = -150, and vega = - 3,000. A trader wants to neutralize all three Greeks and, in addition to the underlying shares, can use [...]