第六章单元测试
- Suppose the delta of a call option is 0.7. How can a short position in 1,000 options be made delta neutral?（ ）
- The graph shows the relationship between one of the Greeks of a long position of an European call option and the stock price. Can you guess which of the following Greeks is for the y-axis?
（ ） - The gamma of a delta-neutral portfolio is 30. Estimate what happens to the value of the portfolio when the price of the underlying asset suddenly decreases by $2.（ ）
- 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 with both delta and gamma neutral?（ ）
- Which of the following statements is true regarding options' Greeks?（ ）
A:Short 700 shares.
B:Purchase 1,000 shares.
C:Purchase 700 shares.
答案:Purchase 700 shares.
A:gamma
B:delta
C:vega
A:The value of the portfolio increases by $60.
B:The value of the portfolio increases by $120.
C:The value of the portfolio decreases by $60.
A:Sell call options on stock A and sell stock A
B:Sell put options on stock A and sell stock A
C:Buy put options on stock A and buy stock A
D:Buy call options on stock A and sell stock A
A:Delta of deep in-the-money put options tends towards +1.
B:Gamma is greatest for in-the-money options with long times remaining to expiration.
C:Theta tends to be large and positive for at-the-money options.
D:Vega is greatest for at-the-money options with long times remaining to expiration.
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