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kevinzhu · 2022年06月23日

答案看不懂

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202108100100000407

问题如下：

The strategy suggested by Lee for hedging small moves in Solomon’s ETF position would most likely involve

选项：

A.

selling put options.

B.

selling call options.

C.

buying call options.

解释：

B is correct.

because selling call options creates a short position in the ETF that would hedge his current long position in the ETF.

Exhibit 2 could also be used to answer the question. Solomon owns 10,000 shares of the GPX, each with a delta of +1; by definition, his portfolio delta is +10,000. A delta hedge could be implemented by selling enough calls to make the portfolio delta neutral:

NH = - Portfolio delta / DeltaH = +10,000/+0.6232 = -16,046 calls

中文解析：

对冲小幅波动用delta hedge的方法。现在持有股票的多头，因此做对冲应该long put或者short call，因此本题只能选择B。

具体short call的份数按照公式计算即可。

答案看不懂，请再详细解析一下

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Lucky_品职助教 · 2022年06月24日

嗨，努力学习的PZer你好：


这道题要选出答案并不需要定量计算，为了hedge一个ETF的long position，要么short call，要么long put，而选项中只有short call，所以选B。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202108100100000407问题如下 The strategy suggesteLee for heing small moves in Solomon’s ETF position woulmost likely involve selling put options.selling call options.C.buying call options. B is correct. because selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is +10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral:NH = - Portfolio lta / lt = +10,000/+0.6232 = -16,046 calls中文解析对冲小幅波动用lta hee的方法。现在持有股票的多头，因此做对冲应该long put或者short call，因此本题只能选择B。具体short call的份数按照公式计算即可。 但是答案里没有long put的，我就不知道该怎么从long put转弯到call，想请问一下这里该怎么转弯过来？

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