问题如下：
The objective of Fund A is to track the performance of FTSE 100. Mary, a retired musician, invests most her assets in this fund. As she exhibits low willingness to take risk, her portfolio manager decides to use options to lower the fund’s delta to 0.7. The strategy is most likely to be:
选项：
A. buy call options
B. short call options
C. short put options
解释：
B is correct.
考点：Options risk measure
解析： Fund A是一个追踪FTSE 100的指数基金，delta为1。为了降低delta，引入的这个option必须有负的delta。Long call options的delta为正，所以short call options的delta为负。
备注：
option 用delta衡量风险，正如股票通常用 β ，债券通常用duration & convexity衡量。
delta的定义是期权价格变化 / 标的物资产的价格变化，对于long call option，标的物资产价格增加，期权价格越高，所以long call option的delta为正。short call option的delta为负。同理，long put option的delta为负,short put option的delta为正。具体内容在二级衍生还会学到。
