于彤昆 · 2018年03月28日
* 问题详情，请 查看题干
问题如下图：
选项：
A. 
B. 
C. 
解释：
有同学问为什么不能long put，我也有同样的疑问，有老师解答为：
不可以，因为你要short call,有一个期初的期权费收入，你才能long ETF, 这样才能对冲。
请问这个解释是不是有错误，题干不是写了本身就有ETF头寸么？为什么还说要先short call才有期权费收入才能买ETF？本身选择option就是为了对冲现有的ETF头寸风险，现在成了先得short call再long ETF？这会不会本末倒置了？
认为老师对为什么不能long put的解释不合理。
请问我的理解哪里出现了偏差，谢谢
提里有说hedge small move。
NO.PZ201702190300000408 老师好，这道题说拥有ETF，那就是long一个头寸，但如何判断是call还是put呢？我当时认为题目说he is worriethe inx woulcline，那就代表原来是认为价格会上涨么，那应该是call啊
NO.PZ201702190300000408 这句话的意思是一个3个月的fra，可以在3个月后以0.75%的利率进入一个6个月的loan对吗？beginning in six month是持续6个月的意思？
NO.PZ201702190300000408 selling call options. buying call options. B is correbecause 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 ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataHPortfolio lta=+0.6232+10,000−16,046 calls.老师 如果A说buy put对吗？
NO.PZ201702190300000408 selling call options. buying call options. B is correbecause 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 ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataHPortfolio lta=+0.6232+10,000−16,046 calls.1，解析中的公式从哪里来的？我在强化班中并没有看到。为什么可以直接用 portfolio lta除以 lta put ，而且分子分母都是正数，得出来的是负数？2.怎么定量求解？
selling call options. buying call options. B is correbecause 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 ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataHPortfolio lta=+0.6232+10,000−16,046 calls.Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. 这里为什么portfolio lta是+10000？
