95 percent confidence level 不是1.96吗?应该选C才对啊，这题给的是90%对应的置信区间1.65.

NO.PZ2018122701000048问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 老师， 能一下 为什么lta gamma neutr？ 这个 没看懂

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 为什么lta是30000，为什么是用lta normal，没懂

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 VaR（）=区间调整*σ*日子调整*股票价格，没有太理解

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 如果是in the money或out the money put的话，Δ应该是多少呢

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 两个问题。第1个问题，这题先求NET的position，因为ep-in-the-money的call opt的lta是1，ep-out-of-the-money的call opt的lta是0，forwarcontract的lta是1，所以就考虑lta是1的这两个的仓位，一个仓位是10000一个是20000，一共是30000，这是正确的理解。也就是答案的这一句 A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. 但随后答案有问题了，它说The net portfolio ha lta of about 30,000 。这怎么能是lta 是30000呢？这是lta 是1的net position有30000份啊。第2个问题，假如这题改一下，ep in-the-money的call opt还是10000份，另一份 call不是ep out-of-the-money，而是lta是0.5的一点点out-of-the-money，请问该如何处理？是不是用0.5乘以它这个资产的份数50000得到25000，然后加上刚才那些？另外如果这个0.5不是一点点out-of-the-money，而是一点点in-the-money的，也这么计算吗，在相加的时候符号需要取负号吗？