NO.PZ2016082404000034
问题如下：
Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which of the following portfolios of options shows exposures consistent with this report?
选项：
A.
The desk has substantial long-expiry long call positions and substantial short-expiry short put positions.
B.
The desk has substantial long-expiry long put positions and substantial long-expiry short call positions.
C.
The desk has substantial long-expiry long call positions and substantial short-expiry short call positions.
D.
The desk has substantial short-expiry long call positions and substantial long-expiry short call positions.
解释：
ANSWER: D
Long gamma means that the portfolio is long options with high gamma, typically short-term (short-expiry) ATM options. Short vega means that the portfolio is short options with high vega, typically long-term (long-expiry) ATM options.
short vega是指负的vega还是指vega比较小呢？
能否可以通过long 短期call 得到呢？
Long gamma能否通过short put长期得到呢？
