请问DeltaH call=-DelataH put吗？

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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：

selling put options.

selling call options.

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:

N_H = - Portfolio delta / Delta_H = +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。

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pzqa35 · 2023年10月19日

嗨，爱思考的PZer你好：

对于这种类型的题目，我们要来理解delta hedge的含义：就是不管资产的价值如何变动，整个portfolio的价值不用受到影响，也就是整个portfolio的delta加起来是等于0. 其次，delta的含义就是资产价格变动1单位，期权的价格变动多少，那对于资产本身来说，它的delta就是等于1的，即△S/△S =1。那要进行delta hedge就是N_underlyingx1+N_Hxdelta=0. 我们已经学过call option的delta是大于0的，put option的delta是小于0的，可以直接带入公式反解出NH即可。而且通过公式我们也可以知道，如果是long underlying，想要进行delta对冲，就必须是short call或者long put。

我们可以带入计算一下就是10000+ N_Hxdelta_c=0, 10000+N_Hx0.6232=0, 反解出N_H=-16046，即short16046的call option。

如果是put option，10000+ N_Hx delta_p=0, 10000+N_Hx（-0.3689）=0, 反解出N_H=27108，即long 27108的put option。

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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？

2024-10-26 22:38 1 · 回答

2022-08-16 22:13 1 · 回答

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。答案看不懂，请再详细解析一下

2022-06-23 21:58 1 · 回答

请问DeltaH call=-DelataH put吗？

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