为什么不是short

问题如下：

With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:

选项：

A.Short position in an at-the-money call

B.Long position in an at-the-money call

C.Short position in a deep in-the-money call

D.Long position in a deep in-the-money cal;

解释：

A plot of the implied volatility of an option as a function of its strike price demonstrates a pattern known as the volatility smile or volatility skew. The implied volatility decreases as the strike price increases. Thus, all else equal, a risk monitoring system which assumes constant volatility for equity returns will understate the implied volatility for a long position in a deep-in-the-money call.