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徐威廉 · 2024年04月13日

哪句话看出来是AT THE MONEY?

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000030

问题如下：

A bank has sold USD 300,000 of call options on 100,000 equities. The equities trade at 50, the option strike price is 49, the maturity is in three months, volatility is 20%, and the interest rate is 5%. How does the bank delta-hedge?

选项：

A.

  Buy 65,000 shares

B.

  Buy 100,000 shares

C.

  Buy 21,000 shares

D.

  Sell 100,000 shares

解释：

ANSWER: A

This is an at-the-money option with a delta of about 0.5. Since the bank sold calls, it needs to delta-hedge by buying the shares. With a delta of 0.5, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

题目中X = 49, ST = 50， 这明明是 in the money啊？

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pzqa27 · 2024年04月14日

嗨，从没放弃的小努力你好：


股票价格是50，期权执行价是49，这个跟股价差距不大，可以认为近似于at the money，因此delta接近0.5.

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