为啥呀？

问题如下：

In evaluating the dynamic delta hedging of a portfolio of short option positions, which of the following is correct?

选项：

A.

The interest cost of carrying the delta hedge will be highest when the options are deep out-of-the-money.

B.

The interest cost of carrying the delta hedge will be highest when the options are deep in-the-money.

C.

The interest cost of carrying the delta hedge will be lowest when the options are at-the-money.

D.

The interest cost of carrying the delta hedge will be highest when the options are at-the-money.

解释：

The deeper into-the-money the options are, the larger their deltas and therefore the more expensive to delta hedge.