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：
A.
selling put options.
B.
selling call options.
C.
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:
NH = - Portfolio delta / DeltaH = +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。
但是答案里没有long put的选项，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？
