NO.PZ2023041003000051
问题如下：
Lee also indicates that a long position in puts could be used to hedge
larger moves in the GPX. She notes that although hedging with either puts or
calls can result in a delta-neutral position, they would need to consider the
resulting gamma.
Lee’s put-based hedge strategy for Solomon’s ETF
position would most likely result in a portfolio gamma that is:
选项：
A.
negative.
B.
neutral.
C.
positive.
解释：
Because the gamma of the stock position is 0 and
the put gamma is always non-negative, adding a long position in put options
would most likely result in a positive portfolio gamma.
Gamma is the change in delta from a small change
in the stock’s value. A stock position always has a delta of +1. Because the
delta does not change, gamma equals 0.
The gamma of a call equals the gamma of a
similar put, which can be proven using put-call parity.
为什么long put会带来正的Gamma呢
