NO.PZ2023100703000059
问题如下：
A portfolio manager owns a portfolio of options on a non-dividend paying stock RTX. The portfolio is made up of 10,000 deep in-the-money call options on RTX and 50,000 deep out-of-the money call options on RTX. The portfolio also contains 20,000 forward contracts on RTX. RTX is trading at USD 100. If the volatility of RTX is 30% per-year, which of the following amounts would be closest to the 1-day VaR of the portfolio at the 95 percent confidence level, assuming 252 trading days in a year?
选项：
A.USD 932
B.USD 93,263
C.USD 111,122
D.USD 131,892
解释：
We need to map the portfolio to a position in the underlying stock RTX. A deep in-the-money call has a delta of approximately 1, a deep out-of-the-money call has delta of approximately 0 and forwards have a delta of 1. The net portfolio has a delta of about 30,000 and is approximately gamma neutral. The 1-day VaR estimate at 95 percent confidence level is computed as follows:
老师好，视频讲这道题时提到“一手100股，所以3万*100”，这里是不是讲错了，和多少手没关系吧，之所以乘以100，是因为股票价格是100，而不是多少手，一手是100股。
因为后面有一道3.4题，股票价格变成了52，份数就直接乘以的52，所以和多少手一手多少股没关系。
