NO.PZ202301280100000702
问题如下：
Determine whether each of
Cunningham’s statements is most likely correct. Justify each response.
选项：
解释：
Correct
Answer:
Statement 1 is correct.
At-the-money options provide the best choice to delta hedge any
existing position. For example, SEA stock is currently trading at $110.50. If
one buys a $110 put, which is the closest to the money option from Exhibit 1,
the downside risk below $110 is protected. However, the delta hedge is
difficult to maintain as gamma tends to be largest for at-the-money options.
Statement 2 is correct.
Volatility skew is a more common shape of the implied volatility
curve, where the implied volatility for out-of-the-money puts increases
relative to that of out-of-the-money calls. This shape persists across asset
classes and over time because investors generally have less interest in
out-of-the-money calls, whereas out-of-the money put options have broader
demand as portfolio insurance against a market sell-off.
statement1 说delta hedge 很难维持，是说，在市面上很少有和当前价格差不多的option 匹配吗？
