老师好，
1. 这个D ，如果基础资产价格反复变动，不是要经常调整，以达到delta hedge， 所以每次hedge成本增加，最后会很不profitable 吗？
2. 这个答案里 反复强调的 “held to maturity ” 是说期权持有到最后，payoff 只和 strike price vs stock price 有关，跟中间时刻是ITM/ATM/OTM 都没有关系的意思吗？
谢谢！
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
NO.PZ2016070202000026问题如下A trar buys at-the-money call option with the intention of lta-heing it to maturity. Whione of the following is likely to the most profitable over the life of the option?A.increase in implievolatilityB.The unrlying pristealy rising over the life of the optionC.The unrlying pristealy creasing over the life of the optionThe unrlying priifting baanforth arounthe strike over the life of the optionis correct. important aspeof the question is the faththe option is helto maturity. Answer A is incorrebecause changes in the implievolatility woulchange the value of the option, but this hno effewhen holng to maturity. The profit from the namic portfolio will penon whether the actuvolatility ffers from the initiimplievolatility. It es not penon whether the option en up in-the-money, so answers B anB are incorrect. The portfolio will profitable if the actuvolatility is small, whiimplies small moves arounthe strike pri(answer .A 是不是也意味着，波动率大，需要不断调整投资组合的头寸导致成本上升～？
NO.PZ2016070202000026问题如下 A trar buys at-the-money call option with the intention of lta-heing it to maturity. Whione of the following is likely to the most profitable over the life of the option?A.increase in implievolatilityB.The unrlying pristealy rising over the life of the optionC.The unrlying pristealy creasing over the life of the optionThe unrlying priifting baanforth arounthe strike over the life of the optionis correct. important aspeof the question is the faththe option is helto maturity. Answer A is incorrebecause changes in the implievolatility woulchange the value of the option, but this hno effewhen holng to maturity. The profit from the namic portfolio will penon whether the actuvolatility ffers from the initiimplievolatility. It es not penon whether the option en up in-the-money, so answers B anB are incorrect. The portfolio will profitable if the actuvolatility is small, whiimplies small moves arounthe strike pri(answer .这题里的lta hee是什么意思，用什么产品hee了什么产品？目的是什么呢？lta等于零吗
NO.PZ2016070202000026 问题如下 A trar buys at-the-money call option with the intention of lta-heing it to maturity. Whione of the following is likely to the most profitable over the life of the option? A.increase in implievolatility B.The unrlying pristealy rising over the life of the option C.The unrlying pristealy creasing over the life of the option The unrlying priifting baanforth arounthe strike over the life of the option is correct. important aspeof the question is the faththe option is helto maturity. Answer A is incorrebecause changes in the implievolatility woulchange the value of the option, but this hno effewhen holng to maturity. The profit from the namic portfolio will penon whether the actuvolatility ffers from the initiimplievolatility. It es not penon whether the option en up in-the-money, so answers B anB are incorrect. The portfolio will profitable if the actuvolatility is small, whiimplies small moves arounthe strike pri(answer . 老师这道题期权的标的资产价格上升，期权不是获利吗？为什么B不对呢？是因为题干说的的lta hee 吗？那能在分析一下为什么选择D
NO.PZ2016070202000026 看完解析还是云里雾里不懂，能否整条题目重新梳理说一说？
NO.PZ2016070202000026 老师 ，以上几道关于 lta 对冲经典题 在 Market risk management 对应章节中都没有。二级考试中是否还会考一级的内容？还是其他科目会有涉及内容的学习？
