问题如下：
If a portfolio manager wants to protect his portfolio through portfolio insurance, which of the following is not the strategy of portfolio insurance?
选项：
A. Sell 1/delta call option.
B. Buy the same amount of put options as the underlying asset.
C. Create an option synthetically buying and selling the underlying assets in the proportion of delta of a put.
D. Create an option synthetically buying and selling the futures on the underlying assets in the proportion of delta of a put.
解释：
A is correct
考点：Delta Hedge-Calculation
解析：Portfolio insurance 可以通过直接购买一个市场上的put option来实现，也可以通过标的资产合成有保护的头寸使得所持头寸的Delta等于所需期权头寸的Delta，或者通过标的期货来合成有保护的头寸同样使得所持头寸的Delta等于所需期权头寸的Delta。构造合成期权所需的头寸与对冲该期权所需要的头寸刚好相反，这是因为对期权的对冲过程涉及构造一个相同但具有相反头寸的合成期权。
A选项描述的是delta-neutral的做法，即卖出1/delta 的期权份数。
老师好，C和D描述的头寸组合能否麻烦写一下？文字描述的有点绕，没太看明白buy什么，sell什么。