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徐威廉 · 2020年08月14日

问一道题：NO.PZ201702190300000408 第8小题 [ CFA II ]

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

8.The strategy suggested by Lee for hedging small moves in Soiomon‘s ETF position would most likely involve:

选项：

A.

selling put options.

B.

selling call options.

C.

buying call options.

解释：

B is correct

because selling call options creates a short position in the ETF that would hedge his current long position in the ETF.

Exhibit 2 could also be used to answer the question. Solomon owns 10,000 shares of the GPX, each with a delta of +1; by definition, his portfolio delta is + 10,000. A delta hedge could be implemented by selling enough calls to make the portfolio delta neutral:

NH=Portfolio deltaDelataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ delta}}{Delata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.

定量计算为什么不能用delta put， 那个等于0的公式不是既能适用于Call option又能适用于Put option
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xiaowan_品职助教 · 2020年08月15日

嗨，从没放弃的小努力你好：


同学你好，

首先，这道题要选出答案并不需要定量计算，为了hedge一个ETF的long position，要么short call，要么long put，而选项中只有short call，所以选B。

其次，如果要用定量，是可以算delta put的，但是算出来也是long put，因为put本身的delta是负的，所以得出一样的结论，选项中没有long put的选项，只能选short call的选项。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


Yan · 2021年02月12日

怎么用delta put 定量计算呢？

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NO.PZ201702190300000408 老师好，这道题说拥有ETF，那就是long一个头寸，但如何判断是call还是put呢？我当时认为题目说he is worriethe inx woulcline，那就代表原来是认为价格会上涨么，那应该是call啊

2021-08-07 22:46 1 · 回答

NO.PZ201702190300000408 这句话的意思是一个3个月的fra，可以在3个月后以0.75%的利率进入一个6个月的loan对吗？beginning in six month是持续6个月的意思？

2021-07-01 18:31 1 · 回答

NO.PZ201702190300000408 selling call options. buying call options. B is correbecause selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral: NH=Portfolio ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataH​Portfolio lta​=+0.6232+10,000​−16,046 calls.老师 如果A说buy put对吗？

2021-05-17 13:12 1 · 回答

NO.PZ201702190300000408 selling call options. buying call options. B is correbecause selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral: NH=Portfolio ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataH​Portfolio lta​=+0.6232+10,000​−16,046 calls.1，解析中的公式从哪里来的？我在强化班中并没有看到。为什么可以直接用 portfolio lta除以 lta put ，而且分子分母都是正数，得出来的是负数？2.怎么定量求解？

2021-02-12 23:04 1 · 回答

selling call options. buying call options. B is correbecause selling call options creates a short position in the ETF thwoulhee his current long position in the ETF. Exhibit 2 coulalso useto answer the question. Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. A lta hee coulimplementeselling enough calls to make the portfolio lta neutral: NH=Portfolio ltalataH=+10,000+0.6232−16,046 calls.NH=\frac{Portfolio\text{ lta}}{lata_H}=\frac{+10,000}{+0.6232}-16,046\text{ }calls.NH=lataH​Portfolio lta​=+0.6232+10,000​−16,046 calls.Solomon owns 10,000 shares of the GPX, eawith a lta of +1; finition, his portfolio lta is + 10,000. 这里为什么portfolio lta是+10000？

2020-09-26 19:52 1 · 回答