NO.PZ2016070202000026
问题如下：
A trader buys an at-the-money call option with the intention of delta-hedging it to maturity. Which one of the following is likely to be the most profitable over the life of the option?
选项：
A.An increase in implied volatility
B.The underlying price steadily rising over the life of the option
C.The underlying price steadily decreasing over the life of the option
D.The underlying price drifting back and forth around the strike over the life of the option
解释：
D is correct. An important aspect of the question is the fact that the option is held to maturity. Answer A is incorrect because changes in the implied volatility would change the value of the option, but this has no effect when holding to maturity. The profit from the dynamic portfolio will depend on whether the actual volatility differs from the initial implied volatility. It does not depend on whether the option ends up in-the-money, so answers B and B are incorrect. The portfolio will be profitable if the actual volatility is small, which implies small moves around the strike price (answer D).
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