买卖方向

NO.PZ2016070202000025

问题如下：

You are the risk manager of your bank responsible for the derivatives desk. A trader has sold 300 call option contracts each on 100 shares of Nissan Motors with time to maturity of 90 days at USD 1.80. The delta of the option on one share is 0.60. You have hedged the option exposure by buying 18,000 shares of the underlying. The next day, the stock price falls and the delta of the options falls to 0.54. In order to keep the options hedged, you have to

选项：

Buy 1,800 shares of Nissan Motors

Sell 1,800 shares of Nissan Motors

Buy 1,080 shares of Nissan Motors

Sell 1,080 shares of Nissan Motors

解释：

First, we verify that the initial amount purchased is correct. This is $0.60\times300\times100=18,000$ shares. If the delta falls to 0.54, or by 0.06, the risk manager will have to sell $0.06\times300\times100=1,800$ shares.

怎么判断是买还是卖啊这个方向总搞不清

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DD仔_品职助教 · 2022年01月09日

嗨，从没放弃的小努力你好：

同学你好，根据原本的头寸以及未来delta变动来判断是买还是卖，目的都是要使得变化后的delta=0。

原本的头寸是300*100个short call的头寸，想要对冲short call就需要买delta*期权数量的股票，也就是需要0.6*300*100=18000的股票。

第二天delta变成了0.54，delta是下降了，代表需要用来对冲的股票数变少了，只需要0.54*30000=16200的股票，因为已经有了18000，所以减去16200，要卖掉1800股。

具体到每个题情况都不太一样，但是分析方法都是一样的，首先确定原本头寸，然后根据delta判断需要的对冲数量，对于原本short call头寸，需要long stock来对冲，如果delta变化后需要的数量多于变化前，代表需要long的更多，就是买；变化后需要的少，说明需要long的更少，则是卖。

如果说long call，需要short 股票来对冲，如果delta变化后需要的数量多，代表需要short更多，就是卖；变化后需要的少，说明需要short的更少，则是买。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2016070202000025问题如下You are the risk manager of your bank responsible for the rivatives sk. A trar hsol300 call option contracts eaon 100 shares of NissMotors with time to maturity of 90 ys US1.80. The lta of the option on one share is 0.60. You have heethe option exposure buying 18,000 shares of the unrlying. The next y, the stoprifalls anthe lta of the options falls to 0.54. In orr to keep the options hee you have toA.Buy 1,800 shares of NissMotorsB.Sell 1,800 shares of NissMotorsC.Buy 1,080 shares of NissMotorsSell 1,080 shares of NissMotorsFirst, we verify ththe initiamount purchaseis correct. This is 0.60×300×100=18,0000.60\times300\times100=18,0000.60×300×100=18,000 shares. If the lta falls to 0.54, or 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,8000.06×300×100=1,800 shares.讲义section7老师，这个跟regression hee中的公式不一样啊，请问这是讲义上哪个知识点。以后每个题目的解析能不能写出题目对应讲义的知识点哦

2024-02-14 08:03 2 · 回答

NO.PZ2016070202000025 问题如下 You are the risk manager of your bank responsible for the rivatives sk. A trar hsol300 call option contracts eaon 100 shares of NissMotors with time to maturity of 90 ys US1.80. The lta of the option on one share is 0.60. You have heethe option exposure buying 18,000 shares of the unrlying. The next y, the stoprifalls anthe lta of the options falls to 0.54. In orr to keep the options hee you have to A.Buy 1,800 shares of NissMotors B.Sell 1,800 shares of NissMotors C.Buy 1,080 shares of NissMotors Sell 1,080 shares of NissMotors First, we verify ththe initiamount purchaseis correct. This is 0.60×300×100=18,0000.60\times300\times100=18,0000.60×300×100=18,000 shares. If the lta falls to 0.54, or 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,8000.06×300×100=1,800 shares. 老师这道题我理解的是现在有300份的期权合约，每份合约对应100股，所以需要30000股去对冲期权。由于 NS*△S+NC*△C=0 NC=-ns/lta = -30000/0.6=-50000，所以需要short 5w期权现在lta变化成0.54，所以需要short 30000/0.54=5.5w期权

2022-11-03 16:06 1 · 回答

NO.PZ2016070202000025 解析中，lta怎么是S除以C？记得在一级当中有个公式，用组合的思路来求解，老师能再讲一下么？谢谢！

2021-08-23 21:55 1 · 回答

这个题答案没看懂，可以再清楚一点吗？

2019-01-12 08:35 5 · 回答

买卖方向

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