Victorhuo
2020-08-05 14:3605.單選題 收藏 標(biāo)記 糾錯(cuò) The payoff pattern a WRITING A COVERED CALL is most similar to the payoff pattern of: A Long put option B Short put option C Long forward position D Short forward position 這題寫說(shuō)賣出一個(gè)covered call，covered call不是S-call，賣出不是應(yīng)該看成call-S么，為啥答案還是選擇A？不太明白
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Adam助教
2020-08-05 19:21
該回答已被題主采納
同學(xué)你好，這題有點(diǎn)爭(zhēng)議。（后續(xù)我們會(huì)進(jìn)行處理）
john hull的中文版的書(shū)上，對(duì)writing a covered call定義為：備保看漲期權(quán)承約。也就是long。
但是通常來(lái)說(shuō)，我們認(rèn)為writing是一個(gè)動(dòng)作，short。建議這么理解。
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追問(wèn)
05.單選題 收藏 標(biāo)記 糾錯(cuò)
Each of the following is true about option gamma, EXCEPT which is false?
A
For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of both in-the-money (ITM) and out-of-the-money (OTM) options tends toward zero
B
For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of an at-the-money (ATM) option tends toward zero
C
If you write a covered call, you are short gamma; i.e., position gamma is negative
D
If you purchase a protective put, you are long gamma; i.e., position gamma is positive，這題如果按照之前說(shuō)的write a covered call等同于long的話，C選項(xiàng)不是有問(wèn)題么？ -
追答
同學(xué)你好，我之前說(shuō)了;
通常來(lái)說(shuō)，我們認(rèn)為writing是一個(gè)動(dòng)作，short。建議這么理解。 -
追問(wèn)
也就是按照最簡(jiǎn)單的理解就是write等于short，gamma為負(fù)值，不用去看他write了什么~不用去糾結(jié)對(duì)吧？write a covered call 是有問(wèn)題的表述對(duì)嘛
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追答
對(duì)的，
不用去看他write了什么~不用去糾結(jié)
嗯嗯，這里有點(diǎn)問(wèn)題
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