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2023-08-13 23:25老師，您好，第二題這么答可以嗎Statement 1 is correct, because at the money delta's change is fastest Statement 2 is correct,In a bearish market, people fear more downside？謝謝啦
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Simon助教
2023-08-14 10:23
該回答已被題主采納
同學，下午好。因為gamma是股價變動導(dǎo)致delta變動的幅度，所以statement 1 用fastest有些不太合適，改成largest 比較合適。
statement 1 也可以這樣寫，more large gamma，more difficult to maintain the hedge，and ATM option has the largest gamma。
statement 2 可以這樣寫，在熊市，人民更傾向于買OTM put，從而推高了他的volatility。people are more likely to buy OTM put and push its volatility to be highrt than OTM call
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