Fair
2019-02-09 13:58An investor is looking to create an options portfolio on XYZ stock that will have virtually zero vega exposure while maximizing the ability to profit from increases in interest rates. If the current price of XYZ is $50, which of the following would accomplish his goals? A Sell a call with a strike price of $50 B Buy a call with a strike price of $25 C Sell a put with a strike price of $50 D Buy a put with a strike price of $25 這一題有一點(diǎn)混淆，什么時(shí)候是ITM，什么時(shí)候是OTM？還有就是VEGA=0為什么就是deep in the money或者deep out of the money?上課老師說(shuō)的都可以明白，為什么一做題目就全部都不懂？o(╥﹏╥)o
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
Cindy助教
2019-02-11 11:08
該回答已被題主采納
同學(xué)你好，要實(shí)現(xiàn)zero vega的話，in the money就是立即行權(quán)可以獲益的狀態(tài)，如果行權(quán)反而虧損的話，那么期權(quán)就是out of the money,所以判斷是in the money還是out of the money主要就是拿執(zhí)行價(jià)格和股價(jià)比大小，就行了，再看這題，要實(shí)現(xiàn)zero vega，那么這個(gè)期權(quán)肯定是deep in the money或者deep out of the money，因?yàn)檫@兩種狀態(tài)下的vega是最小的，這個(gè)您可以看一下vega的圖像就知道了，所以A和C都錯(cuò)了，再看D和B，看漲期權(quán)的價(jià)值和利率是正相關(guān)的，所以買入看漲期權(quán)能夠在利率上漲的時(shí)候獲益，符合題意，而看跌期權(quán)和利率是反向關(guān)系，綜合起來(lái)，這道題選B
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