丹同学2022-05-18 22:16:38
丹同学if there is volatility skew, the volatility for OTM put is higher than volatility for OTM call, why we can 1> buy call and sell put and 2> delta hedge the option position by selling the underlying asset?
回答（1）
Chris Lan2022-05-19 12:16:09
Chris Lan同学您好
why we can 1> buy call and sell put
因为此时OTM call的隐含波动低，说明其价格低估，而OTM put的隐含波动高，说明其价格高估，因此我们应该买定价低估的期权，卖定价高估的期权。
2> delta hedge the option position by selling the underlying asset?
因为long OTM call有正的delta，short OTM put也有正的delta，因此该策略的delta敞口为正，因此要对冲delta敞口，就需要找一个delta为负的资产，因此short underlying asset会带来负的delta，从而完成delta对冲。
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