ly2023-08-13 23:25:24
ly老师，您好，第二题这么答可以吗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？谢谢啦
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Simon2023-08-14 10:23:04
Simon同学，下午好。因为gamma是股价变动导致delta变动的幅度，所以statement 1 用fastest有些不太合适，改成largest 比较合适。
statement 1 也可以这样写，more large gamma，more difficult to maintain the hedge，and ATM option has the largest gamma。
statement 2 可以这样写，在熊市，人民更倾向于买OTM put，从而推高了他的volatility。people are more likely to buy OTM put and push its volatility to be highrt than OTM call
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