06.单选题收藏标记纠错 A market maker is trading the following three (3) positions in call and put options which are identical with respect to their underlying stock price, the strike price and the maturities: long 100 ATM call options with a percentage delta of 0.6; short 60 ATM call options; and long 50 ATM put options. Which trade will neutralize the market maker's delta? A Buy 6.0 shares B Sell 6.0 shares C Buy 4.0 shares D Sell 4.0 shares 这题关于第三个option的detal值，put option的detal=call option-1，不是-0.4了么，long putdetal取值不是也是负数，负负不是应该变成正了么？为何解释还是负得detal？

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您现在的坐在位置：首页>智汇问答>FRM问答

Victorhuo2020-08-09 09:59:17

06.单选题收藏标记纠错 A market maker is trading the following three (3) positions in call and put options which are identical with respect to their underlying stock price, the strike price and the maturities: long 100 ATM call options with a percentage delta of 0.6; short 60 ATM call options; and long 50 ATM put options. Which trade will neutralize the market maker's delta? A Buy 6.0 shares B Sell 6.0 shares C Buy 4.0 shares D Sell 4.0 shares 这题关于第三个option的detal值，put option的detal=call option-1，不是-0.4了么，long putdetal取值不是也是负数，负负不是应该变成正了么？为何解释还是负得detal？