Fair2019-02-09 13:58:32
FairAn 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 这一题有一点混淆，什么时候是ITM，什么时候是OTM？还有就是VEGA=0为什么就是deep in the money或者deep out of the money?上课老师说的都可以明白，为什么一做题目就全部都不懂？o(╥﹏╥)o
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Cindy2019-02-11 11:08:43
Cindy同学你好，要实现zero vega的话，in the money就是立即行权可以获益的状态，如果行权反而亏损的话，那么期权就是out of the money,所以判断是in the money还是out of the money主要就是拿执行价格和股价比大小，就行了，再看这题，要实现zero vega，那么这个期权肯定是deep in the money或者deep out of the money，因为这两种状态下的vega是最小的，这个您可以看一下vega的图像就知道了，所以A和C都错了，再看D和B，看涨期权的价值和利率是正相关的，所以买入看涨期权能够在利率上涨的时候获益，符合题意，而看跌期权和利率是反向关系，综合起来，这道题选B
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