注册 登录
上一主题：Is Schweser saying hedge ratios not on test?
下一主题：Purchase Method Question
返回列表 发帖
bodhisattva

Rank: 2

UID
222301 
帖子
442 
主题
9 
注册时间
2011-7-2 
最后登录
2015-12-29 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2013-4-14 19:55 | 只看该作者

Delta Question, I've always had trouble with this one

delta, long, necessary, maintain, position
(you have a long position that is delta hedged by selling calls)
As the option delta moves further away from zero (as opposed to moving closer to zero) the number options necessary to maintain the hedge
1) increases?
2) decreases?

 

相关主题：

. Delta Question, I've always had trouble with this one

. Reading 39: Risk Management App....tion Strategies－LOS d

. Alpha and beta separation. Reading 27

. Credit Risk on a Forward (Schweser book 4) am I crazy?

. question on mark to market example

收藏 分享

bbtomato

Rank: 2

UID
223436 
帖子
302 
主题
8 
注册时间
2011-7-11 
最后登录
2014-8-7 
2#
发表于 2013-4-14 19:56 | 只看该作者
As delta moves further away from zero, what happens? It’s getting closer to 1, right? (delta is always between 0 and 1 for calls remember)..
And what does delta tell you? It tells you how many shares you need per short call. So 1 / delta tells you how many calls you need per share.
So if delta is getting closer and closer to 1, then 1 / delta is also getting closer and closer to 1.
But remember for small delta, you have 1 / delta being large so the number of calls needs is decreasing.

TOP

Roflnadal

Rank: 2

UID
222306 
帖子
362 
主题
16 
注册时间
2011-7-2 
最后登录
2015-12-27 
3#
发表于 2013-4-14 19:56 | 只看该作者
#options needed for hedge = # stock shares/delta
if delta moves away from zero as in going from 0 to 1, the delta increases. 100 options necessary for 1000 shares and delta of 10. if delta increase to 15, then # options needed is 1000/15 which yields less than 100 options so i would guess decrease?

TOP

Chuckrox8

Rank: 2

UID
222284 
帖子
304 
主题
67 
注册时间
2011-7-2 
最后登录
2016-4-19 
4#
发表于 2013-4-14 19:57 | 只看该作者
I am so sorry. I wrote down the wrong information.
The actual question is
Which option strategy would be the most effective in hedging the risk of BIC stock?
A) Add put options to the portfolio as the option delta moves closer to zero?
B) Add put options to the portfolio as the option delta moves further from zero?

TOP

stalkey

Rank: 2

UID
223459 
帖子
302 
主题
9 
注册时间
2011-7-11 
最后登录
2014-8-4 
5#
发表于 2013-4-14 19:58 | 只看该作者
justinkc really helped with that answer, too
don’t try to conceptualize it, just do the math

TOP

返回列表
上一主题：Is Schweser saying hedge ratios not on test?
下一主题：Purchase Method Question