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单选题 Suppose the delta of a call option is 0.6. How can a short position in 1,000 options be made delta neutral?( )
学科：金融风险管理
时间：2023-05-07 18:30:08
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题目1单选题
If the current market price of a stock is $60, which of the following options on the stock has the highest gamma?( )A. Long call option expiring in 5 days with strike price of $30B. Long call option expiring in 5 days with strike price of $60C. Long call option expiring in 30 days with strike price of $30D. Long call option expiring in 30 days with strike price of $60
题目2单选题
In evaluating the dynamic delta hedging of a portfolio of short positions, which of the following is correct?( )A. The interest cost of carrying the delta hedge will be highest when the options are deep in-the-moneyB. The interest cost of carrying the delta hedge will be highest when the options are at-the-moneyC. The interest cost of carrying the delta hedge will be lowest when the options are at-the-moneyD. The interest cost of carrying the delta hedge will be highest when the options are deep out-of-the-money
题目3单选题
A portfolio of stock XYZ and options on stock XYZ is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio with both delta and gamma neutral?( )A. Buy call options on stock XYZ and sell stock XYZB. Sell call options on stock XYZ and sell stock XYZC. Sell put options on stock XYZ and sell stock XYZD. Buy put options on stock XYZ and buy stock XYZ
题目4单选题
The delta of a derivatives portfolio dependent on an index is -2,100. The index is currently 1,000. Estimate what happens to the value of the portfolio when the index increases to 1,005.( )A. The value of the portfolio decreases by $10,500B. The value of the portfolio increases by $10,500C. The value of the portfolio decreases by $1,500
题目5单选题
A portfolio of stock E and options on stock E is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio with both delta and gamma neutral?( )A. Buy call options on stock E and sell stock EB. Sell call options on stock E and sell stock EC. Buy put options on stock E and buy stock ED. Sell put options on stock E and sell stock E
题目6判断题
An ABS CDO is an ABS generally created from AAA-rated tranches of a number of different ABSs.( )A. 对B. 错
题目7判断题
The risks in the tranche of an ABS are different from the risks in a similarly rated bond. Often a tranche is thin and the probability distribution of the loss is quite different from that on the bond. If a loss occurs, there is a high probability that it will be 100%. A 100% loss is much less likely for a bond.( )A. 对B. 错
题目8单选题
Suppose the delta of a call option is 0.6. How can a short position in 1,000 options be made delta neutral?( )A. Short 600 sharesB. Purchase 1,000 sharesC. Purchase 600 shares
题目9单选题
________ measures the return to stockholders on their investments in the bank. It is the product of net profit margin, asset utilization and the equity multiplier.( )A. Return on AssetsB. Return on EquityC. Net profit margin
题目10判断题
Non-interest expense on the income statement of a bank is associated with credit risk.( )A. 对B. 错
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