AdvancedMultiple choice
Reading a book’s risk report · Part 3 of 3
A stock is at $50. Your options book reports delta +2,000 shares, gamma −500 shares per dollar, vega +$30,000 per volatility point and theta +$4,000 per day.
Which position is most likely to produce this combination of short gamma, long vega and positive theta?
- AShort near-dated options against long longer-dated ones
- BLong at-the-money straddles, one-month expiry, on the same stock
- CShort at-the-money straddles with a year to expiry, sold at a high implied volatility
- DA large long stock position hedged with index futures
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