Hull:Options,Futures,andOtherDerivatives,NinthEditionChapter19:TheGreekLettersMultipleChoiceTestBank:Questions1.Acalloptiononastockhasadeltaof0.3.Atraderhassold1,000options.Whatpositionshouldthetradertaketohedgetheposition?A.Sell300sharesB.Buy300sharesC.Sell700sharesD.Buy700shares2.Whatdoesthetameasure?A.TherateofchangeofdeltawiththeassetpriceB.TherateofchangeoftheportfoliovaluewiththepassageoftimeC.ThesensitivityofaportfoliovaluetointerestratechangesD.Noneoftheabove3.Whatdoesgammameasure?A.TherateofchangeofdeltawiththeassetpriceB.TherateofchangeoftheportfoliovaluewiththepassageoftimeC.ThesensitivityofaportfoliovaluetointerestratechangesD.Noneoftheabove4.Whatdoesvegameasure?A.TherateofchangeofdeltawiththeassetpriceB.TherateofchangeoftheportfoliovaluewiththepassageoftimeC.ThesensitivityofaportfoliovaluetointerestratechangesD.Noneoftheabove5.Whatdoesrhomeasure?A.TherateofchangeofdeltawiththeassetpriceB.TherateofchangeoftheportfoliovaluewiththepassageoftimeC.ThesensitivityofaportfoliovaluetointerestratechangesD.Noneoftheabove6.Whichofthefollowingistrue?A.ThedeltaofaEuropeanputequalsminusthedeltaofaEuropeancallB.ThedeltaofaEuropeanputequalsthedeltaofaEuropeancallC.ThegammaofaEuropeanputequalsminusthegammaofaEuropeancallD.ThegammaofaEuropeanputequalsthegammaofaEuropeancall7.Aportfolioofderivativesonastockhasadeltaof2400andagammaof–10.Anoptiononthestockwithadeltaof0.5andagammaof0.04canbetraded.Whatpositionintheoptionisnecessarytomaketheportfoliogammaneutral?A.Longpositionin250optionsB.Shortpositionin250optionsC.Longpositionin20optionsD.Shortpositionin20options8.Atraderusesastop-lossstrategytohedgeashortpositioninathree-monthcalloptionwithastrikepriceof0.7000onanexchangerate.Thecurrentexchangerateis0.6950andvalueoftheoptionis0.1.Thetradercoverstheoptionwhentheexchangeratereaches0.7005anduncovers(i.e.,assumesanakedposition)iftheexchangeratefallsto0.6995.WhichofthefollowingisNOTtrue?A.Theexchangeratetradingmightcostnothingsothatthetradergains0.1foreachoptionsoldB.Theexch...
