請問Delta,Gamma中性的問題 - 期貨
By Todd Johnson
at 2017-06-28T15:01
at 2017-06-28T15:01
Table of Contents
請問如果將部位調成Delta與Gamma皆Neutral
這樣部位的theta是不是也是 0?
EX: 我有Short call 也有 long put 用期貨調成中性 這樣我應該不會遭受theta損失吧?
這樣是不是只剩vega的問題了??
當IV上升/下降時會賺還是賠??
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