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[讨论] 苦马请进

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发表于 2009-12-3 10:53 PM | 显示全部楼层 |阅读模式


买ITM扑,股票跌的时候,扑是不是同幅增值?

比如股票跌$2,扑就涨$2?
发表于 2009-12-3 11:03 PM | 显示全部楼层
本帖最后由 manhattan 于 2009-12-3 23:12 编辑

deep in the money put has a delta very close to -1, so your assumption is almost correct if not taking other factors into consideration such as theta, etc.
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