when delta = 0, i.e no long or short deta, a position

来源: 于 2011-04-06 10:26:23 [旧帖] [给我悄悄话] 本文已被阅读：次

gets completely hedged, when the market is moving up, you may not make money since theta and vega is decling, when the market is moving down, you must make money since vega is climbing. specially, the hedging is done with underlying other than options.