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Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the
Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which of the following portfolios of options shows exposures consistent with this report? The desk has substantial long-expiry long call positions and substantial short expiry short put positions. The desk has substantial long-expiry_long put positions and substantial long expiry short call positions. C. The desk has substantial long-expiry long call positions and substantial short expiry short call positions. D. The desk has substantial short-expiry long call positions and substantial long expiry short call positions. you
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