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比率价差策略的裸露Gamma风险在行情突破时如何量化?典型踩雷案例的启示

  • 2026-05-08 14:18:36
比率价差策略的裸露Gamma风险在行情突破时如何量化?典型踩雷案例的启示

说明：本文中"比率价差"若无特别说明，默认指认购比率价差（Buy ATM Call + Sell 2× OTM Call），方向看涨；认沽比率价差（Buy ATM Put + Sell 2× OTM Put）用于描述下跌市场的踩雷案例。一、比率价差的Gamma风险本质：为何"裸露...

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