Financial Risk Manager Part 1
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When evaluating the implementation of dynamic delta hedging for a portfolio composed of short option positions, which of the following statements is correct?
A
The interest cost of carrying the delta hedge will be highest when the options are deep out-of-the-money.
B
The interest cost of carrying the delta hedge will be highest when the options are deep in-the-money.
C
The interest cost of carrying the delta hedge will be highest when the options are at-the-money.
D
The interest cost of carrying the delta hedge will be lowest when the options are at-the-money.