各位frm考友，下面这个题目是frmhandbook中的一道，想了好久没有想通
请大家帮忙解答以下
EXAMPLE 13.19: FRM EXAM 2000—QUESTION 97
A trader buys an at-the-money call option with the intention of delta-hedging
it to maturity. Which one of the following is likely to be the most profitable
over the life of the option?
a. An increase in implied volatility
b. The underlying price steadily rising over the life of the option
c. The underlying price steadily decreasing over the life of the option
d. The underlying price drifting back and forth around the strike over the
life of the option
答案是d，handbook给出的解释
d) An important aspect of the question is the fact that the option is held to maturity.
Answer a) is incorrect because changes in the implied volatility would change the
value of the option, but this has no effect when holding to maturity. The profit
from the dynamic portfolio will depend on whether the actual volatility differs
from the initial implied volatility.（这句是什么意思？？） It does not depend on whether the option ends
up in-the-money, so answers b) and c) are incorrect. The portfolio will be profitable
if the actual volatility is small, which implies small moves around the strike price.
没搞清楚为什么这种drifting back and forth around the strike over the
life of the option能够使一个option最赚钱？
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