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陈Shelly · 2022年05月12日

最小化波动率

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NO.PZ201601050100000107

问题如下:

Gupta interviews a currency overlay manager on behalf of Portfolio A. The foreign currency overlay manager describes volatility-based trading, compares volatility-based trading strategies and explains how the firm uses currency options to establish positions in the foreign exchange market. The overlay manager states:

Statement 1 "Given the current stability in financial markets, several traders at our firm take advantage of the fact that most options expire out-of-the money and therefore are net-short volatility."

Statement 2 "Traders that want to minimize the impact of unanticipated price volatility are net-long volatility."

Comppare Statement 1 and Statement 2 and identify which best explains the view of a speculative volatility trader and which best explains the view of a hedger of volatility. Justify your response.

选项:

解释:

Statements 1 and 2 compare differences between speculative volatility traders and hedgers of volatility. Statement 1 best explains the view of a speculative volatility trader. Speculative volatility traders often want to be net-short volatility, if they believe that market conditions will remains stable. The reason for this is that most options expire out-of-the money, and the option writer can then keep the option premium as a payment earned for accepting volatility risk. (Speculative volatility traders would want to be long volatility if they thought volatility was likely to increase.) Statement 2 best describes the view of a hedger of volatility. Most hedgers are net-long volatility since they want to buy protection from unanticipated price volatility. Buying currency risk protection generally means a long option position. This can be thought of as paying an insurance premium for protection against exchange rate volatility.

中文解析:

陈述1和陈述2比较投机性波动率交易者和波动率套期保值者之间的差异。

表述一最好地解释了投机性波动交易者的观点。投机性波动交易者通常希望净做空波动,如果他们相信市场状况将保持稳定。这样做的原因是,大多数期权在到期时仍然是OTM状态,期权卖方可以将期权费作为接受波动性风险的报酬。

表述二最好地描述了波动性对冲者的观点。大多数对冲者都是净多头波动,因为他们想从意料之外的价格波动中购买保护。购买保护通常意味着做多期权头寸。这可以被认为是为防止汇率波动而支付的保险费。

Traders that want to minimize the impact of unanticipated price volatility are net-long volatility.

这个最小化波动率的影响不应该是short v吗?

2 个答案
已采纳答案

陈Shelly · 2022年05月14日

short volatility 波动性非常大 属于speculator投资者的操作

long volatility 属于hedge

Lucky_品职助教 · 2022年05月14日

嗨,从没放弃的小努力你好:


投资者希望最小化波动率,也就是不希望有风险,大多是对冲目的,如果是投机者,一般是发现机会,利用波动率来赚钱的

补充一下这两类投资者的区别~

【1】交易目的不同

期货市场是生产经营者规避生产经营风险的地方,也是投资者转移价格波动风险的地方,目的是为了锁定成本或者是锁定利润,以控制因为价格波动所产生的风险。投机不同,投机者参与交易是为了利用价格的波动赚取收益。

【2】操作方法不同

套期保值者的头寸以现货为依据,也就是说,期货的套期保值者购买或售出的期货合约的标的物是对应其在现货市场持有(愿意持有)的商品或资产,且尽量的保证数量相同、持有时间相同但方向相反。而这些投机者是不需要考虑的,投机者根据自己的资金、风险承受能力以及对市场的预判来参与交易。

【3】风险承受不同

套期保值者只需要承担基差变动带来的风险,而投机者因为是利用价格波动产生的差异来赚取收益,若是市场走势跟预期判断产生偏差,往往是要承担价格波动风险的,两者相对来讲,套期保值的风险偏小,投机风险大。

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