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Archie · 2022年05月13日

题目理解

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000037

问题如下：

An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time. Which strategy would the trader most likely employ to hedge the portfolio?

选项：

A.

  Sell short-dated options and buy long-dated options.

B.

  Buy short-dated options and sell long-dated options.

C.

  Sell short-dated options and sell long-dated options.

D.

  Buy short-dated options and buy long-dated options.

解释：

ANSWER: A

Such a portfolio is short vega (volatility) and short theta (time). We need to implement a hedge that is delta-neutral and involves buying and selling options with different maturities. Long positions in short-dated options have high negative theta and low positive vega. Hedging can be achieved by selling short-term options and buying long-term options.

老师我想知道为什么是long vega和theta，组合对这俩敏感，不是应该short这俩嘛，目的是希望这俩等于0

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2 个答案

品职答疑小助手雍 · 2022年08月03日

题目说了“high unfavorable sensitivity to increases in implied volatility”，波动率增加，价值降低，所以是short vega的。

品职答疑小助手雍 · 2022年05月14日

同学你好，题目说的是目前的组合对于 increases in implied volatility and passage of time的情况是unfavorable sensitivity 的。

所以原组合是short vega和short theta的，想要对冲就要long。

wuzx · 2022年08月03日

老师请问怎么看出原来组合是short vega的？

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