long calendar spread

问题如下：

An investor holds shares of a chocolate company, currently trading at $30 a share. The investor believes that the market will fluctuate greatly in the future, but he does not have a clear judgment on the rise and fall of the market. Based on the observation. which of the following investment strategies should he adopt?

选项：

A.

short straddle

B.

long straddle

C.

long calendar spread

解释：

B is correct

该投资者认为将来市场波动很大，但是却没有具体的涨或者跌的方向性判断。因此采取的策略是做多波动率的策略，选择long straddle，该策略在波动率大的时候获利，无论股价是涨还是跌。B对

short straddle策略赌的是波动率的下降，与本题不符；long calendar策略，是在预测短期波动率很小，长期市场波动比较大的时候使用，与本题也不符。因此A,C选项错误。