NO.PZ2018111302000068
问题如下：
An analyst thinks that actual price volatility of A crude oil has been higher than its expected volatility, and he expects this trend to continue. Which position should the analyst take?
选项：
A.a long volatility swap on A crude oil
B.a short volatility swap on A crude oil
C.a short position in an excess return swap that is based on a fixed level of the commodity Index.
解释：
A is correct.
因为预测A原油实际的price volatility是要高于预期的price volatility，当实际波动小于预期波动时，波动互换卖方获利，当实际波动大于预期波动时，波动互换买方获利，所以应该long volatility swap。
根据题目的表达：actual price volatility of A crude oil has been higher than its expected volatility，就是现在的volatility已经高于预期的了，那我觉得将来volatility就会变小……回归到预期的状态。。。所以将来会变小，所以选了B。。。
但是我也的确看到了下一句，这个趋势还会继续。。。但我就控制不住我前面会回归的想法。。。这是不是就是我想太多了………………而且会不会回归呢？
