开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

婷 · 2022年09月20日

B选项为什么错

* 问题详情,请 查看题干

NO.PZ202208100100000303

问题如下:

Which trade is Tryon most likely to implement to establish his equity market hedge?

选项:

A.

Trade 1

B.

Trade 2

C.

Trade 3

解释:

Solution

C is correct. Variance swaps have a valuable convexity feature—as realized volatility increases (decreases), the positive (negative) swap payoffs increase (decrease)—which makes them particularly attractive for hedging long equity portfolios. Because the volatility curve is in contango—that is, higher volatility is priced into the curve—Trade 1 is likely to experience roll-down losses as the futures price converges or is “pulled down” to the spot price. Trade 2 would benefit from a decrease rather than an increase in volatility; an alternative trade in the options space would be to buy call options to hedge the portfolio.

A is incorrect. Trade 1 is likely to experience roll-down losses as the futures price converges or is “pulled down” to the spot price.

B is incorrect. VIX put options would be bought to profit from an expectation that volatility will decrease because of stable equity market conditions.

本题到底是预计volatility增加还是减少?b选项应该long call还是long put?

1 个答案

Hertz_品职助教 · 2022年09月20日

嗨,努力学习的PZer你好:


同学你好

1.     预测波动率是上升的。

题干中说到VIX futures curve是contango的,即远月的合约价格是高于近月合约的,由于VIX futures的标的是VIX指数,即恐慌指数。恐慌指数上升,自然波动率是上涨的。

但是其实本题判断波动率上涨这一点并不重要,因为题干直接说了他想做多波动率:第四段中有一句话说的是He wants to establish volatility exposure ,因此只需要判断森个策略中哪一个是做多波动率的就可以了。

2.     B选项说的是策略2,其实long put还是long call在这里不是重点,重点是我们要做多波动率,应该long option,不应该是sell,所以策略2不对。

当然如果非要说是put还是call的话,由于题目说“他担心,由于企业收益下降,股市可能会下跌。”,基于这一点,或许long put更好。


----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 2

    关注
  • 765

    浏览
相关问题

NO.PZ202208100100000303 问题如下 Whitra is Tryon most likely to implement to establish his equity market hee? A.Tra 1 B.Tra 2 C.Tra 3 SolutionC is correct. Varianswaps have a valuable convexity feature—realizevolatility increases (creases), the positive (negative) swpayoffs increase (crease)—whimakes them particularly attractive for heing long equity portfolios. Because the volatility curve is in contango—this, higher volatility is priceinto the curve—Tra 1 is likely to experienroll-wn losses the futures priconverges or is “pullewn” to the spot price. Tra 2 woulbenefit from a crease rather thincrease in volatility; alternative tra in the options spawoulto buy call options to hee the portfolio.A is incorrect. Tra 1 is likely to experienroll-wn losses the futures priconverges or is “pullewn” to the spot price.B is incorrect. VIX put options woulbought to profit from expectation thvolatility will crease because of stable equity market contions.中文解析本题考察的是VIX futures,VIX options和varianswap。A,题干中说到VIX futures curve是contango的,即远月的合约价格是高于近月合约的,因此如果像tra 1中描述的买远月的合约,随着到期日的临近,合约价格下跌,会有损失,所以该交易不合适。B,也是因为VIX futures curve是contango的,即意味着将来波动率是预测上升的,因此也应该long VIX call options,而不应该是sell VIX putoption,B不对。C,long varianswap,即看涨波动率是合适的。关于veganotional的金额,因为vega notional表示的含义为The vega notionrepresents the average profit anloss of thevarianswfor a 1% change in volatility from the strike,即是一个平均收益或者损失的概念,所以tra 3中后半段的表述也是没有问题的。 1)如果认为VIX的形状是contango,是不是说明近期波动会低于远期波动?2)如果远期波动比较高,获利方式难道不是去购买远期(back-enmonth)的VIX futures来对冲远期波动风险吗?

2023-07-08 17:47 3 · 回答

NO.PZ202208100100000303 问题如下 Whitra is Tryon most likely to implement to establish his equity market hee? A.Tra 1 B.Tra 2 C.Tra 3 SolutionC is correct. Varianswaps have a valuable convexity feature—realizevolatility increases (creases), the positive (negative) swpayoffs increase (crease)—whimakes them particularly attractive for heing long equity portfolios. Because the volatility curve is in contango—this, higher volatility is priceinto the curve—Tra 1 is likely to experienroll-wn losses the futures priconverges or is “pullewn” to the spot price. Tra 2 woulbenefit from a crease rather thincrease in volatility; alternative tra in the options spawoulto buy call options to hee the portfolio.A is incorrect. Tra 1 is likely to experienroll-wn losses the futures priconverges or is “pullewn” to the spot price.B is incorrect. VIX put options woulbought to profit from expectation thvolatility will crease because of stable equity market contions.中文解析本题考察的是VIX futures,VIX options和varianswap。A,题干中说到VIX futures curve是contango的,即远月的合约价格是高于近月合约的,因此如果像tra 1中描述的买远月的合约,随着到期日的临近,合约价格下跌,会有损失,所以该交易不合适。B,也是因为VIX futures curve是contango的,即意味着将来波动率是预测上升的,因此也应该long VIX call options,而不应该是sell VIX putoption,B不对。C,long varianswap,即看涨波动率是合适的。关于veganotional的金额,因为vega notional表示的含义为The vega notionrepresents the average profit anloss of thevarianswfor a 1% change in volatility from the strike,即是一个平均收益或者损失的概念,所以tra 3中后半段的表述也是没有问题的。 请问为什么头寸是 vega notion而不是variannotional,equto the potentiequity portfolio loss?

2022-12-14 23:23 1 · 回答

NO.PZ202208100100000303问题如下 Whitra is Tryon most likely to implement to establish his equity market hee? A.Tra 1B.Tra 2C.Tra 3 SolutionC is correct. Varianswaps have a valuable convexity feature—realizevolatility increases (creases), the positive (negative) swpayoffs increase (crease)—whimakes them particularly attractive for heing long equity portfolios. Because the volatility curve is in contango—this, higher volatility is priceinto the curve—Tra 1 is likely to experienroll-wn losses the futures priconverges or is “pullewn” to the spot price. Tra 2 woulbenefit from a crease rather thincrease in volatility; alternative tra in the options spawoulto buy call options to hee the portfolio.A is incorrect. Tra 1 is likely to experienroll-wn losses the futures priconverges or is “pullewn” to the spot price.B is incorrect. VIX put options woulbought to profit from expectation thvolatility will crease because of stable equity market contions. 预计volatility会变大,future的价格变高,out of money的put option不会被行权,sell put option的一方净赚一系列期权费,获得收益,这个思路哪里错了?另外,看了对前面同学问题的回答,为啥预计股价下跌,就要long put option?股价下跌通常伴随volatility变大,VIX future的价格变高,难道不是long call?

2022-11-13 17:06 1 · 回答