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?