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婷 · 2022年09月20日

B选项为什么错

  1. CFA III
  2. Derivative

* 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？

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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。


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