NO.PZ2018122701000084
问题如下:
With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:
选项:
A.Short position in an at-the-money call
B.Long position in an at-the-money call
C.Short position in a deep in-the-money call
D.Long position in a deep in-the-money call
解释:
D is correct.
考点Volatility Smile
解析A plot of the implied volatility of an option as a function of its strike price demonstrates a pattern known as the volatility smile or volatility skew. The implied volatility decreases as the strike price increases. Thus, all else equal, a risk monitoring system which assumes constant volatility for equity returns will understate the implied volatility for a long position in a deep-in-the-money call.
deep-in-the-money的call好判断,用volatility skew就行,但是C和D的区别是什么?