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.
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?