NO.PZ202208100100000204
问题如下:
In her response to Calzada, Dufu is most likely correct about:
选项:
A.writing a straddle.
a short risk reversal trade.
buying calls and writing puts.
解释:
A is correct. Dufu is correct about writing a straddle if the outlook is for the market to trade in a narrow range and an increase in implied volatility is expected. The strategy of buying call options on an index and writing put options on the index is incorrect; such a strategy would be implemented by an investor who has a bullish view of the market and an expectation that implied volatility will remain unchanged. The sale of puts is used to lower the cost of purchasing the calls. Dufu is incorrect about the short risk reversal strategy. This strategy would be implemented to benefit from an implied volatility skew. Specifically, one would enter this trade if call-implied volatility is viewed as being too high relative to put implied volatility––that is, one would sell the OTM call option and buy the OTM put option.
B is incorrect. Dufu is incorrect about the short risk reversal strategy. This strategy would be implemented to benefit from an implied volatility skew. Specifically, one would enter this trade if call implied volatility is viewed as being too high relative to put implied volatility––that is, one would sell the OTM call option and buy the OTM put option.
C is incorrect. Dufu is incorrect about buying calls and writing puts. The strategy of buying call options on an index and writing put options on the index is incorrect and would be implemented by an investor who has a bullish view of the market and an expectation that implied volatility will remain unchanged. The sale of puts is used to lower the cost of purchasing the calls.
请问为什么C不正确?题目里说了:“If your view is that implied volatility will remain unchanged”,而且call的价格的确比put价格便宜,所以long call+short put没有错啊