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Zunniyaki · 2022年12月22日

请问为什么C不正确?

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NO.PZ202208100100000204

问题如下:

In her response to Calzada, Dufu is most likely correct about:

选项:

A.

writing a straddle.

B.

a short risk reversal trade.

C.

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

1 个答案

Hertz_品职助教 · 2022年12月23日

嗨,从没放弃的小努力你好:


同学你好

本小题其实对应的是最后一段哈,这其实有一个大的前提条件,看一下题干这句话…Dufu回答说:“在这种情况下,合适的策略取决于你对隐含波动率变化的预期…

因此它其实考察的是针对波动率的策略。

C选项:买入call option,然后short put option,是对市场看涨的策略,并不是针对隐含波动率的策略。可以想一下我们针对波动率的策略有什么呢?strangle策略,straddle策略,其中A选项考察的就是straddle策略。所以C是不对的哦

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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