NO.PZ2018113001000061
问题如下:
Assume the VIX term structure is upwardsloping, and remains constant over time. According to the observation, the VIXis at 11.40, the front-month futures contract trades at 12.50, and thesecond-month futures contract trades at 14.40. A volatility trader decides toimplement a trade that would profit from the VIX carry roll down. Which of thefollowing strategies can be profitable?
选项:
A.
Buy the VIX front- month futures and sell the VIXsecond- month futures.
B.
Buy VIX and sell the VIX front- month futures.
C.
Buy VIX and sell the VIX second- month futures.
解释:
A is correct
中文解析:
本题考察的是“The VIX carry roll down”的知识点
首先我们需要注意的一点是,VIX是不能直接进行买卖的,所以B选项和C选项中说直接 buy VIX直接排除掉。(考试的时候也是,看到这种直接买卖VIX的表述,不用思考直接pass)
选项A对应的是buy VIX front- month futures and sell the VIX second- month futures.是说买一个月的VIX期货,卖出2个月的VIX期货。一个月后买入一个月的期货价格有12.5降到了11.4,亏了1.1。卖出的2个月的期货,由14.4降到了12.5,赚了1.9。一买一卖合计赚了0.8。所以选A。
课上有讲到越到近月,vix future下降得越快,为啥这些题上F2-F1的幅度都大于F1-S的幅度呢