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zhou8888 · 2023年02月07日

解释一下

* 问题详情,请 查看题干

NO.PZ202208100100000203

问题如下:

In his statement to Calzada, Armitage is least likely correct with regard to:

选项:

A.

delta hedging.

B.a short risk reversal trade. C.

long risk reversal.

解释:

Solution

B is correct. Exhibit 2 depicts a volatility skew in which implied volatility increases for out-of-the-money (OTM) put options and decreases for OTM call options. A volatility smile occurs when the curve is U-shaped––that is, implied volatility increases for OTM puts and calls.

C is incorrect. Armitage is correct about the long risk reversal strategy of selling the OTM put and buying the OTM call if the put implied volatility is considered to be too high compared with the call implied volatility.

A is incorrect. Armitage is correct about delta hedging the option position by selling the underlying asset.

long risk reversal and delta hedge the option position by selling the underlying asset 这句话怎么理解呢

1 个答案

Hertz_品职助教 · 2023年02月09日

嗨,努力学习的PZer你好:


同学你好

完整的看下这句话的意思:

如果看跌期权隐含波动率被认为高于看涨期权隐含波动率,那么利用这种情况的一种方法是进入长期风险逆转,并通过出售标的资产对冲期权头寸。

首先long risk reversal = long call + short put。

然后分析这句话,他说put的隐含波动率是被高估的(隐含波动率和价格的关系是正相关,隐含波动率被高估,价格就被高估),并且是高于call的隐含波动率,那么既然put被高估,我们就应该卖出put,买进call。所以正好是构成的long risk reversal策略。

Long call的delta是正的,short put的delta也是正的,因此long risk reversal的delta肯定是正数的,现货头寸的空头的delta是负数,即short stock的delta是负数的,因此如果做delta hedge的话,刚好就加一个short stock的头寸哈。

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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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