答案B是不是给错了？

NO.PZ202208100100000203 问题如下 In his statement to Calza, Armitage is least likely correwith regarto: A.lta heing. B.volatility smile. C.long risk reversal. SolutionB is correct. Exhibit 2 picts a volatility skew in whiimplievolatility increases for out-of-the-money (OTM) put options ancreases for OTM call options. A volatility smile occurs when the curve is U-shape–this, implievolatility increases for OTM puts ancalls.C is incorrect. Armitage is correabout the long risk reversstrategy of selling the OTM put anbuying the OTM call if the put implievolatility is consireto too high comparewith the call implievolatility.A is incorrect. Armitage is correabout lta heing the option position selling the unrlying asset.中文解析本题考察的是volatility skew，risk reversal以及lta hee。B在volatility smile或者volatilityskew的图形中，横坐标是执行价格，纵坐标是隐含波动率。根据ATM一列，可以得到当前股价是17.60，此时的隐含波动率认为是100%（表格中省略）。对于put option来说执行价格为26.31和执行价格为22.40时，都是ITM的。且执行价格越高（26.31），越ep ITM，其隐含波动率越低（80%）。对于call option来说执行价格为15.54和14.65都是OTM的，且执行价格越低（14.65），越 ep OTM，其隐含波动率越高（120%）。综上对于ITM 的put option，隐含波动率随着执行价格的升高而下降；对于OTM的call option，隐含波动率随着执行价格的升高而降低的，符合的是volatility skew图形。C当put option的隐含波动率相比于call option的隐含波动率被高估时，意味着put option的价格相比于call option被高估，因此可以卖出put option，买进call option。Long risk revers= long call + short put，因此C没有问题。另，short risk reversal= long put + short call。A调整手里头寸的lta通过交易股票来实现，这里题干说的不是很清楚，因为是否是卖股票，要看手里的头寸的lta以及想要达到的目标lta值来判断，这里就把题干的意思理解为可以通过买卖股票来调节lta即可，因为关于volatility smile的判断是明显错误的。（本题出的不是很好，建议了解即可） 老师上课讲，判断volatility skew 只要是要看 OTM 的 put 和 OTM 的call 这里面给的数据 全是ITM的 这样判断 也可以吗？

NO.PZ202208100100000203 问题如下 In his statement to Calza, Armitage is least likely correwith regarto: A.lta heing. B.volatility smile. C.long risk reversal. SolutionB is correct. Exhibit 2 picts a volatility skew in whiimplievolatility increases for out-of-the-money (OTM) put options ancreases for OTM call options. A volatility smile occurs when the curve is U-shape–this, implievolatility increases for OTM puts ancalls.C is incorrect. Armitage is correabout the long risk reversstrategy of selling the OTM put anbuying the OTM call if the put implievolatility is consireto too high comparewith the call implievolatility.A is incorrect. Armitage is correabout lta heing the option position selling the unrlying asset.中文解析本题考察的是volatility skew，risk reversal以及lta hee。B在volatility smile或者volatilityskew的图形中，横坐标是执行价格，纵坐标是隐含波动率。根据ATM一列，可以得到当前股价是17.60，此时的隐含波动率认为是100%（表格中省略）。对于put option来说执行价格为26.31和执行价格为22.40时，都是ITM的。且执行价格越高（26.31），越ep ITM，其隐含波动率越低（80%）。对于call option来说执行价格为15.54和14.65都是OTM的，且执行价格越低（14.65），越 ep OTM，其隐含波动率越高（120%）。综上对于ITM 的put option，隐含波动率随着执行价格的升高而下降；对于OTM的call option，隐含波动率随着执行价格的升高而降低的，符合的是volatility skew图形。C当put option的隐含波动率相比于call option的隐含波动率被高估时，意味着put option的价格相比于call option被高估，因此可以卖出put option，买进call option。Long risk revers= long call + short put，因此C没有问题。另，short risk reversal= long put + short call。A调整手里头寸的lta通过交易股票来实现，这里题干说的不是很清楚，因为是否是卖股票，要看手里的头寸的lta以及想要达到的目标lta值来判断，这里就把题干的意思理解为可以通过买卖股票来调节lta即可，因为关于volatility smile的判断是明显错误的。（本题出的不是很好，建议了解即可） -P+C 在上一个case题中，解析里成为 short risk reversal怎么在这个题里又变成 long risk reversal了？再一个，目前的 股价是高于 CALL的两个 行权价 应该是ITM，怎么解析里是OTM？

NO.PZ202208100100000203 问题如下 In his statement to Calza, Armitage is least likely correwith regarto: A.lta heing. B.a short risk reverstra. C.long risk reversal. SolutionB is correct. Exhibit 2 picts a volatility skew in whiimplievolatility increases for out-of-the-money (OTM) put options ancreases for OTM call options. A volatility smile occurs when the curve is U-shape–this, implievolatility increases for OTM puts ancalls.C is incorrect. Armitage is correabout the long risk reversstrategy of selling the OTM put anbuying the OTM call if the put implievolatility is consireto too high comparewith the call implievolatility.A is incorrect. Armitage is correabout lta heing the option position selling the unrlying asset. 看出来是skew，请问B表达是skew吗？a short risk reverstra 感觉是long put + short call

NO.PZ202208100100000203 问题如下 In his statement to Calza, Armitage is least likely correwith regarto: A.lta heing. B.a short risk reverstra. C.long risk reversal. SolutionB is correct. Exhibit 2 picts a volatility skew in whiimplievolatility increases for out-of-the-money (OTM) put options ancreases for OTM call options. A volatility smile occurs when the curve is U-shape–this, implievolatility increases for OTM puts ancalls.C is incorrect. Armitage is correabout the long risk reversstrategy of selling the OTM put anbuying the OTM call if the put implievolatility is consireto too high comparewith the call implievolatility.A is incorrect. Armitage is correabout lta heing the option position selling the unrlying asset. long risk reversanlta hee the option position selling the unrlying asset 这句话怎么理解呢