NO.PZ202206260100000302
问题如下：
Which of Chang’s observations about Fund A is most likely accurate?
选项：
A.Observation 1
B.Observation 2
C.Observation 3
解释：
SolutionC is correct. For Fund A, adding deep out-of-the-money puts during periods of market stress would explain why the correlation with equity markets is relatively neutral in normal markets but is significantly negative during periods of crisis. It also is supported by a large increase in positive correlation with volatility during periods of crisis.
A is incorrect. Fund A does not likely have a dedicated short bias strategy because the sensitivity to equity markets is essentially zero except for during times of crisis.
B is incorrect. Fund A has a positive exposure to volatility through the VIX, especially during periods of market stress. This is not indicative of a manager selling puts against short positions.
C选项，其描述简单是说持有PUT，也就是option，还是和B解题思路一样。PUT是option，与波动成正比，CRISIS的时候是高波动，所以这个时候应该系数是增加的。而表格的VIX的crisis比normal高（0.46＞0.14），所以证明C是对的
老师，还是不懂C选项的意思。题目是指position long put on VIX？那应该是认为未来波动会变小？但现在危机下VIX敏感系数表达？
