问一道题：NO.PZ201601050100000107 第7小题 [ CFA III ]

NO.PZ201601050100000107 问题如下 Guptainterviews a currenoverlmanager on behalf of Portfolio The foreigncurrenoverlmanager scribes volatility-basetrang, comparesvolatility-basetrang strategies anexplains how the firm uses currencyoptions to establish positions in the foreign exchange market. The overlaymanager states:Statement 1 \"Given the currentstability in financimarkets, severtrars our firm take aantage ofthe fathmost options expire out-of-the money antherefore are net-shortvolatility.\"Statement 2 \"Trars thwant tominimize the impaof unanticipateprivolatility are net-long volatility.\" Comppare Statement 1 anStatement 2 anintify whibest explains the view of a speculative volatility trar anwhibest explains the view of a heer of volatility. Justify your response. Statements 1 an2 compare fferences between speculative volatility trars anheers of volatility. Statement 1 best explains the view of a speculative volatility trar. Speculative volatility trars often want to net-short volatility, if they believe thmarket contions will remains stable. The reason for this is thmost options expire out-of-the money, anthe option writer cthen keep the option premium a payment earnefor accepting volatility risk. (Speculative volatility trars woulwant to long volatility if they thought volatility wlikely to increase.) Statement 2 best scribes the view of a heer of volatility. Most heers are net-long volatility sinthey want to buy protection from unanticipateprivolatility. Buying currenrisk protection generally means a long option position. This cthought of paying insuranpremium for protection against exchange rate volatility.中文解析陈述1和陈述2比较投机性波动率交易者和波动率套期保值者之间的差异。表述一最好地了投机性波动交易者的观点。投机性波动交易者通常希望净做空波动，如果他们相信市场状况将保持稳定。这样做的原因是，大多数期权在到期时仍然是OTM状态，期权卖方可以将期权费作为接受波动性风险的报酬。表述二最好地描述了波动性对冲者的观点。大多数对冲者都是净多头波动，因为他们想从意料之外的价格波动中购买保护。购买保护通常意味着做多期权头寸。这可以被认为是为防止汇率波动而支付的保险费。 请问老师，statement 2用net long是因为本题用的是volatility option吗？volatility trang有三种工具可用，futures、option和SWAP。基于statement 2的unanticipatevolatility观点如果用futures是采用long/short且volatility中性吗？如果用option就是net long，因为long option可以不行权，但保留了short option的风险敞口 ；如果有swap，是用long varianswap吗？因为long varianswap=long gamma。

NO.PZ201601050100000107 问题如下 Guptainterviews a currenoverlmanager on behalf of Portfolio The foreigncurrenoverlmanager scribes volatility-basetrang, comparesvolatility-basetrang strategies anexplains how the firm uses currencyoptions to establish positions in the foreign exchange market. The overlaymanager states:Statement 1 \"Given the currentstability in financimarkets, severtrars our firm take aantage ofthe fathmost options expire out-of-the money antherefore are net-shortvolatility.\"Statement 2 \"Trars thwant tominimize the impaof unanticipateprivolatility are net-long volatility.\" Comppare Statement 1 anStatement 2 anintify whibest explains the view of a speculative volatility trar anwhibest explains the view of a heer of volatility. Justify your response. Statements 1 an2 compare fferences between speculative volatility trars anheers of volatility. Statement 1 best explains the view of a speculative volatility trar. Speculative volatility trars often want to net-short volatility, if they believe thmarket contions will remains stable. The reason for this is thmost options expire out-of-the money, anthe option writer cthen keep the option premium a payment earnefor accepting volatility risk. (Speculative volatility trars woulwant to long volatility if they thought volatility wlikely to increase.) Statement 2 best scribes the view of a heer of volatility. Most heers are net-long volatility sinthey want to buy protection from unanticipateprivolatility. Buying currenrisk protection generally means a long option position. This cthought of paying insuranpremium for protection against exchange rate volatility.中文解析陈述1和陈述2比较投机性波动率交易者和波动率套期保值者之间的差异。表述一最好地了投机性波动交易者的观点。投机性波动交易者通常希望净做空波动，如果他们相信市场状况将保持稳定。这样做的原因是，大多数期权在到期时仍然是OTM状态，期权卖方可以将期权费作为接受波动性风险的报酬。表述二最好地描述了波动性对冲者的观点。大多数对冲者都是净多头波动，因为他们想从意料之外的价格波动中购买保护。购买保护通常意味着做多期权头寸。这可以被认为是为防止汇率波动而支付的保险费。 Trars thwant to minimize the impaof unanticipateprivolatility are net-long volatility.这个最小化波动率的影响不应该是short v吗？

Gupta interviews a currenoverlmanager on behalf of Portfolio The foreign currenoverlmanager scribes volatility-basetrang, compares volatility-basetrang strategies anexplains how the firm uses currenoptions to establish positions in the foreign exchange market. The overlmanager states: Statement 1 \"Given the current stability in financimarkets, severtrars our firm take aantage of the fathmost options expire out-of-the money antherefore are net-short volatility.\" Statement 2 \"Trars thwant to minimize the impaof unanticipateprivolatility are net-long volatility.\" 7. Comppare Statement 1 anStatement 2 anintify whibest explains the view of a speculative volatility trar anwhibest explains the view of a heer of volatility. Justify your response. Statements 1 an2 compare fferences between speculative volatility trars anheers of volatility. Statement 1 best explains the view of a speculative volatility trar. Speculative volatility trars often want to net-short volatility, if they believe thmarket contions will remains stable. The reason for this is thmost options expire out-of-the money, anthe option writer cthen keep the option premium a payment earnefor accepting volatility risk. (Speculative volatility trars woulwant to long volatility if they thought volatility wlikely to increase.) Statement 2 best scribes the view of a heer of volatility. Most heers are net-long volatility sinthey want to buy protection from unanticipateprivolatility. Buying currenrisk protection generally means a long option position. This cthought of paying insuranpremium for protection against exchange rate volatility. 老师你好，何老师在讲解时提到目前市场都是otm的option，所以波动不大，不太理解这个逻辑，为什么expire out of the money就是波动不大呢