NO.PZ202208100100000303
问题如下：
Which trade is Tryon most likely to implement to establish his equity market hedge?
选项：
A.Trade 1
Trade 2
Trade 3
解释：
Solution
C is correct. Variance swaps have a valuable convexity feature—as realized volatility increases (decreases), the positive (negative) swap payoffs increase (decrease)—which makes them particularly attractive for hedging long equity portfolios. Because the volatility curve is in contango—that is, higher volatility is priced into the curve—Trade 1 is likely to experience roll-down losses as the futures price converges or is “pulled down” to the spot price. Trade 2 would benefit from a decrease rather than an increase in volatility; an alternative trade in the options space would be to buy call options to hedge the portfolio.
A is incorrect. Trade 1 is likely to experience roll-down losses as the futures price converges or is “pulled down” to the spot price.
B is incorrect. VIX put options would be bought to profit from an expectation that volatility will decrease because of stable equity market conditions.
中文解析：
本题考察的是VIX futures，VIX options和variance swap。
A选项，题干中说到VIX futures curve是contango的，即远月的合约价格是高于近月合约的，因此如果像trade 1中描述的买远月的合约，随着到期日的临近，合约价格下跌，会有损失，所以该交易不合适。
B选项，也是因为VIX futures curve是contango的，即意味着将来波动率是预测上升的，因此也应该long VIX call options,而不应该是sell VIX put
option，B不对。
C选项，long variance swap，即看涨波动率是合适的。关于vega
notional的金额，因为vega notional表示的含义为：The vega notional represents the average profit and loss of the
variance swap for a 1% change in volatility from the strike，即是一个平均收益或者损失的概念，所以trade 3中后半段的表述也是没有问题的。
1）如果认为VIX的形状是contango，是不是说明近期波动会低于远期波动？
2）如果远期波动比较高，获利方式难道不是去购买远期(back-end month)的VIX futures来对冲远期波动风险吗？
