NO.PZ201601050100001607
问题如下：
Based on Exhibit 3, which of the following NIFTY 50 Index option strategies
should Ngoc recommend to Ahlim?
选项：
A.Buy a straddle.
Buy a call option.
Buy a calendar spread.
解释：
A is correct.
The research report concludes that the consensus forecast of the
implied volatility of index options is too low and anticipates greater-than expected volatility over the next month. Given the neutral market direction
forecast, Ngoc should recommend a long straddle, which entails buying a one-month 11,600 call and buying a one-month put with the same exercise price. If
the future NIFTY 50 Index level rises above its current level plus the combined
cost of the call and put premiums, Ahlim would exercise the call option and
realize a profit. Similarly, if the index level falls below the current index level
minus the combined cost of the call and put premiums, Ahlim would exercise
the put option and realize a profit. Thus, Ahlim profits if the index moves either
up or down enough to pay for the call and put premiums.
B is incorrect because the strategy to buy a call option would be reasonable given an increase in expected implied volatility with a bullish NIFTY 50 Index forecast, not a neutral trading range.
C is incorrect because a long calendar spread is based on the expectation that implied volatility will remain unchanged, not increase, until the expiry of the shorter-term option.
中文解析：
研究报告的结论是，认为指数期权的隐含波动率过低，预计下个月的隐含波动率将高于预期波动率。
又因为对市场走势的预测是中性的，即没有具体的方向性预测，因此可以同时买入一个看涨期权和一个看跌期权。
如果将来指数大涨，则看涨期权获利；如果将来指数大跌则买入的看跌期权获利。而买入看涨期权同时买入看跌期权构成的策略是long straddle策略。A正确。
因为对市场走势的预测是中性的，不是看涨的，因此指买入看涨期权不合适，B错。
long calendar策略适合短期市场平稳，长期波动比较大的预测，本题不适合，C错。
implied volatility上升，应该是long calendar spread。为何不选C？
