能否解释下这一大题的2和3两小题？看不太懂解析，尤其是2，看解析应该选C
pzqa27 · 2023年08月28日
嗨，努力学习的PZer你好：
第二题问我们Uder这个人对股票的评论对不对，这个人说了
Uder comments: I have determined that the volatility of the New Optics stock price in the 3 months prior to the options expiry was 23%, which would have been important information for options dealers two weeks before expiry, as it provided information regarding the perceived uncertainty going forward. The BSM options pricing model could have also been used to obtain information regarding future volatility."
我们知道这23%是历史波动率，它不代表未来，而BSM测算出来的是隐含波动率，可以代表对未来的预期
所以B不对，C是对的，解析中C. Incorrect. Historical volatility is realized volatility and not used in options pricing to determine future, or implied, volatility. Implied volatility is the perceived uncertainty going forward and not the same as historical volatility.这句话话的C. Incorrect. 是解析写错了。
第三题题目出错了，第三题说The Greek letters representing the greatest risks to the two groups of market participants cited by Uder are most likely:，实际上U这个人压根没提过希腊字母的事，关于希腊字母的评论是Edel说的
Edel explains: "Option prices are also sensitive to a variety of factors derived from option valuation models. These factors are also referred to as the "Greeks", otherwise known as delta, gamma, theta, vega and rho, which are risk measures representing an option price's sensitivity to a particular factor. The same measure can simultaneously represent different types of risks to different market participants, such as options dealers and speculators."
这里的2种人是dealer和speculator
题目在之前的原文中说了
Each call option is a right to buy 100 shares of stock. Unlike in equities markets where there is a seller for every buyer, option contracts can be created by options dealers selling directly to speculators. They are able to do so by simultaneously delta hedging their own positions. The prices of the stock and option prices for New Optics Technology during the two weeks are shown in Exhibit 1.”
也就是说这俩类人可以自由地做delta hedge，那么既然可以对冲掉delta,就可以排除掉A和B，这个题选C
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