纯属纠正，A项部分，是降低implied volatility，才选的，正文中说法正确

NO.PZ202208100100000204 问题如下 In her response to Calza, fu is most likely correabout: A.writing a strale. B.a short risk reverstra. C.buying calls anwriting puts. A is correct. fu is correabout writing a strale if theoutlook is for the market to tra in a narrow range ana crease in implieolatility is expecteB is incorrect. fu is incorreabout the short risk reversstrategy. This strategy woulimplementeto benefit from implievolatility skew. Specifically, one woulenter this tra if call implievolatility is viewebeing too high relative to put implievolatility––this, one woulsell the OTM call option anbuy the OTM put option.C is incorrect. fu is incorreabout buying calls anwriting puts. The strategy of buying call options on inx anwriting put options on the inx is incorreanwoulimplementeinvestor who ha bullish view of the market anexpectation thimplievolatility will remain unchange The sale of puts is useto lower the cost of purchasing the calls.中文解析本题考察的是针对volatility的策略。题干说Calza就短期内市场可能窄幅交投的期权策略征求建议。fu回答说:“在这种情况下，合适的策略取决于你对隐含波动率变化的预期。A正确，如果预期市场隐含波动率下降，就可以write a strale，该策略是正确的。Strale策略是在赌波动率，如果预测波动率下降可以采取Short strale或者write strale策略。B错误，short risk revers= long put + short call，该策略在call option的隐含波动率相比于put option的隐含波动率被高估时，可以采用。卖出被高估的call，买进相对被低估的put，但该策略不是针对隐含波动率的策略。C错误，买入call option，然后short put option，是对市场看涨的策略，并不是针对隐含波动率的策略。 请问老师，这题的解析里，为什么说risk revers策略不是针对隐含波动率的策略？long risk reversal=long call+short put， 在隐含波动率不高，期权行权概率小时，稳定的赚取两边的期权费。short risk reversal如果不是针对银行波动率的策略，请问是什么策略呢？

NO.PZ202208100100000204 问题如下 In her response to Calza, fu is most likely correabout: A.writing a strale. B.a short risk reverstra. C.buying calls anwriting puts. A is correct. fu is correabout writing a strale if theoutlook is for the market to tra in a narrow range ana crease in implieolatility is expecteB is incorrect. fu is incorreabout the short risk reversstrategy. This strategy woulimplementeto benefit from implievolatility skew. Specifically, one woulenter this tra if call implievolatility is viewebeing too high relative to put implievolatility––this, one woulsell the OTM call option anbuy the OTM put option.C is incorrect. fu is incorreabout buying calls anwriting puts. The strategy of buying call options on inx anwriting put options on the inx is incorreanwoulimplementeinvestor who ha bullish view of the market anexpectation thimplievolatility will remain unchange The sale of puts is useto lower the cost of purchasing the calls.中文解析本题考察的是针对volatility的策略。题干说Calza就短期内市场可能窄幅交投的期权策略征求建议。fu回答说:“在这种情况下，合适的策略取决于你对隐含波动率变化的预期。A正确，如果预期市场隐含波动率下降，就可以write a strale，该策略是正确的。Strale策略是在赌波动率，如果预测波动率下降可以采取Short strale或者write strale策略。B错误，short risk revers= long put + short call，该策略在call option的隐含波动率相比于put option的隐含波动率被高估时，可以采用。卖出被高估的call，买进相对被低估的put，但该策略不是针对隐含波动率的策略。C错误，买入call option，然后short put option，是对市场看涨的策略，并不是针对隐含波动率的策略。 short strale 是个倒“V”，可获利的区间只有中间部分，很少，但两侧基本是unlimiteloss, 如果只是预期波动率下降，出于获利目的，就采用short strale ，感觉风险实在太大了，short strale 一般用在什么情形呢？

NO.PZ202208100100000204 问题如下 In her response to Calza, fu is most likely correabout: A.writing a strale. B.a short risk reverstra. C.buying calls anwriting puts. A is correct. fu is correabout writing a strale if the outlook is for the market to tra in a narrow range anincrease in implievolatility is expecte The strategy of buying call options on inx anwriting put options on the inx is incorrect; sua strategy woulimplementeinvestor who ha bullish view of the market anexpectation thimplievolatility will remain unchange The sale of puts is useto lower the cost of purchasing the calls. fu is incorreabout the short risk reversstrategy. This strategy woulimplementeto benefit from implievolatility skew. Specifically, one woulenter this tra if call-implievolatility is viewebeing too high relative to put implievolatility––this, one woulsell the OTM call option anbuy the OTM put option.B is incorrect. fu is incorreabout the short risk reversstrategy. This strategy woulimplementeto benefit from implievolatility skew. Specifically, one woulenter this tra if call implievolatility is viewebeing too high relative to put implievolatility––this, one woulsell the OTM call option anbuy the OTM put option.C is incorrect. fu is incorreabout buying calls anwriting puts. The strategy of buying call options on inx anwriting put options on the inx is incorreanwoulimplementeinvestor who ha bullish view of the market anexpectation thimplievolatility will remain unchange The sale of puts is useto lower the cost of purchasing the calls.中文解析本题考察的是针对volatility的策略。题干说Calza就短期内市场可能窄幅交投的期权策略征求建议。fu回答说:“在这种情况下，合适的策略取决于你对隐含波动率变化的预期。A正确，如果预期市场隐含波动率下降，就可以write a strale，该策略是正确的。Strale策略是在赌波动率，如果预测波动率下降可以采取Short strale或者write strale策略。B错误，short risk revers= long put + short call，该策略在call option的隐含波动率相比于put option的隐含波动率被高估时，可以采用。卖出被高估的call，买进相对被低估的put，但该策略不是针对隐含波动率的策略。C错误，买入call option，然后short put option，是对市场看涨的策略，并不是针对隐含波动率的策略。 上个case的题 我理解错了

NO.PZ202208100100000204 问题如下 In her response to Calza, fu is most likely correabout: A.writing a strale. B.a short risk reverstra. C.buying calls anwriting puts. A is correct. fu is correabout writing a strale if the outlook is for the market to tra in a narrow range anincrease in implievolatility is expecte The strategy of buying call options on inx anwriting put options on the inx is incorrect; sua strategy woulimplementeinvestor who ha bullish view of the market anexpectation thimplievolatility will remain unchange The sale of puts is useto lower the cost of purchasing the calls. fu is incorreabout the short risk reversstrategy. This strategy woulimplementeto benefit from implievolatility skew. Specifically, one woulenter this tra if call-implievolatility is viewebeing too high relative to put implievolatility––this, one woulsell the OTM call option anbuy the OTM put option.B is incorrect. fu is incorreabout the short risk reversstrategy. This strategy woulimplementeto benefit from implievolatility skew. Specifically, one woulenter this tra if call implievolatility is viewebeing too high relative to put implievolatility––this, one woulsell the OTM call option anbuy the OTM put option.C is incorrect. fu is incorreabout buying calls anwriting puts. The strategy of buying call options on inx anwriting put options on the inx is incorreanwoulimplementeinvestor who ha bullish view of the market anexpectation thimplievolatility will remain unchange The sale of puts is useto lower the cost of purchasing the calls. 请问为什么C不正确？题目里说了“If your view is thimplievolatility will remain unchange，而且call的价格的确比put价格便宜，所以long call+short put没有错啊