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mino酱是个小破货 · 2023年10月28日

追加提问A/B哪个更合适,选B吗?因为delta更大,如果不考虑成本,谢谢

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NO.PZ202208100100000504

问题如下:

In regard to using USD/EUR options, Peixaria is least likely to recommend a strategy to go:

选项:

A.

long an equal number of 25-delta puts and calls.

B.

long an equal number of 50-delta puts and calls.

C.

short an equal number of 15-delta puts and calls.

解释:

Solution

C is correct. A short strangle (short an equal number of 15-delta calls and puts) would only be appropriate if volatility is expected to be low. The expectation is for increased volatility, so the long strangles would be more appropriate. A strategy of taking long positions on an equal number of 50-delta calls and 50-delta puts (i.e., a 50-delta straddle) is an appropriate way to take advantage of expected increased volatility in the USD/EUR currency pair. However, 50-delta calls and puts are at-the-money options and are more expensive than out-of-the-money options, such as 25-delta calls and puts (a 25-delta strangle).

A is incorrect. A long 25-delta strangle is appropriate if you expected increased volatility. This strategy is a cheaper than the 50-delta strangle because 50-delta calls and puts are at-the-money options and are more expensive than out-of-the-money options such as 25-delta calls and puts (a 25-delta strangle).

B is incorrect. A long 50-delta strangle (long 50-delta calls and puts) would be appropriate if you expected high volatility.

中文解析:

由于预测波动率增加,所以应该做多波动率,A选项是构建了一个long strangle策略;B选项是构建了一个long straddle策略,都是做多波动率的策略,因此是可以的。

C选项是构建了一个short strangle的策略,是做空波动率,不对。

如上,麻烦请一个水平高的辅导员回复,至少能详细解释,谢谢

1 个答案

pzqa38 · 2023年10月30日

嗨,爱思考的PZer你好:


同学您好,首先要表扬一下同学举一反三的思考方式。

接下来我们说这道题目,您理解的很对,delta越大,对冲的效果越好,自然成本会高。如果不考虑成本,论最佳效果就是选B。

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