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。
而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