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鹏鹏 · 2023年11月29日

题意理解

  1. CFA III
  2. Derivative

NO.PZ2018113001000066

问题如下：

Which of the following statements about speculative volatility traders and hedgers of volatility is most incorrect?

选项：

A.

If speculative volatility traders believe that market conditions will remains stable, they often want to be net-short volatility.

B.

Most hedgers are net-long volatility position, because they want to buy protection from unanticipated price volatility.

C.

There is no differences between speculative volatility traders and hedgers of volatility. because they're all trading on volatility.

解释：

C is correct

中文解析：

投机性波动交易者通常希望净做空波动，如果他们相信市场状况将保持稳定。这样做的原因是，大多数期权在到期时仍然是OTM状态，期权卖方可以将期权费作为接受波动性风险的报酬。

大多数对冲者都是净多头波动，因为他们想从意料之外的价格波动中购买保护。购买保护通常意味着做多期权头寸。这可以被认为是为防止汇率波动而支付的保险费。

老师 这个跟我理解的不太一样，投机者不是一般都需要市场的波动低买高卖赚价差来获得投机的收益么？所以我之前理解的是投机者应该是希望市场有波动的，而不是稳定的。稳定的市场投机者如何投机呢？同样的，对冲者更多的是的想要对冲风险，应该是希望市场稳定吧，这样更适合Hedge

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1 个答案

pzqa31 · 2023年11月30日

嗨，努力学习的PZer你好：


不是的，在实务中有这样一个结论：对冲者大多净多头头寸，投机者大多净空头头寸。因为大多数投资者使用衍生品还是出于风险管理的目的，所以会主动作为long方去hedge风险，投机者就更多的作为对手方也就是short一方。咱们在衍生品一级就学过，short相对long来讲其实风险更大，因为损失无限，所以作为净空头方更希望的是期权不要行权，可以稳赚期权费。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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