开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

pseudonym · 2024年01月02日

cross asset volatility trading是互换两个国家的波动率吗?

NO.PZ2023010407000016

问题如下:

Mukilteo also plans to recommend a specialist hedge fund strategy that would allow PWPF to maintain a high Sharpe ratio even during a financial crisis when equity markets fall.

The specialist hedge fund strategy that Mukilteo plans to recommend is most likely:

选项:

A.

cross-asset volatility trading between the US and Japanese markets.

B.

selling equity volatility and collecting the volatility risk premium.

C.

buying longer-dated out-of-the-money options on VIX index futures.

解释:

C is correct. Mukilteo needs to recommend a specialist hedge fund strategy that can help PWPF maintain a high Sharpe ratio even in a crisis when equity markets fall. Buying longer-dated out-of-the-money options on VIX index futures is a long equity volatility position that works as a protective hedge, particularly in an equity market crisis when volatility spikes and equity prices fall. A long volatility strategy is a useful potential diversifier for long equity investments (albeit at the cost of the option premium paid by the volatility buyer). Because equity volatility is approximately 80% negatively correlated with equity market returns, a long position in equity volatility can substantially reduce the portfolio’s standard deviation, which would serve to increase its Sharpe ratio. Longer-dated options will have more absolute exposure to volatility levels (i.e., vega exposure) than shorter-dated options, and out-of-the-money options will typically trade at higher implied volatility levels than at-the-money options.

A is incorrect because cross-asset volatility trading, a type of relative value volatility trading, may often involve idiosyncratic, macro-oriented risks that may have adverse effects during an equity market crisis.

B is incorrect because the volatility seller is the provider of insurance during crises, not the beneficiary of it. Selling volatility provides a volatility risk premium or compensation for taking on the risk of providing insurance against crises for holders of equities and other securities. On the short side, option premium sellers generally extract steadier returns in normal market environments.

如题,cross asset volatility trading是互换两个国家的波动率吗?

1 个答案

伯恩_品职助教 · 2024年01月02日

嗨,爱思考的PZer你好:


是的

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 380

    浏览
相关问题

NO.PZ2023010407000016 问题如下 Mukilteo also plans to recommena specialist hee funstrategythwoulallow PWPF to maintain a high Sharpe ratio even ring a financialcrisis when equity markets fall. The specialisthee funstrategy thMukilteo plans to recommenis most likely: A.cross-asset volatility trang between the US anapanese markets. B.selling equity volatility ancollecting thevolatility risk premium. C.buying longer-teout-of-the-money options on VIXinx futures. C is correct.Mukilteo nee to recommena specialist hee funstrategy thchelp PWPFmaintain a high Sharpe ratio even in a crisis when equity markets fall. Buyinglonger-teout-of-the-money options on VIX inx futures is a long equityvolatility position thworks a protective hee, particularly in equitymarket crisis when volatility spikes anequity prices fall. A long volatilitystrategy is a useful potentiversifier for long equity investments (albeitthe cost of the option premium paithe volatility buyer). Because equityvolatility is approximately 80% negatively correlatewith equity market returns,a long position in equity volatility csubstantially rethe portfolio’sstanrviation, whiwoulserve to increase its Sharpe ratio.Longer-teoptions will have more absolute exposure to volatility levels(i.e., vega exposure) thshorter-teoptions, anout-of-the-money optionswill typically tra higher implievolatility levels that-the-moneyoptions.A is incorrectbecause cross-asset volatility trang, a type of relative value volatilitytrang, moften involve iosyncratimacro-orienterisks thmhaveaerse effects ring equity market crisis.B is incorrectbecause the volatility seller is the provir of insuranring crises, notthe beneficiary of it. Selling volatility provis a volatility risk premium orcompensation for taking on the risk of proving insuranagainst crises forholrs of equities another securities. On the short si, option premiumsellers generally extrasteaer returns in normmarket environments. 的解析中提到 out-of-the-money options will typically tra higher implievolatility levels that-the-money options.请教一下老师这句话如何理解?

2024-08-06 12:58 1 · 回答

NO.PZ2023010407000016问题如下 Mukilteo also plans to recommena specialist hee funstrategythwoulallow PWPF to maintain a high Sharpe ratio even ring a financialcrisis when equity markets fall. The specialisthee funstrategy thMukilteo plans to recommenis most likely: A.cross-asset volatility trang between the US anapanese markets.B.selling equity volatility ancollecting thevolatility risk premium.C.buying longer-teout-of-the-money options on VIXinx futures. C is correct.Mukilteo nee to recommena specialist hee funstrategy thchelp PWPFmaintain a high Sharpe ratio even in a crisis when equity markets fall. Buyinglonger-teout-of-the-money options on VIX inx futures is a long equityvolatility position thworks a protective hee, particularly in equitymarket crisis when volatility spikes anequity prices fall. A long volatilitystrategy is a useful potentiversifier for long equity investments (albeitthe cost of the option premium paithe volatility buyer). Because equityvolatility is approximately 80% negatively correlatewith equity market returns,a long position in equity volatility csubstantially rethe portfolio’sstanrviation, whiwoulserve to increase its Sharpe ratio.Longer-teoptions will have more absolute exposure to volatility levels(i.e., vega exposure) thshorter-teoptions, anout-of-the-money optionswill typically tra higher implievolatility levels that-the-moneyoptions.A is incorrectbecause cross-asset volatility trang, a type of relative value volatilitytrang, moften involve iosyncratimacro-orienterisks thmhaveaerse effects ring equity market crisis.B is incorrectbecause the volatility seller is the provir of insuranring crises, notthe beneficiary of it. Selling volatility provis a volatility risk premium orcompensation for taking on the risk of proving insuranagainst crises forholrs of equities another securities. On the short si, option premiumsellers generally extrasteaer returns in normmarket environments. 能否详细一下C正确的原因,是因为有权益收益率和波动性负相关这个结论吗?

2024-01-16 18:07 3 · 回答