CB Arbitrage

NO.PZ2022062601000025问题如下 Investor John evaluatethe U-fun whiis a convertible bonstrategy. In orr to gain a more accurate unrstanng of funinvestment styles, John stuevarious trang examples useU funmanagers to generate alphExhibit 1 provis ta on recent transactions in whimanagers have been involve Exhibit 1 U-FunConvertible BonArbitrage PositionBaseon the ta in Exhibit 1, whstrategy is the most likely to implementethe portfolio manager of FunU? A.Taking aantage of option mispricingB.Profiting from extreme market volatilityC.Going long a put on the equity net of heing A is correct. In orr to obtain anextrarelatively cheembeeoptions in convertible securities, the manager heeother risks embeein convertible securities. These risks inclu interest rate risk, cret risk, anmarket risk. These risks cheethrough a combination of interest rate rivatives, cret fault swaps, anshort selling the appropriate lta austeamount of the unrlying stock, or purchasing put options.B is incorrebecause convertible arbitrage strategies perform best in morate volatility. Heightenevolatility woulsuggest a perioof illiquity anwining cret sprea.C is incorrebecause purchasing convertible bon anlta heing positions not equate to long put positions.知识点考察Convertible BonArbitrage。首先看到表格中红框的这几项，联想到Convertible BonArbitrage，long short stock，同时使用杠杆。然后表格中剩下的没有红框的内容是是针对convertible arbitrage strategy中的convertible security的interest rate risk, cret risk of the corporate issuer, anmarketrisk进行对冲，相应的对冲工具也是表格中的内容interest rate rivatives, cret fault swaps, anshort sales ofappropriate lta-austeamount of the unrlying stoor, alternatively,the purchase of put options。 所以判断是Convertible BonArbitrage。然后这个策略实际就是利用Convertible Bon于新发行时交易量小，债券的复杂性导致其内嵌的option波动低，因此其交易价格低于其自身价值，也就是被低估，所以做多Convertible Bon这正是A的Taking aantage of option mispricing。所以选择想问下convertiable bonarbitrary的本质是long bon short stock. 也可以是long call short stock, 然后 long put 可以看作是short sto的替代，所以是不是如果C答案是long bonlong put 就是对的呢，谢谢。

NO.PZ2022062601000025 问题如下 Investor John evaluatethe U-fun whiis a convertible bonstrategy. In orr to gain a more accurate unrstanng of funinvestment styles, John stuevarious trang examples useU funmanagers to generate alphExhibit 1 provis ta on recent transactions in whimanagers have been involve Exhibit 1 U-FunConvertible BonArbitrage PositionBaseon the ta in Exhibit 1, whstrategy is the most likely to implementethe portfolio manager of FunU? A.Taking aantage of option mispricing B.Profiting from extreme market volatility C.Going long a put on the equity net of heing A is correct. In orr to obtain anextrarelatively cheembeeoptions in convertible securities, the manager heeother risks embeein convertible securities. These risks inclu interest rate risk, cret risk, anmarket risk. These risks cheethrough a combination of interest rate rivatives, cret fault swaps, anshort selling the appropriate lta austeamount of the unrlying stock, or purchasing put options.B is incorrebecause convertible arbitrage strategies perform best in morate volatility. Heightenevolatility woulsuggest a perioof illiquity anwining cret sprea.C is incorrebecause purchasing convertible bon anlta heing positions not equate to long put positions.知识点考察Convertible BonArbitrage。首先看到表格中红框的这几项，联想到Convertible BonArbitrage，long short stock，同时使用杠杆。然后表格中剩下的没有红框的内容是是针对convertible arbitrage strategy中的convertible security的interest rate risk, cret risk of the corporate issuer, anmarketrisk进行对冲，相应的对冲工具也是表格中的内容interest rate rivatives, cret fault swaps, anshort sales ofappropriate lta-austeamount of the unrlying stoor, alternatively,the purchase of put options。 所以判断是Convertible BonArbitrage。然后这个策略实际就是利用Convertible Bon于新发行时交易量小，债券的复杂性导致其内嵌的option波动低，因此其交易价格低于其自身价值，也就是被低估，所以做多Convertible Bon这正是A的Taking aantage of option mispricing。所以选择

NO.PZ2022062601000025 问题如下 Investor John evaluatethe U-fun whiis a convertible bonstrategy. In orr to gain a more accurate unrstanng of funinvestment styles, John stuevarious trang examples useU funmanagers to generate alphExhibit 1 provis ta on recent transactions in whimanagers have been involve Exhibit 1 U-FunConvertible BonArbitrage PositionBaseon the ta in Exhibit 1, whstrategy is the most likely to implementethe portfolio manager of FunU? A.Taking aantage of option mispricing B.Profiting from extreme market volatility C.Going long a put on the equity net of heing A is correct. In orr to obtain anextrarelatively cheembeeoptions in convertible securities, the manager heeother risks embeein convertible securities. These risks inclu interest rate risk, cret risk, anmarket risk. These risks cheethrough a combination of interest rate rivatives, cret fault swaps, anshort selling the appropriate lta austeamount of the unrlying stock, or purchasing put options.B is incorrebecause convertible arbitrage strategies perform best in morate volatility. Heightenevolatility woulsuggest a perioof illiquity anwining cret sprea.C is incorrebecause purchasing convertible bon anlta heing positions not equate to long put positions.知识点考察Convertible BonArbitrage。首先看到表格中红框的这几项，联想到Convertible BonArbitrage，long short stock，同时使用杠杆。然后表格中剩下的没有红框的内容是是针对convertible arbitrage strategy中的convertible security的interest rate risk, cret risk of the corporate issuer, anmarketrisk进行对冲，相应的对冲工具也是表格中的内容interest rate rivatives, cret fault swaps, anshort sales ofappropriate lta-austeamount of the unrlying stoor, alternatively,the purchase of put options。 所以判断是Convertible BonArbitrage。然后这个策略实际就是利用Convertible Bon于新发行时交易量小，债券的复杂性导致其内嵌的option波动低，因此其交易价格低于其自身价值，也就是被低估，所以做多Convertible Bon这正是A的Taking aantage of option mispricing。所以选择 如果是一般的Convertible BonArbitrage的头寸，long 可转债+short stock，在这种情况下，【 Heightenevolatility woulsuggest a perioof illiquity anwining cret sprea】，但是在这个case里面，组合还另外long C 和long put，一方面把cret risk hee掉了，另一方面，还相当于另外做多了波动率，所以Profiting from extreme market volatility想请教一下老师，这个理解的问题在哪里？谢谢老师

NO.PZ2022062601000025 问题如下 Investor John evaluatethe U-fun whiis a convertible bonstrategy. In orr to gain a more accurate unrstanng of funinvestment styles, John stuevarious trang examples useU funmanagers to generate alphExhibit 1 provis ta on recent transactions in whimanagers have been involve Exhibit 1 U-FunConvertible BonArbitrage PositionBaseon the ta in Exhibit 1, whstrategy is the most likely to implementethe portfolio manager of FunU? A.Taking aantage of option mispricing B.Profiting from extreme market volatility C.Going long a put on the equity net of heing A is correct. In orr to obtain anextrarelatively cheembeeoptions in convertible securities, the manager heeother risks embeein convertible securities. These risks inclu interest rate risk, cret risk, anmarket risk. These risks cheethrough a combination of interest rate rivatives, cret fault swaps, anshort selling the appropriate lta austeamount of the unrlying stock, or purchasing put options.B is incorrebecause convertible arbitrage strategies perform best in morate volatility. Heightenevolatility woulsuggest a perioof illiquity anwining cret sprea.C is incorrebecause purchasing convertible bon anlta heing positions not equate to long put positions.知识点考察Convertible BonArbitrage。首先看到表格中红框的这几项，联想到Convertible BonArbitrage，long short stock，同时使用杠杆。然后表格中剩下的没有红框的内容是是针对convertible arbitrage strategy中的convertible security的interest rate risk, cret risk of the corporate issuer, anmarketrisk进行对冲，相应的对冲工具也是表格中的内容interest rate rivatives, cret fault swaps, anshort sales ofappropriate lta-austeamount of the unrlying stoor, alternatively,the purchase of put options。 所以判断是Convertible BonArbitrage。然后这个策略实际就是利用Convertible Bon于新发行时交易量小，债券的复杂性导致其内嵌的option波动低，因此其交易价格低于其自身价值，也就是被低估，所以做多Convertible Bon这正是A的Taking aantage of option mispricing。所以选择 在本题中，net neutral是否是通过 long convertible bon00%+short stock100%再加上long put option（100%）这么抵扣实现的？

NO.PZ2022062601000025 问题如下 Investor John evaluatethe U-fun whiis a convertible bonstrategy. In orr to gain a more accurate unrstanng of funinvestment styles, John stuevarious trang examples useU funmanagers to generate alphExhibit 1 provis ta on recent transactions in whimanagers have been involve Exhibit 1 U-FunConvertible BonArbitrage PositionBaseon the ta in Exhibit 1, whstrategy is the most likely to implementethe portfolio manager of FunU? A.Taking aantage of option mispricing B.Profiting from extreme market volatility C.Going long a put on the equity net of heing A is correct. In orr to obtain anextrarelatively cheembeeoptions in convertible securities, the manager heeother risks embeein convertible securities. These risks inclu interest rate risk, cret risk, anmarket risk. These risks cheethrough a combination of interest rate rivatives, cret fault swaps, anshort selling the appropriate lta austeamount of the unrlying stock, or purchasing put options.B is incorrebecause convertible arbitrage strategies perform best in morate volatility. Heightenevolatility woulsuggest a perioof illiquity anwining cret sprea.C is incorrebecause purchasing convertible bon anlta heing positions not equate to long put positions.知识点考察Convertible BonArbitrage。首先看到表格中红框的这几项，联想到Convertible BonArbitrage，long short stock，同时使用杠杆。然后表格中剩下的没有红框的内容是是针对convertible arbitrage strategy中的convertible security的interest rate risk, cret risk of the corporate issuer, anmarketrisk进行对冲，相应的对冲工具也是表格中的内容interest rate rivatives, cret fault swaps, anshort sales ofappropriate lta-austeamount of the unrlying stoor, alternatively,the purchase of put options。 所以判断是Convertible BonArbitrage。然后这个策略实际就是利用Convertible Bon于新发行时交易量小，债券的复杂性导致其内嵌的option波动低，因此其交易价格低于其自身价值，也就是被低估，所以做多Convertible Bon这正是A的Taking aantage of option mispricing。所以选择 问题一因为题干已经说了是convertible bonstrategy，所以就直接选a呢？表格信息反而算是有些干扰了？问题二表格中put option on stock的rational中“only in plaof lta hee”是什么意思？