NO.PZ202208100100000202
问题如下：
In her statement, Minkoff is least likely correct with regard to:
选项：
A.implied volatility.
the direction and timing of a price move.
解释：
Solution
A is correct.
Minkoff is incorrect in stating that calendar spreads are appropriate only if the expectation is for an increase in implied volatility. A short calendar spread is appropriate if the expectation is for a decrease in implied volatility or a big move in share prices that is not imminent. If a long calendar spread is implemented, the expectation is for a stable market or an increase in implied volatility. Minkoff is correct that a calendar spread strategy is appropriate when there is an expectation for share prices to move in a certain direction but not immediately and that such a strategy focuses on capturing the time value of stock options.
B is incorrect. Minkoff is correct about the capture of the time value of the option.
C is incorrect. Minkoff is correct about the direction and timing of the price move.
中文解析：
本题考察的是calendar spread.
A选项，Minkoff关于隐含波动率的表述是：只有在预测隐含波动率会上升的时候，使用calendar spread策略才是合适的。
这是不正确的，预测隐含波动率会上升，意味着虽然现在市场平稳但将来波动率会比较大，因此可以使用long calendar spread；如果预测隐含波动率将会下跌，意味着现在的波动率水平较高，将来波动率会下降，因此可以采用short calendar spread。
B,C选项，Minkoff的表述是当人们预期股价会朝某个方向移动，但不是立即移动时，calendar spread是合适的。
这是正确的，calendar spread策略使用期限不同的两个期权来构建，可以捕捉股票期权的时间价值；并且由于calendar spread可以使用call option和put option分别来构建，因此该策略既可以捕捉到变动的时机又可以捕捉到价格变动的方向。（具体的构建参考上面R8-1.3题）
A short calendar spread is appropriate if the expectation is for a decrease in implied volatility or a big move in share prices that is not imminent.
答案解析里这句话解释short calendar，后半句"a big move in share prices that is not imminent."说反了吧？short calendar用于短期mplied volatility上升，长期mplied volatility下降吧？
