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eva · 2024年04月25日

不明白A

NO.PZ2023091802000119

问题如下:

A fund manager is predicting a sharp fall in share prices in three months. Based on the judgement, he made the following statements:

Statement 1Considering the sharp rise in volatility, he should contract a short straddle strategy.

Statement 2To protect existing stock positions, he should construct the covered call strategy.

Statement 3Given the cost consideration, the OTM put option is appropriate to protect the stock position.

Which of the above statements is true?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

D.

None

解释:

Statement 1 is incorrect, because he should long straddle when market volatility increases.

Statement 2 is incorrect, to protect existing stock positions, he should long put option and contract a protective put strategy.

为什么不是short,它预测跌,不是short嗎?

1 个答案

李坏_品职助教 · 2024年04月25日

嗨,爱思考的PZer你好:


题目说的是预计会有 a sharp fall in share prices,也就是未来的波动率(volatility)会放大。在这种情况下,应该是long straddle才能赚钱(long straddle指的是同时做多一个call option并且做多一个put option,这样无论未来是暴涨还是暴跌,都可以赚钱)。


statement 1说的是a short straddle strategy,这个不是做空股票,这个意思是期权的short straddle组合,也就是同时卖出一份call option和put option,这样的策略是在股价没有暴涨暴跌(就是未来的波动率很低)的情况下才能赚钱,和题目说的“波动率放大”不符合。


你说的做空,指的是做空股票,那个叫short stock,但本题说的是short straddle,不是一个意思。

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