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WYP · 2024年06月27日

net short volability

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NO.PZ201601050100001301

问题如下:

Describe how a volatility- based strategy for Konev would most likely contrast with Murimi’s other institutional investors. Justify your response.

选项:

解释:

In currency markets, volatility is not constant, nor are its movements completely random. Instead, volatility is determined by a wide variety of underlying factors, both fundamental and technical, for which a trader can express an opinion. Movements in volatility are cyclical and typically subject to long periods of relative stability punctuated by sharp upward spikes in volatility as markets come under stress. Speculative volatility traders among overlay managers often want to be net short volatility because most options expire out of the money and the option writer then gets to keep the premium without delivery of the underlying currency pair. Ideally these traders would want to flip their position and be long volatility ahead of the volatility spikes, but these episodes can be notoriously difficult to time. Most hedgers, in contrast, typically run option positions that are net long volatility because they are buying protection from the unanticipated price volatility.

In this case, Konev would most likely be interested in speculative gains on US dollar weakness, while the other institutional clients would be hedgers seeking to minimize trading risks. The concept of foreign exchange as an asset class for Konev will most likely permit Murimi to take foreign exchange exposure in any currency pair where there is additional value to capture. A volatility-based strategy for Konev would typically be net short, as opposed to net long, volatility to earn the related risk premium for absorbing volatility risk. In contrast, the institutional investors, as hedgers in managing net long volatility positions, would be exposed to the time decay of an option’s time value.

中文解析:

在外汇市场,波动性不是恒定的,也不是完全随机的。相反,波动性是由多种潜在因素决定的,包括基本面因素和技术因素,交易员可以对此发表意见。波动性的波动是周期性的,通常会受到长期相对稳定的影响,而当市场面临压力时,波动性会急剧上升。

对冲基金经理中的投机性波动率交易员通常希望净做空波动率,因为大多数期权到期时可以处在OTM状态,不被行权,期权卖方就可以在不交付标的的情况下获得期权费。理想情况下,这些交易员会希望在波动峰值之前改变头寸,做多波动性,但如何确定这个波峰的时间是非常困难的。

相比之下,大多数对冲者通常持有净多头波动率的期权头寸,因为他们是在对无法预测的价格波动购买保护。

在这种情况下,Konev最有可能对美元走软带来的投机性收益感兴趣,而其他机构客户则是寻求将交易风险降至最低的对冲者。对于Konev来说,外汇作为一种资产类别的概念很可能会允许Murimi在任何有额外价值的货币组合中持有外汇敞口。Konev基于波动率的策略通常是净做空,而不是净做多,以赚取吸收波动率风险的相关风险溢价。相比之下,作为管理净多头波动头寸的对冲者,机构投资者将暴露于期权时间价值的时间衰减。

A volatility-based strategy for Konev would typically be net short, as opposed to net long, volatility to earn the related risk premium for absorbing volatility risk. 

请问答案里这句话怎么理解,是指short volatility 然后留下一些其他想要的risk premium吗? 这种net short volatility的方式为什么是题目中Konev会用的方法呢

1 个答案

pzqa31 · 2024年06月28日

嗨,爱思考的PZer你好:


这道题主要是想说对冲基金经理大多采用net short,而大多数对冲者会采用net long,这是实务中的一种现象。然后K这个人作为一个speculator最可能采用net short,也就是赌市场波动不大以赚取期权费,此时他需要承担的就是市场一但发生剧烈波动所带来的巨大亏损,也就是这里说的risk premium。题目中说到K是一个hedge fund manager,又说到他要realize speculative gains,都是在暗示他是会采用net short.

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NO.PZ201601050100001301问题如下 scrihow a volatility- basestrategy for Konev woulmost likely contrast with Murimi’s other institutioninvestors. Justify your response. In currenmarkets, volatility is not constant, nor are its movements completely ranm. Instea volatility is terminea wi variety of unrlying factors, both funmentantechnical, for whia trar cexpress opinion. Movements in volatility are cyclicantypically subjeto long perio of relative stability punctuatesharp upwarspikes in volatility markets come unr stress. Speculative volatility trars among overlmanagers often want to net short volatility because most options expire out of the money anthe option writer then gets to keep the premium without livery of the unrlying currenpair. Ially these trars woulwant to flip their position anlong volatility aheof the volatility spikes, but these episos cnotoriously fficult to time. Most heers, in contrast, typically run option positions thare net long volatility because they are buying protection from the unanticipateprivolatility.In this case, Konev woulmost likely interestein speculative gains on US llweakness, while the other institutionclients woulheers seeking to minimize trang risks. The concept of foreign exchange asset class for Konev will most likely permit Murimi to take foreign exchange exposure in any currenpair where there is aitionvalue to capture. A volatility-basestrategy for Konev woultypically net short, opposeto net long, volatility to earn the relaterisk premium for absorbing volatility risk. In contrast, the institutioninvestors, heers in managing net long volatility positions, woulexposeto the time cof option’s time value.中文解析在外汇市场,波动性不是恒定的,也不是完全随机的。相反,波动性是由多种潜在因素决定的,包括基本面因素和技术因素,交易员可以对此发表意见。波动性的波动是周期性的,通常会受到长期相对稳定的影响,而当市场面临压力时,波动性会急剧上升。对冲基金经理中的投机性波动率交易员通常希望净做空波动率,因为大多数期权到期时可以处在OTM状态,不被行权,期权卖方就可以在不交付标的的情况下获得期权费。理想情况下,这些交易员会希望在波动峰值之前改变头寸,做多波动性,但如何确定这个波峰的时间是非常困难的。相比之下,大多数对冲者通常持有净多头波动率的期权头寸,因为他们是在对无法预测的价格波动购买保护。在这种情况下,Konev最有可能对美元走软带来的投机性收益感兴趣,而其他机构客户则是寻求将交易风险降至最低的对冲者。对于Konev来说,外汇作为一种资产类别的概念很可能会允许Murimi在任何有额外价值的货币组合中持有外汇敞口。Konev基于波动率的策略通常是净做空,而不是净做多,以赚取吸收波动率风险的相关风险溢价。相比之下,作为管理净多头波动头寸的对冲者,机构投资者将暴露于期权时间价值的时间衰减。 这题的考点是什么,题目都没看懂

2023-11-29 17:16 1 · 回答

NO.PZ201601050100001301 问题如下 scrihow a volatility- basestrategy for Konev woulmost likely contrast with Murimi’s other institutioninvestors. Justify your response. In currenmarkets, volatility is not constant, nor are its movements completely ranm. Instea volatility is terminea wi variety of unrlying factors, both funmentantechnical, for whia trar cexpress opinion. Movements in volatility are cyclicantypically subjeto long perio of relative stability punctuatesharp upwarspikes in volatility markets come unr stress. Speculative volatility trars among overlmanagers often want to net short volatility because most options expire out of the money anthe option writer then gets to keep the premium without livery of the unrlying currenpair. Ially these trars woulwant to flip their position anlong volatility aheof the volatility spikes, but these episos cnotoriously fficult to time. Most heers, in contrast, typically run option positions thare net long volatility because they are buying protection from the unanticipateprivolatility.In this case, Konev woulmost likely interestein speculative gains on US llweakness, while the other institutionclients woulheers seeking to minimize trang risks. The concept of foreign exchange asset class for Konev will most likely permit Murimi to take foreign exchange exposure in any currenpair where there is aitionvalue to capture. A volatility-basestrategy for Konev woultypically net short, opposeto net long, volatility to earn the relaterisk premium for absorbing volatility risk. In contrast, the institutioninvestors, heers in managing net long volatility positions, woulexposeto the time cof option’s time value.中文解析在外汇市场,波动性不是恒定的,也不是完全随机的。相反,波动性是由多种潜在因素决定的,包括基本面因素和技术因素,交易员可以对此发表意见。波动性的波动是周期性的,通常会受到长期相对稳定的影响,而当市场面临压力时,波动性会急剧上升。对冲基金经理中的投机性波动率交易员通常希望净做空波动率,因为大多数期权到期时可以处在OTM状态,不被行权,期权卖方就可以在不交付标的的情况下获得期权费。理想情况下,这些交易员会希望在波动峰值之前改变头寸,做多波动性,但如何确定这个波峰的时间是非常困难的。相比之下,大多数对冲者通常持有净多头波动率的期权头寸,因为他们是在对无法预测的价格波动购买保护。在这种情况下,Konev最有可能对美元走软带来的投机性收益感兴趣,而其他机构客户则是寻求将交易风险降至最低的对冲者。对于Konev来说,外汇作为一种资产类别的概念很可能会允许Murimi在任何有额外价值的货币组合中持有外汇敞口。Konev基于波动率的策略通常是净做空,而不是净做多,以赚取吸收波动率风险的相关风险溢价。相比之下,作为管理净多头波动头寸的对冲者,机构投资者将暴露于期权时间价值的时间衰减。 volatility- basestrategy es not neerection prection, long strale is longing volatility regaress of movement rection,while other strategies requires rection juement 没有get到题目考的是net long或者net short的点

2023-08-12 17:01 1 · 回答

NO.PZ201601050100001301 问题如下 scrihow a volatility- basestrategy for Konev woulmost likely contrast with Murimi’s other institutioninvestors. Justify your response. In currenmarkets, volatility is not constant, nor are its movements completely ranm. Instea volatility is terminea wi variety of unrlying factors, both funmentantechnical, for whia trar cexpress opinion. Movements in volatility are cyclicantypically subjeto long perio of relative stability punctuatesharp upwarspikes in volatility markets come unr stress. Speculative volatility trars among overlmanagers often want to net short volatility because most options expire out of the money anthe option writer then gets to keep the premium without livery of the unrlying currenpair. Ially these trars woulwant to flip their position anlong volatility aheof the volatility spikes, but these episos cnotoriously fficult to time. Most heers, in contrast, typically run option positions thare net long volatility because they are buying protection from the unanticipateprivolatility.In this case, Konev woulmost likely interestein speculative gains on US llweakness, while the other institutionclients woulheers seeking to minimize trang risks. The concept of foreign exchange asset class for Konev will most likely permit Murimi to take foreign exchange exposure in any currenpair where there is aitionvalue to capture. A volatility-basestrategy for Konev woultypically net short, opposeto net long, volatility to earn the relaterisk premium for absorbing volatility risk. In contrast, the institutioninvestors, heers in managing net long volatility positions, woulexposeto the time cof option’s time value.中文解析在外汇市场,波动性不是恒定的,也不是完全随机的。相反,波动性是由多种潜在因素决定的,包括基本面因素和技术因素,交易员可以对此发表意见。波动性的波动是周期性的,通常会受到长期相对稳定的影响,而当市场面临压力时,波动性会急剧上升。对冲基金经理中的投机性波动率交易员通常希望净做空波动率,因为大多数期权到期时可以处在OTM状态,不被行权,期权卖方就可以在不交付标的的情况下获得期权费。理想情况下,这些交易员会希望在波动峰值之前改变头寸,做多波动性,但如何确定这个波峰的时间是非常困难的。相比之下,大多数对冲者通常持有净多头波动率的期权头寸,因为他们是在对无法预测的价格波动购买保护。在这种情况下,Konev最有可能对美元走软带来的投机性收益感兴趣,而其他机构客户则是寻求将交易风险降至最低的对冲者。对于Konev来说,外汇作为一种资产类别的概念很可能会允许Murimi在任何有额外价值的货币组合中持有外汇敞口。Konev基于波动率的策略通常是净做空,而不是净做多,以赚取吸收波动率风险的相关风险溢价。相比之下,作为管理净多头波动头寸的对冲者,机构投资者将暴露于期权时间价值的时间衰减。 \"believes the long- term strength of the US llis peaking.\"原文这句话说明美元未来会贬值?为什么?

2022-05-30 10:00 1 · 回答

NO.PZ201601050100001301 问题如下 scrihow a volatility- basestrategy for Konev woulmost likely contrast with Murimi’s other institutioninvestors. Justify your response. In currenmarkets, volatility is not constant, nor are its movements completely ranm. Instea volatility is terminea wi variety of unrlying factors, both funmentantechnical, for whia trar cexpress opinion. Movements in volatility are cyclicantypically subjeto long perio of relative stability punctuatesharp upwarspikes in volatility markets come unr stress. Speculative volatility trars among overlmanagers often want to net short volatility because most options expire out of the money anthe option writer then gets to keep the premium without livery of the unrlying currenpair. Ially these trars woulwant to flip their position anlong volatility aheof the volatility spikes, but these episos cnotoriously fficult to time. Most heers, in contrast, typically run option positions thare net long volatility because they are buying protection from the unanticipateprivolatility.In this case, Konev woulmost likely interestein speculative gains on US llweakness, while the other institutionclients woulheers seeking to minimize trang risks. The concept of foreign exchange asset class for Konev will most likely permit Murimi to take foreign exchange exposure in any currenpair where there is aitionvalue to capture. A volatility-basestrategy for Konev woultypically net short, opposeto net long, volatility to earn the relaterisk premium for absorbing volatility risk. In contrast, the institutioninvestors, heers in managing net long volatility positions, woulexposeto the time cof option’s time value.中文解析在外汇市场,波动性不是恒定的,也不是完全随机的。相反,波动性是由多种潜在因素决定的,包括基本面因素和技术因素,交易员可以对此发表意见。波动性的波动是周期性的,通常会受到长期相对稳定的影响,而当市场面临压力时,波动性会急剧上升。对冲基金经理中的投机性波动率交易员通常希望净做空波动率,因为大多数期权到期时可以处在OTM状态,不被行权,期权卖方就可以在不交付标的的情况下获得期权费。理想情况下,这些交易员会希望在波动峰值之前改变头寸,做多波动性,但如何确定这个波峰的时间是非常困难的。相比之下,大多数对冲者通常持有净多头波动率的期权头寸,因为他们是在对无法预测的价格波动购买保护。在这种情况下,Konev最有可能对美元走软带来的投机性收益感兴趣,而其他机构客户则是寻求将交易风险降至最低的对冲者。对于Konev来说,外汇作为一种资产类别的概念很可能会允许Murimi在任何有额外价值的货币组合中持有外汇敞口。Konev基于波动率的策略通常是净做空,而不是净做多,以赚取吸收波动率风险的相关风险溢价。相比之下,作为管理净多头波动头寸的对冲者,机构投资者将暴露于期权时间价值的时间衰减。 ——“投机者多做空,对冲者多做多。”可是这道题从哪里看出来K是投机者,机构们是对冲者的?

2022-05-12 20:51 2 · 回答