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C_M_ · 2024年10月07日

BD

NO.PZ2023100703000124

问题如下:

An option pricing analyst at an investment bank has been asked to write a report examining the relationship between option prices and implied volatility curves. The analyst notes that the implied volatility curves of different underlying assets often have different shapes and explains the reasons why this occurs. Which of the following statements can correctly be included in the report?

选项:

A.The implied volatility smile commonly seen in equity options is due to the higher probability of a greater than three standard deviation price change than would be expected if prices are lognormally distributed.

B.The implied volatility smile commonly seen in foreign exchange rate options is due to the higher probability of a price change of between one and two standard deviations from the mean than would be expected if prices are lognormally distributed.

C.Demand for option protection against steep drops in equity prices leads to higher prices in out-of-the-money puts relative to out-of-the-money calls, which creates a downward-sloping implied volatility skew in these options.

D.Demand for option protection against the impact of unexpected central bank announcements on foreign exchange rates leads to higher prices, and higher implied volatilities, for at-the-money options relative to out-of-the-money options.

解释:

C is correct. Demand for protective puts will increase the price of these puts, which will increase their implied volatilities, which creates a downward sloping volatility skew. A is incorrect. The volatility smile commonly seen in equity options is downward sloping with higher implied volatility in lower strike prices and lower implied volatility in higher strike prices. This implies a greater probability of seeing a price in the left hand tail and a lower probability of seeing a price in the right hand tail than in the lognormal distribution. B is incorrect. The volatility smile commonly seen in foreign exchange rate options implies a greater probability of the future rate being either <1 standard deviation or >2 standard deviations away from the mean, and a lower probability of the future rate being between 1 and 2 standard deviations away from the mean. D is incorrect. Since the central bank announcements are unexpected the volatility curve will not be shaped with higher implied volatilities at-the-money than out-of-the-money. Protection will most likely be bought using out-of-the-money options which will create a volatility smile, rather than a frown.

B为什么在1-2倍标准差和1倍内2倍外的结论是不一样的,可以从那个微笑曲线图看出来吗 D没看懂,是volatility frown的话看起来结论没问题?

2 个答案

李坏_品职助教 · 2024年10月17日

嗨,爱思考的PZer你好:


对啊,ATM(平值期权)对应的隐含波动率最低(意思是横轴的中间范围对应的波动率比较低),而横轴两边的隐含波动率较高。


所以说B选项的between one and two standard deviations这个中间范围的波动率应该是Lower才对啊。B选项说中间范围的波动更高,所以B错误。


D选项说平值期权的volatility大于虚值期权的volatility,这个也是错误的。

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李坏_品职助教 · 2024年10月07日

嗨,努力学习的PZer你好:


微笑曲线指的是,中间价格对应的volatility最小,而低价格区间和高价格区间对应的volatility都很大。


对于外汇期权的volatility smile,应该是小于1倍标准差的范围,和大于 2 倍标准差的范围,价格在这俩范围波动的概率,要大于在中间范围(就是1-2倍标准差之内)波动的概率。所以B选项应该把“higher probability of a price change of between one and two standard deviations ”里面的higher改为lower.


D选项说的是unexpected central bank announcements 会导致平值期权的volatility大于虚值期权的volatility。既然是未被预测到的央行政策,投资者依然会选择虚值期权进行对冲(未被预测到,也就是预期概率不大,用虚值期权就足够了)。所以应该是虚值期权的volatility更大,依然是smile而不是frown。 外汇期权是smile为主的,这一点和股票期权不一样。

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努力的时光都是限量版,加油!

C_M_ · 2024年10月17日

atm的期权波动率不是都是最小的吗,还是不懂为什么大于虚值期权

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