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中二 · 2020年02月15日

问一道题:NO.PZ2016070201000085 [ FRM II ]

问题如下:

Which of the following regarding equity option volatility is true?

选项:

A.

There is higher implied price volatility for away-from-the-money equity options.

B.

"Crashophobia" suggests actual equity volatility increases when stock prices decline.

C.

Compared to the lognormal distribution, traders believe the probability of large down movements in price is similar to large up movements.

D.

Increasing leverage at lower equity prices suggests increasing volatility.

解释:

D is correct. There is higher implied price volatility for low strike price equity options. "Crashophobia" is based on the idea that large price declines are more likely than assumed in Black-Scholes- Merton prices, not that volatility increases when prices decline. Compared to the lognormal distribution, traders believe the probability of large down movements in price is higher than large up movements. Increasing leverage at lower equity prices suggests increasing volatility.

D选项特意说lower price是什么意思?如果是在价格较高的时候加杠杆,是否D就不正确了呢?

1 个答案

orange品职答疑助手 · 2020年02月15日

lower price就是股价更低时,对应着equity option 波动率微笑左边偏高时的样子。

在股价较低时加杠杆,意思就是人们一般会在股价偏低时去买期权,这个现象也就是崩盘恐惧症。人们一般不会在股价太高时,通过期权去加更杠杆。

崩盘恐惧症:是指大家在市场出现大幅下滑时候出于担忧未来进一步下滑,因而纷纷平仓导致市场信心进一步下降的踩踏效应。因而普遍认为,相比价格上升而言,价格下降的可能性更大,因此如果你购买了Out-of-money的看跌期权,要付出的premium就更多,因而倒算出来的Implied volatility就更大,所以左侧的波动率更高。

中二 · 2020年07月14日

那么B选项错误,是因为说的actual volatility吗?把B的actual改成implied,B是不是就对了?