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holicess · 2020年02月23日

问一道题:NO.PZ2016070201000085

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.

A 选项里面,away the money, 可以理解为,只要不是at the money, 两边都是away the money 么?还是说away the money 只表示 Out of the money?

1 个答案

品职答疑小助手雍 · 2020年02月23日

同学你好,我读着觉得是out of the money(虽然一般不这么说)。

不过out of the money,A也不对,行权价低的隐含波动率大。所以行权价比较低的in the money的call option波动率也很大。

A的描述只适用于行权价低的 out of the money的put option