嗨，爱思考的PZer你好：
同学你好，
Hedge Fund A’s volatility trading strategy can be implemented by following multiple paths. One path is through simple exchange-traded options. The maturity of such options typically extends to no more than two years. In terms of expiry, the longer-dated options will have more absolute exposure to volatility levels than shorter-dated options, but the shorter-dated options will exhibit more delta sensitivity to price changes.
A second, similar path is to implement the volatility trading strategy using OTC options. In this case, the tenor and strike prices of the options can be customized. The tenor of expiry dates can then be extended beyond what is available with exchange-traded options.
A third path is to use VIX futures or options on VIX futures as a way to more explicitly express a pure volatility view without the need for constant delta hedging of an equity put or call for isolating the volatility exposure.
A fourth path for implementing a volatility trading strategy would be to purchase an OTC volatility swap or a variance swap from a creditworthy counterparty. A volatility swap is a forward contract on future realized price volatility. Similarly, a variance swap is a forward contract on future realized price variance, where variance is the square of volatility. Both volatility and variance swaps provide “pure” exposure to volatility alone, unlike standardized options in which the volatility exposure depends on the price of the underlying asset and must be isolated and extracted via delta hedging.
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