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LuckyYao · 2021年03月11日

答案D

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000034

问题如下：

The following statements are reasons why positive feedback trading exists, except for which?

选项：

A.

Because of trend trading, investors buy when asset price appears to be trending up and sell when it appears to be trending down.

B.

Stop-loss rules can lead to positive feedback trading.

C.

Predatory trading is one of the reasons that lead to positive feedback trading.

D.

Hedging a long option position (call or put) can lead to positive feedback trading.

解释：

考点：对Liquidity Black Holes的理解

答案：D选项描述错误，本题选D。

解析：

当Hedge short option position时，可能会产生Positive feedback trading。

Dynamic hedging. Hedging a short option position (call or put) involves buying after a price rise and selling after a price decline.

Hedging a long option position (call or put) can lead to positive feedback trading.


老师可以举例long option positon 不会导致positive feedback的例子吗

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1 个答案

品职答疑小助手雍 · 2021年03月11日

嗨，从没放弃的小努力你好：


如果你是long call option的话，要hedge 它就要short 股票。

当股价上升是，call 的delta增大，需要short更多的股票来对冲。股价下跌时delta变小，要买回来一些股票来减少short股票的头寸。

也就是涨时候要short，跌时候要被迫买。这显然不是一个positive的feedback。

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2023-07-19 17:58 1 · 回答

能否请老师再讲解一下short option的hee如何导致positive trang的呀？谢谢！

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