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LuckyYao · 2021年03月11日

答案D

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:

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

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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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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