开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

昆汀的低俗小说 · 2021年05月24日

为啥就不能直接卖了option赚期权费 收益的更多?另外请问题干里的increase in the butterfly spread怎么理解?

NO.PZ2019103001000041

问题如下:

McLaughlin and Michaela Donaldson, a junior analyst at Delphi, are now discussing how to reposition the portfolio in light of McLaughlin’s expectations about interest rates over the next 12 months. She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged. Selected yields on the Treasury yield curve, and McLaughlin’s expected changes in yields over the next 12 months, are presented in Exhibit 1.

Donaldson suggests they also consider altering the portfolio’s convexity to enhance expected return given McLaughlin’s interest rate expectations.

Given McLaughlin’s interest rate expectations over the next 12 months, one way that Donaldson and McLaughlin could alter convexity to enhance expected return would be to:

选项:

A.

sell call options on bonds held in the portfolio.

B.

buy call options on long-maturity government bond futures.

C.

sell put options on bonds they would be willing to own in the portfolio.

解释:

B is correct.

McLaughlin expects interest rate volatility to be high and the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged. To increase the portfolio’s expected return, Donaldson and McLaughlin should buy call options on long-maturity government bond futures to increase convexity.

“因为题干预测的利率信息是利率波动加大:

She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged

所以B说的Buy options,就会增加组合的Convexity,于是组合获得“涨多跌少”的优势,策略会增强收益。”


怎么理解increase in the 2s/10s/30s butterfly spread?spread增加利率增加,债券价格下跌幅度再有限,但那也是跌啊哪来的enhance return?为啥不能直接卖了option赚期权费 收益的更多?

1 个答案

发亮_品职助教 · 2021年05月25日

嗨,努力学习的PZer你好:


怎么理解increase in the 2s/10s/30s butterfly spread?


Butterfly spread描述利率曲线弯曲程度的,Butterfly spread = 2 × mid rate 减 长期利率 减 短期利率

Butterfly spread这个数值越大,则代表中期利率相对更高,即More curvature。所以Increase in butterfly spread代表的是中期利率相对上升,即收益率曲线变得更加弯曲。

本题就说Increase in 2s/10s/30s的Butterfly spread,其实就是定义了短期利率是2s,中期利率是10s,长期利率是30s的Butterfly spread.

题干后面又说30s的利率不变,那就是10s相对上升,2s相对下降。这样最终会使得2s/10s/30s的Butterfly spread上升。

如下基础班讲义:



spread增加利率增加,债券价格下跌幅度再有限,但那也是跌啊哪来的enhance return?为啥不能直接卖了option赚期权费 收益的更多?


问题是基于利率的预期,然后Alter convexity来赚取收益,也就是只从Convexity的角度来做策略。

影响Convexity策略的就只有利率的Volatility。所以解本题就只需关注这一句利率预期即可:She expects interest rate volatility to be high 

当利率的波动率预期上升时,是Increase convexity的策略,那需要Buy options;

当利率的波动率预期下降时(或者Stable时),是Decrease convexity的策略,需要Sell options。


预期未来的波动率上升,那现在波动率较低,波动率的大小与Option的价格成正比,即,现在的Option价格较低,提前买入,等到波动率加大之后,Option的价值上升,于是再以更高的价格卖出Option,这样就赚取了Option的期权费间的差异。这个差异其实可以看成是Increase convexity对组合带来的收益。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

昆汀的低俗小说 · 2021年05月25日

明白了,感谢助教老师~