NO.PZ2018122701000084
问题如下：
With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:
选项：
A.Short position in an at-the-money call
B.Long position in an at-the-money call
C.Short position in a deep in-the-money call
D.Long position in a deep in-the-money call
解释：
D is correct.
考点Volatility Smile
解析A plot of the implied volatility of an option as a function of its strike price demonstrates a pattern known as the volatility smile or volatility skew. The implied volatility decreases as the strike price increases. Thus, all else equal, a risk monitoring system which assumes constant volatility for equity returns will understate the implied volatility for a long position in a deep-in-the-money call.
understated在这里的意思是被低估吗？应该是deep-OTM-call或者deep-ITM-put被低估吧？因为左边高所以左边被高估
