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Normy · 2022年01月12日

讲义中哪里有

NO.PZ2018113001000086

问题如下:

In foreign exchange markets, volatility is neither constant nor completely random. Instead, volatility is determined by a variety of underlying factors, both fundamental and technical, on which traders can comment. Volatility swings are cyclical, usually subject to long-term relative stability, and spikes when markets come under stress.

Therefore, when trading volatility, many hedge fund managers usually divide into two groups, one is speculative trading volatility, and the other is hedging trading volatility.

Compare the two trading methods.

选项:

解释:

Answer:

Speculative volatility traders among hedge fund managers typically want to be net short volatility because most options can expire in an OTM state and not be exercised, allowing the option seller to collect the option fee without delivering the underlying asset.

By contrast, most hedgers typically hold options positions on net long volatility because they are buying protection against unpredictable price movements.

中文解析:

对冲基金经理中的投机性波动率交易员通常希望净做空波动率,因为大多数期权到期时可以处在OTM状态,不被行权,期权卖方就可以在不交付标的的情况下获得期权费。

相比之下,大多数对冲者通常持有净多头波动率的期权头寸,因为他们是在对无法预测的价格波动购买保护。

谢谢

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Hertz_品职助教 · 2022年01月13日

嗨,爱思考的PZer你好:


同学你好~

1.     这个题目是咱们品职自己编写的题目哈,根据是原版书的下面这一段:

2.     原版书这部分内容对应的在讲volatility trading的内容,对应咱们基础班讲义P61,P62.

但本题涉及的volatility hedger和volatility speculator的内容因为是一个小的延展,并不属于主线知识或者需要重点关注的,所以在基础班讲义中并没有体现哈~这道题目在这里也算是一个补充,同学可以作为一个点来稍作掌握~

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