NO.PZ201720190200000207
问题如下:
7. Given Nabli’s expectations for crude oil, the most appropriate swap position is the:
选项:
A. basis swap.
B. volatility swap.
C. excess return swap.
解释:
A is correct.
Nabli expects the price of Brent crude oil to increase more than that of heavy crude oil, and Nabli can take advantage of this prediction by entering into a basis swap that is long Brent crude oil and short heavy crude oil. Nabli should take a short (not long) position in a volatility swap to take advantage of his prediction that Brent crude oil’s price volatility will be lower than its expected volatility. Nabli should take a long (not short) position in an excess return swap to take advantage of his expectation that the level of the ICE Brent Index will increase faster than leading oil benchmarks.
可以解释下B选项吗?是因为只有上升趋势,但没有体现波动变化情况吗?