NO.PZ201601050100000302
问题如下：
2. For Subscriber 2, and assuming all of the choices relate to the KRW/USD exchange rate, the best way to implement the trading strategy would be to:
选项：
A.write a straddle.
B.buy a put option.
C.use a long NDF position.
解释：
C is correct.
Based on predicted export trends, Subscriber 2 most likely expects the KRW/USD rate to appreciate (i.e., the won—the price currency—to depreciate relative to the USD). This would require a long forward position in a forward contract, but as a country with capital controls, a NDF would be used instead. (Note: While forward contracts offered by banks are generally an institutional product, not retail, the retail version of a non-deliverable forward contract is known as a -contract for differences- (CFD) and is available at several retail FX brokers.)
A is incorrect because Subscriber 2 expects the KRW/USD rate to appreciate. A short straddle position would be used when the direction of exchange rate movement is unknown and volatility is expected to remain low.
B is incorrect because a put option would profit from a depreciation of the KRW/USD rate, not an appreciation (as expected). Higher volatility would also make buying a put option more expensive.
中文解析：
本小题讨论的是Subscriber 2（2号订阅者），对应题干信息说到：韩国出口下降而美国出口上升（“United states is experiencing a rise in exports”）,一国的出口增加将会使得本币升值，因此美元将会升值。可以这样理解，美国的出口增加，那么市场上需要更多地美元来购买这些商品，对美元的需求增加，美元就升值了。
关于选项：
因为题干中说到预测波动率会增加，因此不应该write a straddle，因为这是赌波动率会不变或者下降的，A错。
标价形式为KRW/USD，我们研究的是USD，而USD升值，所以不应buy a put option. B错。
预测USD会升值，我们需要做USD升值可以获利的头寸，因此long forward，又因为资本管制的原因，所以我们选择使用NDF。C对
老师，想问三个问题，谢谢。
- 为什么美国出口增加，美元是升值？？？难道不是美元贬值，更便宜，出口才会增加啊，因为卖的便宜，其他人才愿意买.
- 什么是NDF？
- 如果判断美元会升值，那么有利的策略就是long forward on USD（提前锁定美元汇率）？
