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凉茶325 · 2022年03月03日

这里是不是可以理解为这个策略

  1. CFA III
  2. Alternative

NO.PZ2019122802000015

问题如下：

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how Time decay of call option can create concerns for Stein’s proposed hedge fund strategy.

解释：

The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.

由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。

大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。

1.这里是不是可以理解为这个策略就是通过嵌入在convertible bond里面的implied volatility 变动来赚钱的，现在implied volatility 小，堵未来volatility变大，即call option value就变大。随着时间推移，option value变小了，没有达到想要的call option value变那么大的效果，所以他就不好了？


2.During period of reduced realized equity volatility or a general compression of market implied volatility level为什么要强调是在这样的两个时期呀？这两句话的意思分别是什么啊？我理解好像是一样的意思。求老师解答。感谢！

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3 个答案

伯恩_品职助教 · 2022年03月04日

嗨，努力学习的PZer你好：


老师，我知道这句话的意思是由于波动率小。但是不是说embedded call value小，我们预期未来的波动率大才会用这个策略吗，那不就是和波动率小相互矛盾了吗？——这个我解释的很清楚啊，不是波动率小，而是波动率变小，和将来波动率变大的预期相反啊

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加油吧，让我们一起遇见更好的自己！

伯恩_品职助教 · 2022年03月04日

嗨，从没放弃的小努力你好：


2.为什么是在volatility比较小的时候，或者说是市场的波动率比较小的时候呢？不是说隐含的波动率便宜吗认为市场波动率大我才可能去做这个策略吗——

The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.这句话不就是说由于波动率变小，使得CB lose money

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

伯恩_品职助教 · 2022年03月03日

嗨，努力学习的PZer你好：


1.这里是不是可以理解为这个策略就是通过嵌入在convertible bond里面的implied volatility 变动来赚钱的，现在implied volatility 小，堵未来volatility变大，即call option value就变大。随着时间推移，option value变小了，没有达到想要的call option value变那么大的效果，所以他就不好了？——是的


2.During period of reduced realized equity volatility or a general compression of market implied volatility level为什么要强调是在这样的两个时期呀？这两句话的意思分别是什么啊？我理解好像是一样的意思。求老师解答。感谢！——一个是股票一个是市场，你可以理解为在大A股上买了茅台股份，茅台的一会涨5%一会跌5%（波动），大盘一会涨1%一会跌1%。大概就是这个意思

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努力的时光都是限量版，加油！

凉茶325 · 2022年03月04日

2.为什么是在volatility比较小的时候，或者说是市场的波动率比较小的时候呢？不是说隐含的波动率便宜吗认为市场波动率大我才可能去做这个策略吗

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