NO.PZ2019122802000034
问题如下：
Which of the following is not the goal of volatility trading strategy?
选项：
A. To buy cheap volatility and sell more expensive volatility.
B. To net out the time decay associated with options portfolios.
C. To hedge the volatility change of the underlying assets.
解释：
C is correct.
The goal of volatility trading strategy is to buy cheap volatility and sell expensive volatility and to net out the time decay associated with options portfolios.
the goal of volatility trading strategy根据原版书的原话是A和B（见下图讲义截图），和C没有关系，这个策略主要目的套利波动率这个衍生品的，而不是股票市场的。简单的大概说下就是volatility trading strategy是赚取spread（价差）——类似的the underlying assets的两个期权，一个因为预期波动率将变高，是不是就会变贵对吧，一个因为预期波动率将变小，是不是会变便宜啊对吧。那就做多预期波动率变高的，做空波动率变小的，赚取之间的spread。同时去除不想要的因素（time decay）。
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具体来说什么是net off decay
