Paul
2025-05-26 09:17老師好、 請(qǐng)問(wèn)一下第4、5題都是volatility skew, 為什麼第四題是long OTM put,但第五題是short OTM put?
所屬:CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2025-05-26 09:47
該回答已被題主采納
同學(xué),上午好。
第4題volatility圖像是動(dòng)態(tài)變動(dòng)的,因?yàn)?The options of GHS currently exhibit a volatility smile, and Karunathilike believes that within the next days implied volatility will revert back to a more usual profile.
所以會(huì)從volatility smile變成volatility skew,買(mǎi)入volatility增加的OTM put,賣出volatility下降的OTM call(截圖1)。
第5題,volatility圖像是靜止的,推出是volatility skew,所以volatility要低買(mǎi)高賣,賣出OTM put,買(mǎi)入OTM call
