袁同學(xué)
2020-11-19 11:4230、題目說(shuō)historical has had option exhibiting a volatility skew, the option of GHS currency exhibit a volatility smile, investors believes that within the next days implied volatility will revert to a more usual profile,基于這個(gè)預(yù)測(cè)，sell哪種策略可以受限profit？（來(lái)自百題) ? A: out of the money calls and but out of the money puts(正確答案) ? B: out of the money puts and buy in the money puts ? C: at the money calls and buy at the money puts 請(qǐng)老師解釋下這個(gè)題目？
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
Kevin助教
2020-11-19 11:59
該回答已被題主采納
同學(xué)你好！
歷史上通常是skew，現(xiàn)在是smile，說(shuō)明OTM call的volatility偏高，應(yīng)該賣出OTM call。
put這一塊有點(diǎn)爭(zhēng)議。但光是看選項(xiàng)的話不影響做題。
致正在努力的你，望能解答你的疑惑~
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