買同學(xué)
2022-03-14 17:39老師，put on vix 應(yīng)該也是 波動(dòng)下降 賺錢，所以 SELL put on vix 應(yīng)該是波動(dòng)上升賺錢吧？（TRADER 2 )
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
Johnny助教
2022-03-14 19:05
該回答已被題主采納
同學(xué)你好，以下是原版書(shū)原文：.When the VIX futures curve is in contango (backwardation) and assuming volatility expectations remain unchanged, the VIX futures price will get “pulled” closer to the VIX spot price, and they will decrease (increase) in price as they approach expiration. 當(dāng)VIX 期貨是contango時(shí)，就意味著F＞S，但是當(dāng)期貨到期時(shí)，future price和spot price是要趨同的，這回導(dǎo)致VIX future的價(jià)格下跌。因此本題中，VIX future處于contango，意味著F＞S，future price在臨近到期時(shí)會(huì)逐漸下降并向spot price靠近。所以這里要防范的其實(shí)是VIX future price下跌，于是trader 2就不對(duì)了，應(yīng)該要long put option on VIX futures
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追問(wèn)
1.老師好，所以是這句“"HE believe investor are complacent as reflected in the historically low level of VIX" 說(shuō)明了 “assume volatility unchanged"的意思嗎？ 然后就可以把VIX當(dāng)作一個(gè)普通forward, 到期的時(shí)候forward price 會(huì)向spot 收斂。
2.另外如果波動(dòng)率是會(huì)變的話，put on vix 也是波動(dòng)下降賺錢把
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