珊同學(xué)
2022-05-10 09:24CFA 網(wǎng)站上有道題目，我不是很理解選項(xiàng)B,C錯(cuò)在哪里。Calzada asks for recommendations on option strategies to implement if the market is expected to trade in a narrow range in the near term. Dufu responds, “The appropriate strategy in this scenario depends on your expectations for changes in implied volatility. If you expect a decrease in implied volatility, then you should write a straddle on the stock index. If your expectation is for implied volatility to increase, then you should enter a short risk reversal trade on the stock index. If your view is that implied volatility will remain unchanged, then you should buy call options and write put options on the stock index.” Question In her response to Calzada, Dufu is most likely correct about: a writing a straddle. b short risk reversal trade. c buying calls and writing puts.
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
Chris Lan助教
2022-05-10 18:03
該回答已被題主采納
同學(xué)你好
B選項(xiàng)：對(duì)于short risk reversal，這個(gè)策略是long put，short call，只有當(dāng)OTM call隱含波動(dòng)高，而OTM put隱含波動(dòng)低的時(shí)候，這樣做才有意義。因此這個(gè)策略適合于隱含波動(dòng)率的曲線(xiàn)，左邊低，右邊高的情況，這算是一種volatiliy skew。也就是當(dāng)volatiliy skew時(shí)，這個(gè)策略會(huì)受益。
C選項(xiàng)：對(duì)于波動(dòng)不變化時(shí)，如果long call short put，這相當(dāng)于是在看漲，這兩個(gè)頭寸的delta都是正的，說(shuō)明是在看漲標(biāo)的資產(chǎn)。而看漲標(biāo)的資產(chǎn)價(jià)格和波動(dòng)穩(wěn)定是沒(méi)有什么關(guān)系的。所以這個(gè)策略用的也不對(duì)。
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追問(wèn)
volatility skew 應(yīng)該是OTM put 隱含波動(dòng)率更高吧？如果是put 隱含波動(dòng)率更高，可以用short risk reversal么？
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追答
同學(xué)您好
我們的書(shū)中講的volatility skew更多是圖形左邊高，右邊低的情況。這種情況下，說(shuō)明OTM call低估，OTM put高估。因此應(yīng)該long risk reveral。
而這個(gè)題正好是反過(guò)來(lái)的情況，因此就是short risk reversal。
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