Joe
2022-05-14 11:53請問這道題的statement2說VIX option比 VIX futures還便宜，是不是錯了？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2022-05-16 14:02
該回答已被題主采納
同學(xué)您好
根據(jù)原文的內(nèi)容，兩者的價格應(yīng)該是一致的。因此不能說VIX option就會比VIX futures便宜。
It is important to note that VIX option prices reflect the VIX futures prices.
Importantly, VIX option prices are determined from VIX futures, and both instruments allow an investor to implement a view depending on her expectations about the timing and magnitude of a change in implied volatility.
另外我還找到一句話。從這句話也能看出，兩者的價格哪個更便宜，應(yīng)該是沒有經(jīng)過定論的。
Importantly, the relative advantage of implementing this long volatility hedging strategy by purchasing calls on the VIX over buying VIX futures depends on the difference in leverage available, the difference in payoff profiles (asymmetrical for options and symmetrical for futures), and the shape of the volatility futures term structure, as well as the cost of the options compared with the cost of the index futures.
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追答
但是statement 2主要錯在完全相關(guān)，VIX是波動率，也叫恐慌指數(shù)，他和股票價格是負(fù)相關(guān)的。而不是完美相關(guān)。完美相關(guān)是指相關(guān)系數(shù)為正1的情況。
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