張同學(xué)
2022-05-29 17:53Tryon is long several equity positions based on event-driven ideas that, over the next few quarters, are expected to have double-digit returns. He is concerned, however, that the equity market may decline as a result of lower corporate earnings. He believes investors are complacent as reflected in the historically low level of the volatility index (VIX). He wants to establish volatility exposure as a tail hedge for his holdings and notices the VIX futures curve is in contango. Tryon evaluates three potential trades to establish his hedge: Trade 1: Go long back-end month futures contracts on the VIX Index, with a gross notional equal to the portfolio market value. Trade 2: Sell a rolling series of out-of-the-money put options on VIX futures. Trade 3: Go long a variance swap, with vega notional equal to the potential equity portfolio loss. Which trade is Tryon most likely to implement to establish his equity market hedge?
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(gè)回答
Chris Lan助教
2022-05-30 13:32
該回答已被題主采納
同學(xué)您好
vega notional是指方差互換合約中，波動上升一個(gè)單位，方差互換合約多頭賺多少錢。這里擔(dān)心的是波動上升，導(dǎo)致資產(chǎn)價(jià)格下降。因此波動上升后，我們進(jìn)入方差互換多頭，賺的錢，正好和我預(yù)期組合損失的金額一樣，這樣也就對沖了我們組合的風(fēng)險(xiǎn)。
他這里對沖的是預(yù)期的損失，也就是說他可以預(yù)期一下，如果波動上升1%，組合預(yù)期會損失多少金額，那么variance swap的vega notional就可以照這個(gè)值來設(shè)定。
由于VIX curve本身是升水的，因此當(dāng)我們做為VIX 多頭時(shí)，會隨著VIX 期貨離到期時(shí)間越來越近，而價(jià)格越來越低，所以VIX只要做多頭，就會有損失。另外像交易2的說的不斷rolling VIX futures也是一樣的原因。
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