luoxinwu
2022-08-30 21:31A問里的statement2能讀懂他說的意思嗎？option是比futures便宜嗎？好比2大于1因為3是偶數
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Chris Lan助教
2022-08-30 23:48
該回答已被題主采納
同學您好
這個題的關鍵還是在后半句，即 perfect correlation with underlying equity prices.
根據下面的解析我們發(fā)現，其實vix option和標的資產價格是負相關的。并不是完美相關。
The VIX, also referred to as the “fear index,” is a measure of investors’ expectations of volatility within a certain time period. VIX options are negatively correlated with the underlying equity prices. A trader usually buys a VIX call option when the volatility increases, which could precipitate a sell-off in the equity market.
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