huha
2022-11-21 19:52老師好，原版書有一句話描述calendar spread說‘’In sum, a big move in the underlying market or a decrease in implied volatility will help a short calendar spread, whereas a stable market or an increase in implied volatility will help a long calendar spread. Thus, calendar spreads are sensitive to movement of the underlying but also sensitive to changes in implied volatility.‘’short calender不是long short-term call+short long-term call么？那么long call不是long volatility么？這里為啥說a decrease in implied volatility will help a short calendar spread呢？
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
開開助教
2022-11-24 18:16
該回答已被題主采納
同學(xué)你好，short term call的vega敞口小于longer term call的vega敞口。因此，short term call對implied volatility變化的敏感性沒longer term call大，所以implied volatility下降的話，short term call價格跌的少，longer term call跌的多，那么對short calendar spread是有好處的，因為空頭跌的多，多頭跌的少。
【點贊】喲~。加油，祝你順利通過考試~
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