undefinable
2022-12-10 17:20請講下risk reversal
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
2022-12-15 21:27
該回答已被題主采納
同學(xué)您好
A long risk reversal combines long call and short put on the same underlying with same expiration. 風(fēng)險逆轉(zhuǎn)多頭結(jié)合了相同標(biāo)的資產(chǎn)相同到期期限的看漲期權(quán)多頭和看跌期權(quán)空頭。例如：
If a trader believes that put implied volatility is relatively too high, compared to that for calls, a long risk reversal could be created by buying the OTM call (underpriced) and selling the OTM put (overpriced) for the same expiration. 如果交易者認(rèn)為相對于看漲期權(quán)，看跌期權(quán)隱含波動率相對過高，那么在相同到期期限內(nèi)買入場外交易看漲期權(quán)（定價低估）并賣出場外交易的看跌期權(quán)（定價高估），就可以構(gòu)建風(fēng)險逆轉(zhuǎn)多頭（long risk reversal= long call + short put）
However, this would create a long exposure to the underlying, which could be problematic. 然而，這將導(dǎo)致對標(biāo)的資產(chǎn)的多頭敞口（看漲標(biāo)的資產(chǎn)），這可能會產(chǎn)生問題
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