ly
2023-08-14 11:05老師，您好，利用smile做，是應(yīng)該做空什么樣的期權(quán)呀，謝謝啦，為啥機(jī)構(gòu)投資者要做不同的策略呢，題目如下Renita Murimi is a currency overlay manager and market technician who serves institutional investors seeking to address currency-specific risks associated with investing in international assets. Her firm also provides volatility overlay programs. She is developing a volatility-based strategy for Emil Konev, a hedge fund manager focused on option trading. Konev seeks to implement an “FX as an asset class” approach distinct to his portfolio to realize speculative gains and believes the long-term strength of the US dollar is peaking. / 問(wèn)題Q. Describe how a volatility-based strategy for Konev would most likely contrast with Murimi’s other institutional investors. Justify your response.
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-08-14 11:26
該回答已被題主采納
同學(xué)，下午好。這里可以從投機(jī)（speculative）和對(duì)沖（hedge）作為切入點(diǎn)。
作為機(jī)構(gòu)投資者，他們通常是對(duì)沖者，他們通常會(huì)買入期權(quán)，來(lái)給已經(jīng)持有的資產(chǎn)做保護(hù)。他們買入期權(quán)的目的不是為了收益。
但是，大部分期權(quán)到期時(shí)都是價(jià)外期權(quán)，期權(quán)賣方會(huì)白白賺一個(gè)期權(quán)費(fèi)。這里K的目的是獲得投機(jī)收益，那么他就應(yīng)該賣出期權(quán)，承擔(dān)volatility波動(dòng)的風(fēng)險(xiǎn)，來(lái)賺取期權(quán)費(fèi)。又因?yàn)閘ong- term strength of the US dollar is peaking，美元即將見頂，開始下跌了。所以是做空看漲期權(quán)。
0
0
0
0
