开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Archie · 2022年05月13日

题目理解

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000037

问题如下：

An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time. Which strategy would the trader most likely employ to hedge the portfolio?

选项：

A.

  Sell short-dated options and buy long-dated options.

B.

  Buy short-dated options and sell long-dated options.

C.

  Sell short-dated options and sell long-dated options.

D.

  Buy short-dated options and buy long-dated options.

解释：

ANSWER: A

Such a portfolio is short vega (volatility) and short theta (time). We need to implement a hedge that is delta-neutral and involves buying and selling options with different maturities. Long positions in short-dated options have high negative theta and low positive vega. Hedging can be achieved by selling short-term options and buying long-term options.

老师我想知道为什么是long vega和theta，组合对这俩敏感，不是应该short这俩嘛，目的是希望这俩等于0

添加评论
2 个答案

品职答疑小助手雍 · 2022年08月03日

题目说了“high unfavorable sensitivity to increases in implied volatility”，波动率增加，价值降低，所以是short vega的。

品职答疑小助手雍 · 2022年05月14日

同学你好，题目说的是目前的组合对于 increases in implied volatility and passage of time的情况是unfavorable sensitivity 的。

所以原组合是short vega和short theta的，想要对冲就要long。

wuzx · 2022年08月03日

老师请问怎么看出原来组合是short vega的？

  • 2

    回答

  • 0

    关注

  • 370

    浏览
相关问题

NO.PZ2016082404000037问题如下 option portfolio exhibits high unfavorable sensitivity to increases in implied volatility anwhile experiencing significant ily losses with the passage of time. Whistrategy woulthe trar most likely employ to hee the portfolio?   Sell short-teoptions anbuy long-ted options.   Buy short-teoptions ansell long-ted options.   Sell short-teoptions ansell long-ted options.   Buy short-teoptions anbuy long-ted options. ANSWER: A Sua portfolio is short vega (volatility) anshort theta (time). We neeto implement a hee this lta-neutraninvolves buying anselling options with fferent maturities. Long positions in short-teoptions have high negative theta and low positive vegHeing cachieveselling short-term options and buying long-term options. 那不应该是c吗？有点绕

2023-04-24 21:48 1 · 回答

NO.PZ2016082404000037 问题如下 option portfolio exhibits high unfavorable sensitivity to increases in implied volatility anwhile experiencing significant ily losses with the passage of time. Whistrategy woulthe trar most likely employ to hee the portfolio?   Sell short-teoptions anbuy long-ted options.   Buy short-teoptions ansell long-ted options.   Sell short-teoptions ansell long-ted options.   Buy short-teoptions anbuy long-ted options. ANSWER: A Sua portfolio is short vega (volatility) anshort theta (time). We neeto implement a hee this lta-neutraninvolves buying anselling options with fferent maturities. Long positions in short-teoptions have high negative theta and low positive vegHeing cachieveselling short-term options and buying long-term options. 题目不是太明白，麻烦老师详细讲解下。谢谢！

2023-01-06 21:53 2 · 回答

NO.PZ2016082404000037问题如下 option portfolio exhibits high unfavorable sensitivity to increases in implied volatility anwhile experiencing significant ily losses with the passage of time. Whistrategy woulthe trar most likely employ to hee the portfolio?   Sell short-teoptions anbuy long-ted options.   Buy short-teoptions ansell long-ted options.   Sell short-teoptions ansell long-ted options.   Buy short-teoptions anbuy long-ted options. ANSWER: A Sua portfolio is short vega (volatility) anshort theta (time). We neeto implement a hee this lta-neutraninvolves buying anselling options with fferent maturities. Long positions in short-teoptions have high negative theta and low positive vegHeing cachieveselling short-term options and buying long-term options. 题目第一句话“option portfolio exhibits high unfavorable sensitivity to increases in implievolatility anwhile experiencing significant ily losses with the passage of time.”给了两个条件，这个组合是short vega和short theta的组合。关于这一点不是很理解，exhibits high unfavorable sensitivity to increases in implievolatility到底是什么意思呢？为什么是short veg另外答案中有一句话We neeto implement a hee this lta-neutral，为什么还要考虑lta-neutral呢？这题考点不是构建组合用vega和theta to hee吗

2022-03-23 11:22 2 · 回答

NO.PZ2016082404000037 option portfolio exhibits high unfavorable sensitivity to increases in implievolatility anwhile experiencing significant ily losses with the passage of time. Whistrategy woulthe trar most likely employ to hee the portfolio?   Sell short-teoptions anbuy long-teoptions.   Buy short-teoptions ansell long-teoptions.   Sell short-teoptions ansell long-teoptions.   Buy short-teoptions anbuy long-teoptions. ANSWER: A Sua portfolio is short vega (volatility) anshort theta (time). We neeto implement a hee this lta-neutraninvolves buying anselling options with fferent maturities. Long positions in short-teoptions have high negative theta anlow positive vegHeing cachieveselling short-term options anbuying long-term options. 没看明白解题思路

2021-10-24 15:27 1 · 回答