NO.PZ2017121101000010
问题如下：
A volatility trader observes that the VIX term structure is upward sloping. In particular, the VIX is at 13.50, the front-month futures contract trades at 14.10, and the second-month futures contract trades at 15.40. Assuming the shape of the VIX term structure will remain constant over the next three-month period, the trader decides to implement a trade that would profit from the VIX carry roll down. She will most likely purchase the:
选项：
A.VIX and sell the VIX second- month futures.
VIX and sell the VIX front- month futures.
VIX front- month futures and sell the VIX second- month futures.
解释：
C is correct.
VIX futures converge to the spot VIX as expiration approaches, and the two must be equal at expiration. When the VIX futures curve is in contango and assuming volatility remains stable, the VIX futures will get “pulled” closer to the spot VIX, and they will decrease in price as they approach expiration. Traders calculate the difference between the front-month VIX futures price and the VIX as 0.60, and the spread between the front-month and the second-month futures is 1.30. Assuming that the spread declines linearly until settlement, the trader would realize roll-down gains as the spread decreases from 1.30 to 0.60 as the front-month futures approaches its expiration. At expiration, VIX futures are equal to the VIX, and the spread with the old second-month (and now the front- month) futures contract will be 0.60. Finally, since one cannot directly invest in the VIX, trades focusing on the VIX term structure must be implemented using either VIX futures or VIX options, so Answers A and B are not feasible.
中文解析：
这里考察的是“The VIX carry roll down”的知识点
首先我们需要注意的一点是，VIX是不能直接进行买卖的，所以A选项和B选项中说直接 purchase VIX直接排除掉。（考试的时候也是，看到这种直接买卖VIX的表述，不用思考直接pass）
选项C对应的是purchase VIX front- month futures and sell the VIX second- month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。所以选C。
老师你好，
这里有点不明白
“选项C对应的是purchase VIX front- month futures and sell the VIX second- month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。"
解释中说”一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6“，但是选项C没有提到13.5 VIX的事情呀，选项C不是只有”front VIX和second VIX吗，应该只有“由15.4降到了14.1，赚了1.3”呀
谢谢老师
