为什么随着到期日临近，option会incur loss？

NO.PZ2019122802000015 问题如下 Yankel Stein is the chief investment officer of a large charitable fountion basein the UniteStates. Although the fountion hsignificant exposure to alternative investments anhee fun, Stein proposes to increase the fountion’s exposure to relative value hee funstrategies. part of Stein’s e ligenon a hee funengaging in convertible bonarbitrage, Stein asks his investment analyst to summarize fferent risks associatewith the strategy.scrihow Time cof call option ccreate concerns for Stein’s proposehee funstrategy. The convertible bonarbitrage strategy close money e to time cof the convertible bons embeecall option ring perio of recerealizeequity volatility anor e to a genercompression of market implievolatility levels.由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。 随着时间流逝convertible bon值不断降低, 而老师上课也说convertible bonarbitrage最后不会执行转股, 那这整个头寸最后怎么获利了结哪?又是在什么时间点?是到期前,整个头寸反向平仓吗?

NO.PZ2019122802000015 问题如下 Yankel Stein is the chief investment officer of a large charitable fountion basein the UniteStates. Although the fountion hsignificant exposure to alternative investments anhee fun, Stein proposes to increase the fountion’s exposure to relative value hee funstrategies. part of Stein’s e ligenon a hee funengaging in convertible bonarbitrage, Stein asks his investment analyst to summarize fferent risks associatewith the strategy.scrihow Time cof call option ccreate concerns for Stein’s proposehee funstrategy. The convertible bonarbitrage strategy close money e to time cof the convertible bons embeecall option ring perio of recerealizeequity volatility anor e to a genercompression of market implievolatility levels.由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。 time cof call option increases, the call option value on the boncreases, the enthe option value part wn to zero, anthe funstrategy might lose value.

NO.PZ2019122802000015 问题如下 Yankel Stein is the chief investment officer of a large charitable fountion basein the UniteStates. Although the fountion hsignificant exposure to alternative investments anhee fun, Stein proposes to increase the fountion’s exposure to relative value hee funstrategies. part of Stein’s e ligenon a hee funengaging in convertible bonarbitrage, Stein asks his investment analyst to summarize fferent risks associatewith the strategy.scrihow Time cof call option ccreate concerns for Stein’s proposehee funstrategy. The convertible bonarbitrage strategy close money e to time cof the convertible bons embeecall option ring perio of recerealizeequity volatility anor e to a genercompression of market implievolatility levels.由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。 如题老师你好请问可转债内嵌的call一般来说tenor是多久？

NO.PZ2019122802000015 问题如下 Yankel Stein is the chief investment officer of a large charitable fountion basein the UniteStates. Although the fountion hsignificant exposure to alternative investments anhee fun, Stein proposes to increase the fountion’s exposure to relative value hee funstrategies. part of Stein’s e ligenon a hee funengaging in convertible bonarbitrage, Stein asks his investment analyst to summarize fferent risks associatewith the strategy.scrihow Time cof call option ccreate concerns for Stein’s proposehee funstrategy. The convertible bonarbitrage strategy close money e to time cof the convertible bons embeecall option ring perio of recerealizeequity volatility anor e to a genercompression of market implievolatility levels.由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。 Time cof call option for onvertible bonarbitrage strategylong convertible bonis similto long pure bonanlong call option on unrlying stock.if the stopriincrease, the convertible bonholr must convert the bonto stoaccorng conversion ratio.the value of call option creases with the time cay.

NO.PZ2019122802000015 1.可转债策略不就是在morate volatility下才合适吗？为什么说市场不温不火就会亏钱呢 2.可转债策略一般不是不行权的吗，为什么说到期会亏？