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简ying · 2022年11月13日

关于B选项

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208100100000303

问题如下：

Which trade is Tryon most likely to implement to establish his equity market hedge?

选项：

A.

Trade 1

B.

Trade 2

C.

Trade 3

解释：

Solution

C is correct. Variance swaps have a valuable convexity feature—as realized volatility increases (decreases), the positive (negative) swap payoffs increase (decrease)—which makes them particularly attractive for hedging long equity portfolios. Because the volatility curve is in contango—that is, higher volatility is priced into the curve—Trade 1 is likely to experience roll-down losses as the futures price converges or is “pulled down” to the spot price. Trade 2 would benefit from a decrease rather than an increase in volatility; an alternative trade in the options space would be to buy call options to hedge the portfolio.

A is incorrect. Trade 1 is likely to experience roll-down losses as the futures price converges or is “pulled down” to the spot price.

B is incorrect. VIX put options would be bought to profit from an expectation that volatility will decrease because of stable equity market conditions.

预计volatility会变大，future的价格变高，out of money的put option不会被行权，sell put option的一方净赚一系列期权费，获得收益，这个思路哪里错了？另外，看了对前面同学问题的回答，为啥预计股价下跌，就要long put option？股价下跌通常伴随volatility变大，VIX future的价格变高，难道不是long call？


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1 个答案

Hertz_品职助教 · 2022年11月14日

嗨，努力学习的PZer你好：


同学你好

 

1.     预计volatility会变大，future的价格变高，out of money的put option不会被行权，sell put option的一方净赚一系列期权费，获得收益，这个思路哪里错了？

的确这样思考是可以的，因为这的确是可以赚钱的。但是综合一下三个选项，C选项是很明显对的。而B选项之所以没有选，思考是这样的：

一般当我们预测标的资产上涨的时候，如果使用期权，常规的思路就是long call。因为long call的话，它的收益是没有上限的，而short put获得期权费，收益其实是确定下来的，不能随着标的上涨而获得更高的收益。所以从这个角度我们就排除了B。

2.     另外，看了对前面同学问题的回答，为啥预计股价下跌，就要long put option？股价下跌通常伴随volatility变大，VIX future的价格变高，难道不是long call？

这里需要注意区分：

VIX futures的标的是VIX指数，恐慌指数，说白了就是波动率。

所以预测标的上涨（也就是这里的标的波动率上涨），就是long call。

那如果标的是股票呢，中间就多了一层，股价的波动率增加，就是股价上下波动的幅度更大了，有了更多的不确定性。如果是价格上涨我们很开心；但是如果波动到很低，我们就很担心了，所以应该long put来提供保护。

 

所以需要区分二者的标的不同，以波动率为标的的期权，在波动率上涨的时候是long call；

而以股票为标的的期权，波动率增加，意味着标的资产股票的价格充满了不确定性，就应该long put买保护。

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