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Kathy苏苏 · 2023年01月06日

题目不是太明白，麻烦老师详细讲解下。

  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.

题目不是太明白，麻烦老师详细讲解下。谢谢！

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2 个答案

pzqa27 · 2023年04月24日

嗨，努力学习的PZer你好：


题目说了An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility，证明一点，当波动率变高的时候，我们是unfaovrable 的，因此这里原组合是在short volatility，所以我们对冲的时候应该去long vega，做多波动率

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa27 · 2023年01月07日

嗨，努力学习的PZer你好：


这个题说目前的组合波动率变大导致了损失，问我们该怎么去hedge，因此我们要构造一个波动率越大越有利的hedge头寸即可

结合选项来看，短期和长期的option都要分析一下

long 短期期权的theta又负又大，vega是正的但比较小。

long 长期期权的theta是负的比较小，vega是正的且比较大。

所以要获得long vega和long theta的头寸，就要long长期的期权同时short 短期的期权。

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加油吧，让我们一起遇见更好的自己！

水瓶公主 · 2023年04月24日

为什么要long Vega的头寸？题目中只是要找一个theta是正的头寸

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