NO.PZ202206260100000504
问题如下：
Which of the trades undertaken by the Taurus Fund is most likely to accomplish the objective that Rivas sets as the reason for considering the strategy?选项：
A.Trade 1 B.Trade 2 C.Trade 3解释：
SolutionC is correct. Equities and volatility are negatively correlated. In order to hedge the equity exposure in the portfolio, a long volatility position is necessary. Trade 1, a short volatility position, will not hedge the equity position since a long volatility position is needed. Trade 2 is also a short position in volatility; the intent is to collect a premium for selling volatility. This trade will sell off at the same time as equities are selling off and, therefore, provide a hedge. Trade 3 is an outright purchase of volatility via a swap, which provides a pure long exposure and would hedge the existing equity exposure in the portfolio.
A is incorrect. A short volatility position will not hedge the equity position since a long volatility position is needed.
B is incorrect. Trade 2 is a short position in volatility; the intent is to collect a premium for selling volatility. This trade will sell off at the same time as equities are selling off and, therefore, does not provide a hedge.
请帮忙看看我的理解是否正确：
1）如果希望承受更低的波动，那就是降低波动的exposure。
2）如果想要降低exposure，应该做空VIX futures, 或者做空variance/volatility swap （也就是作为payer进入swap；也就是收固定（strike volatility)，付浮动（actual volatility)）。
3）问题来了，trade 3不是在增加波动的敞口吗？如果想要hedge掉equity risk,不是应该降低波动的敞口吗？所以需要麻烦老师帮忙解释一下这句话：Equities and volatility are negatively correlated. In order to hedge the equity exposure in the portfolio, a long volatility position is necessary.
