NO.PZ201601050100000107
问题如下：
Gupta interviews a currency overlay manager on behalf of Portfolio A. The foreign currency overlay manager describes volatility-based trading, compares volatility-based trading strategies and explains how the firm uses currency options to establish positions in the foreign exchange market. The overlay manager states:
Statement 1 "Given the current stability in financial markets, several traders at our firm take advantage of the fact that most options expire out-of-the money and therefore are net-short volatility."
Statement 2 "Traders that want to minimize the impact of unanticipated price volatility are net-long volatility."
Comppare Statement 1 and Statement 2 and identify which best explains the view of a speculative volatility trader and which best explains the view of a hedger of volatility. Justify your response.
选项：
解释：
Statements 1 and 2 compare differences between speculative volatility traders and hedgers of volatility. Statement 1 best explains the view of a speculative volatility trader. Speculative volatility traders often want to be net-short volatility, if they believe that market conditions will remains stable. The reason for this is that most options expire out-of-the money, and the option writer can then keep the option premium as a payment earned for accepting volatility risk. (Speculative volatility traders would want to be long volatility if they thought volatility was likely to increase.) Statement 2 best describes the view of a hedger of volatility. Most hedgers are net-long volatility since they want to buy protection from unanticipated price volatility. Buying currency risk protection generally means a long option position. This can be thought of as paying an insurance premium for protection against exchange rate volatility.
中文解析：
陈述1和陈述2比较投机性波动率交易者和波动率套期保值者之间的差异。
表述一最好地解释了投机性波动交易者的观点。投机性波动交易者通常希望净做空波动，如果他们相信市场状况将保持稳定。这样做的原因是，大多数期权在到期时仍然是OTM状态，期权卖方可以将期权费作为接受波动性风险的报酬。
表述二最好地描述了波动性对冲者的观点。大多数对冲者都是净多头波动，因为他们想从意料之外的价格波动中购买保护。购买保护通常意味着做多期权头寸。这可以被认为是为防止汇率波动而支付的保险费。
请问老师，statement 2用net long是因为本题用的是volatility option吗？
volatility trading有三种工具可用，futures、option和SWAP。基于statement 2的unanticipated volatility观点：
如果用futures是采用long/short且volatility中性吗？
如果用option就是net long，因为long option可以不行权，但保留了short option的风险敞口 ；
如果有swap，是用long variance swap吗？因为long variance swap=long gamma。
