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S__ · 2023年12月29日

为啥sell equity call option是sell volatility

NO.PZ2022062601000026

问题如下:

Company H has shifted to a hedge fund strategy that focuses specifically on volatility trading. Add this fund (Fund A) to the investor's investment portfolio in an effort to hedge long equity positions. Fund A typically implement the following three types of transactions in their strategies:

  • Trade 1: Sell exchange-traded and over-the-counter equity call options on a market index.
  • Trade 2: Sell VIX futures to capture the volatility premium and roll-down payoff.
  • Trade 3: Purchase a receiver volatility swap with an at-inception fair value of zero.
Which transactions are most likely to achieve the goals set by Company H as a reason for considering this strategy?

选项:

A.

Trade 1

B.

Trade 2

C.

Trade 3

解释:

C is correct. There is a negative correlation between equities and volatility. A long volatility positions are necessary to hedge equity exposure in investment portfolios. Trade 1 is a short volatility position and will not hedge against equity positions as it requires a long volatility position. Trade 2 is also a short position in volatility; Its purpose is to charge a premium for selling volatility. This type of transaction will be carried out simultaneously with the equity sell-off, providing hedging. Trade 3 is a direct purchase of volatility through swaps, providing a pure long exposure and hedging 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 not correct. Trading 2 is a short position in volatility; Its purpose is to charge a premium for selling volatility. This type of transaction will be sold simultaneously with the stock sell-off, therefore no hedging is provided.

知识点考察:volatility trading

从题干看出其目的是要对冲做多股票的风险敞口,而股票和波动率成反向关系,所以应该做多波动率来达到题干的目的。而trade1 2 3中只有trade 3是做多波动率的。所以选项trade 3


如题

为啥sell equity call option是sell volatility

2 个答案

伯恩_品职助教 · 2023年12月29日

嗨,从没放弃的小努力你好:


补充一句,但是sell equity call option做空波动率的同时还是做空股价,相对波动率,股价的变化才是主要影响

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伯恩_品职助教 · 2023年12月29日

嗨,爱思考的PZer你好:


call这里你就当做是option,期权是有波动的,而且期权的价格和波动率是正相关的,所以波动率上涨,期权价格就高,做多期权就相当于做多波动率,反之做空期权就相当于做空波动率

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