NO.PZ2023010407000015
问题如下：
Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to increase the pension fund’s allocation to hedge funds and recently met with three hedge fund managers. These hedge funds focus on the following strategies:
Hedge Fund A: Specialist—Follows relative value volatility arbitrage
Describe three paths for implementing the strategy of Hedge Fund A.
选项：
解释：
Hedge Fund A’s
volatility trading strategy can be implemented by following multiple paths. One
path is through simple exchange-traded options. The maturity of such options
typically extends to no more than two years. In terms of expiry, the
longer-dated options will have more absolute exposure to volatility levels than
shorter-dated options, but the shorter-dated options will exhibit more delta
sensitivity to price changes.
A second, similar
path is to implement the volatility trading strategy using OTC options. In this
case, the tenor and strike prices of the options can be customized. The tenor
of expiry dates can then be extended beyond what is available with
exchange-traded options.
A third path is to
use VIX futures or options on VIX futures as a way to more explicitly express a
pure volatility view without the need for constant delta hedging of an equity
put or call for isolating the volatility exposure.
A fourth path for
implementing a volatility trading strategy would be to purchase an OTC
volatility swap or a variance swap from a creditworthy counterparty. A
volatility swap is a forward contract on future realized price volatility.
Similarly, a variance swap is a forward contract on future realized price
variance, where variance is the square of volatility. Both volatility and
variance swaps provide “pure” exposure to volatility alone, unlike standardized
options in which the volatility exposure depends on the price of the underlying
asset and must be isolated and extracted via delta hedging.
请问老师这样答可以不
