NO.PZ202208100100000204
问题如下：
In her response to Calzada, Dufu is most likely correct about:
选项：
A.writing a straddle.
a short risk reversal trade.
buying calls and writing puts.
解释：
A is correct. Dufu is correct about writing a straddle if the outlook is for the market to trade in a narrow range and a decrease in implied volatility is expected.
B is incorrect. Dufu is incorrect about the short risk reversal strategy. This strategy would be implemented to benefit from an implied volatility skew. Specifically, one would enter this trade if call implied volatility is viewed as being too high relative to put implied volatility––that is, one would sell the OTM call option and buy the OTM put option.
C is incorrect. Dufu is incorrect about buying calls and writing puts. The strategy of buying call options on an index and writing put options on the index is incorrect and would be implemented by an investor who has a bullish view of the market and an expectation that implied volatility will remain unchanged. The sale of puts is used to lower the cost of purchasing the calls.
中文解析：
本题考察的是针对volatility的策略。
题干说Calzada就短期内市场可能窄幅交投的期权策略征求建议。Dufu回答说:“在这种情况下，合适的策略取决于你对隐含波动率变化的预期。
A正确，如果预期市场隐含波动率下降，就可以write a straddle，该策略是正确的。Straddle策略是在赌波动率，如果预测波动率下降可以采取Short straddle或者write straddle策略。
B错误，short risk reversal = long put + short call，该策略在call option的隐含波动率相比于put option的隐含波动率被高估时，可以采用。卖出被高估的call，买进相对被低估的put，但该策略不是针对隐含波动率的策略。
C错误，买入call option，然后short put option，是对市场看涨的策略，并不是针对隐含波动率的策略。
short straddle 是个倒“V”，可获利的区间只有中间部分，很少，但两侧基本是unlimited loss, 如果只是预期波动率下降，出于获利目的，就采用short straddle ，感觉风险实在太大了，short straddle 一般用在什么情形呢？
