麻烦助教老师帮忙看下这题

问题如下：

In comparing the sold call and purchased put strategies at the forward price, VFO's CIO is concerned about how an immediate increase in the volatility of the underlying Biomian shares might affect option value. Which of the following statements about this volatility change and its effect on strategy is most accurate?

选项：

A.

An increase in the volatility of the underlying shares has the same effect on call and put option values, so this change should not affect VFO's strategy decision.

B.

Since changes in the volatility of the underlying shares have the opposite effect on put versus call options, this change will increase the attractiveness of the put strategy versus the call strategy.

C.

An increase in the volatility of the underlying shares will increase both the cost of the purchased put strategy and the premium received on the sold call strategy, so this change will increase the attractiveness of the call strategy versus the put strategy.

解释：

C is correct.

An increase in the volatility of the underlying share price will increase both the upfront premium received on the sold call option and the premium paid on the purchased put option. Therefore, since the purchased put strategy involves an increased upfront payment made by VFO and the sold call strategy involves an increased premium received, the volatility increase will increase the attractiveness of the call strategy versus the put strategy.

中文解析

本题考察的是波动率volatility对期权价格的影响。

不论看涨还是看跌期权，其价格与波动率都是呈正相关关系。因此当波动率增加的时候，看涨和看跌期权的价格都上升。

所以对于long put的策略来说，意味着支付的期权费要更多，对于short call策略来说意味着收到的期权费更多。

所以这种情况下，short call策略的优势更明显。选C。