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YI YU · 2024年11月04日

答案C

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000142

问题如下：

Mr. Black has been asked by a client to write a large put option on the S&P 500 index. The option has an exercise price and a maturity that is not available for options traded on exchanges. He, therefore, has to hedge the position dynamically. Which of the following statements about the risk of his position are not correct?

选项：

A.

He can make his portfolio delta neutral by shorting index futures contracts.

B.

There is a short position in an S&P 500 futures contract that will make his portfolio insensitive to both small and large moves in the S&P 500.

C.

A long position in a traded option on the S&P 500 will help hedge the volatility risk of the option he has written.

D.

To make his hedged portfolio gamma neutral, he needs to take positions in options as well as futures.

解释：

请问能讲解一下答案C吗

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2 个答案

pzqa39 · 2024年11月05日

嗨，从没放弃的小努力你好：


并不一定特指 long call，它可以是 long call 或 long put，取决于实际的对冲需求。在对冲波动率风险时，关键是选择一个能够随着波动率上升而增值的头寸，而不仅仅是价格上涨。


你提到的风险是价格下跌的风险，但是选项C说的是波动率风险，如果他主要关注波动率风险，那么只要选择一个受波动率影响的期权（不论是看涨还是看跌）即可，因为波动率上升会导致两种期权的价格都上升。

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pzqa39 · 2024年11月04日

嗨，从没放弃的小努力你好：


C选项说持有的一份在S&P 500上交易的期权的多头头寸可以帮助他对冲卖出看跌期权的波动率风险。


卖出一份看跌期权时，他面临市场价格波动带来的风险。市场波动性越大，期权的价值可能会上升，这可能导致他亏损。为了减轻这种风险，可以购买一份在S&P 500上交易的期权。

如果市场波动性增加，导致他卖出的看跌期权价值上升，他买入的期权可能也会升值。这样，他可以用这份期权的盈利来抵消他可能面临的损失。



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YI YU · 2024年11月05日

答案C 说A long position in a traded option是指long call吗？ 他卖出一份看跌期权，在价格下跌时候对方行权他会亏钱， 如果他买入一份看涨期权， 只有在价格上涨时候他才会盈利，那不是也不能hedge他的position吗

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