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sion · 2025年03月24日

关于statement 2

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NO.PZ202204250100000301

问题如下:

A. Determine whether Novak’s statements are correct. Justify your response for each statement.

选项:

解释:

Statement 1 is correct.

If the VIX futures curve is in contango and volatility remains unchanged during the term structure, the VIX futures price will converge toward the VIX spot price, and both futures and spot price will decline as they approach expiration. Hence, the trader who is long VIX futures would realize roll-down losses.

Statement 2 is incorrect.

The VIX, also referred to as the “fear index,” is a measure of investors’ expectations of volatility within a certain time period. VIX options are negatively correlated with the underlying equity prices. A trader usually buys a VIX call option when the volatility increases, which could precipitate a sell-off in the equity market.

Buying VIX options is relatively cheaper than VIX futures 这个结论对吗?

1 个答案

李坏_品职助教 · 2025年03月24日

嗨,努力学习的PZer你好:


不对的。


VIX期权与VIX期货之间谁更便宜,不能一概而论。虽然买入期权可以避免期货带来的展期成本,但是期权费是一次性支出,期货不需要0时刻支出这么多成本。而且期权费取决于市场波动性,在动荡的市场中,过高的期权费也会使得VIX期权成本更高。

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努力的时光都是限量版,加油!

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NO.PZ202204250100000301 问题如下 QUESTION 3 TOPIRIVATIVES TOTPOINT VALUE OF THIS QUESTION SET IS 12 POINTS Mikel Novis a rivatives analyst Think SpreAisors, a consulting firm specializing in structureprocts anrivatives. To intify market opportunities, Novanalyzes macroeconomic tequity tren, prislocations anemerging risks quantitative mols. Novak’s clients inclu hee fun, asset managers aninstitutioninvestors. Novis currently assisting Brie ForCapital, a hee funlocatein Los Angeles, CaliforniBFC expects ththe NASQ Inx will experienincreasevolatility over the next six months anis consiring a rectionbet on the NASQ’s volatility inx (VIX). Novmakes the following statements regarng positions in the volatility tras. Statement 1: The VIX futures curve is in contango, anVIX futures will experienrollwn losses if volatility remains unchangeover the term structure. Statement 2: Buying VIX options is relatively cheaper thVIX futures because of the perfecorrelation with unrlying equity prices. After reviewing the ta on available VIX futures, Isla Hansen, a trar Brie Force, believes taking a long position in VIX futures woulexpensive. Hansen asks Novto suggest a suitable tra in a varianswthes not require initioutlof cash contrainitiation. Novsuggests buying a one-yevarianswap. Its tails are presentein Exhibit 1. Exhibit 1Six months after Hansen purchases the varianswap, the NASQ Inx ha realizevolatility of 21%. Hansen concts researfor her another tra anintifies a new six-month varianswon the NASQ ha fair strike of 18%.Michael Sebastiis a currentrar QueenslanInvestments basein Melbourne, AustraliQueenslanha short position of 60,000,000 Inrupees (INR) in INR/AUforwarcontrathis currently e. Sebastireviews the position with Novaninforms him ththe Ina assets unr management grew 5%. Sebastiis concerneabout the INR exposure but es not have a rectionview on the exchange rate movement in the INR/USspot rate. To hee the risk of the INR position, Novsuggests rolling the forwarcontraover using a three-month currenswanpresents the ta in Exhibit 2. INR/AUforwarpoints are scale100.Exhibit 2 termine whether Novak’s statements are correct. Justify your response for eastatement. Statement 1 is correct. If the VIX futures curve is in contango anvolatility remains unchangering the term structure, the VIX futures priwill converge towarthe VIX spot price, anboth futures anspot priwill cline they approaexpiration. Hence, the trar who is long VIX futures woulrealize roll-wn losses.Statement 2 is incorrect. The VIX, also referreto the “feinx,” is a measure of investors’ expectations of volatility within a certain time perio VIX options are negatively correlatewith the unrlying equity prices. A trar usually buys a VIX call option when the volatility increases, whicoulprecipitate a sell-off in the equity market. The VIX, also referreto the “feinx,” is a measure of investors’ expectations of volatility within a certain time perio VIX options are negatively correlatewith the unrlying equity prices. A trar usually buys a VIX call option when the volatility increases, whicoulprecipitate a sell-off in the equity market.这个有点没太看懂在讲什么

2025-05-12 17:20 1 · 回答