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?