statement2可以麻烦解释一下吗

问题如下：

QUESTION 3

TOPIC: DERIVATIVES

TOTAL POINT VALUE OF THIS QUESTION SET IS 12 POINTS

Mikel Novak is a derivatives analyst at Think Spread Advisors, a consulting firm specializing in structured products and derivatives. To identify market opportunities, Novak analyzes macroeconomic data, equity trends, price dislocations and emerging risks quantitative models. Novak’s clients include hedge funds, asset managers and institutional investors.

Novak is currently assisting Bridge Force Capital, a hedge fund located in Los Angeles, California. BFC expects that the NASDAQ Index will experience increased volatility over the next six months and is considering a directional bet on the NASDAQ’s volatility index (VIX). Novak makes the following statements regarding positions in the volatility trades.

Statement 1: The VIX futures curve is in contango, and VIX futures will experience rolldown losses if volatility remains unchanged over the term structure.

Statement 2: Buying VIX options is relatively cheaper than VIX futures because of the perfect correlation with underlying equity prices.

After reviewing the data on available VIX futures, Isla Hansen, a trader at Bridge Force, believes taking a long position in VIX futures would be expensive. Hansen asks Novak to suggest a suitable trade in a variance swap that does not require an initial outlay of cash at contract initiation. Novak suggests buying a one-year variance swap. Its details are presented in Exhibit 1.

Exhibit 1

Six months after Hansen purchases the variance swap, the NASDAQ Index has a realized volatility of 21%. Hansen conducts research for her another trade and identifies a new six-month variance swap on the NASDAQ has a fair strike of 18%.

Michael Sebastian is a currency trader at Queensland Investments based in Melbourne, Australia. Queensland has a short position of 60,000,000 Indian rupees (INR) in an INR/AUD forward contract that is currently due. Sebastian reviews the position with Novak and informs him that the India assets under management grew by 5%. Sebastian is concerned about the INR exposure but does not have a directional view on the exchange rate movement in the INR/USD spot rate. To hedge the risk of the INR position, Novak suggests rolling the forward contract over using a three-month currency swap and presents the data in Exhibit 2. INR/AUD forward points are scaled by 100.

Exhibit 2

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.