NO.PZ202212300200003402
问题如下：
Kelly meets
with Anusha Bandla, another high-net-worth client, who expects very little
price movement in BKLN. Bandla evaluates the options strategies to take
advantage of BKLN’s volatility and makes the following three statements:
Statement 1: For a 1% move in the
options volatility, the value of an ATM straddle would change by $0.506.
Statement 2: A short volatility
strategy can be established by implementing an ATM straddle.
Statement 3: To protect downside
risk, a collar strategy can be implemented by adding a long put to a covered
call position.
Which
of Bandla’s statements is least likely correct?
选项：
A.Statement 1
Statement 2
Statement 3
解释：
Statement 1 is incorrect：
Vega of ATM options
with a strike price of $510 is 0.320
Vega of straddle =
0.320 + 0.320 = 0.640
For a 1% move in the
options volatility, the value of ATM straddle would change by $0.640.
Statement 2 is correct：
ATM straddle = Call
delta + Put delta = 0.506 + (– 0.514) = –0.008
Negative delta results
in a short volatility position.
Statement 3 is correct：
Collar = Protective put
+ Short call (OTM)
Collar = Covered call +
Long put (OTM)
Covered call = Long
stock + Short OTM call
Protective put = Long
stock + Long put
不是说Long straddle 是看波动率上升的策略么，short straddle反之，为什么，这个题为什么出现这个与讲义不同的结论，本质是什么，实务中存在什么现象可以解释
