问一道题：NO.PZ2019122802000017

NO.PZ2019122802000017 问题如下 Sushil Wallais the chief investment officer of a large pension fun Wallawants to increase the pension funs allocation to hee fun anrecently met with three hee funmanagers. These hee fun focus on the following strategies:Hee FunSpecialist—Follows relative value volatility arbitragescrithree paths for implementing the strategy of Hee Fun Hee FunA’s volatility trang strategy cimplementefollowing multiple paths. One path is through simple exchange-traoptions. The maturity of suoptions typically exten to no more thtwo years. In terms of expiry, the longer-teoptions will have more absolute exposure to volatility levels thshorter-teoptions, but the shorter-teoptions will exhibit more lta sensitivity to prichanges.A secon similpath is to implement the volatility trang strategy using OTC options. In this case, the tenor anstrike prices of the options ccustomize The tenor of expiry tes cthen extenbeyonwhis available with exchange-traoptions.A thirpath is to use VIX futures or options on VIX futures a wto more explicitly express a pure volatility view without the neefor constant lta heing of equity put or call for isolating the volatility exposure.A fourth path for implementing a volatility trang strategy woulto purchase OTC volatility swor a varianswfrom a cretworthy counterparty. A volatility swis a forwarcontraon future realizeprivolatility. Similarly, a varianswis a forwarcontraon future realizeprivariance, where varianis the square of volatility. Both volatility anvarianswaps provi “pure” exposure to volatility alone, unlike stanrzeoptions in whithe volatility exposure pen on the priof the unrlying asset anmust isolateanextractevia lta heing.首先只要Specialist— relative value volatility arbitrage，都是short波动率低，long波动率高的，进行套利。这四种都是，只是这四种都有各自的特点，首先就是策略一和策略二都受到lta和gamma的影响（所以要想办法对冲掉），策略三和四不受影响。策略一是通过简单的交易所交易期权。这类期权的到期时间一般不超过两年。从到期日来看，期限较长的期权比期限较短的期权对波动率水平的绝对风险敞口更大，所以是long长期short短期，但期限较短的期权对价格变化表现出更多的lta敏感性，所以对冲掉lta。策略二类似的路径是利用场外期权实施波动率交易策略。在这种情况下，期权的期限和行权价格可以自定义。然后，到期日的期限可以扩展到交易所交易的期权之外。但是会有counterpart risk的风险。对冲掉lta和gamma方法，lta对冲很简答，lta是一阶导，说白了就是同涨同跌，如果lta是,1，那就是stock涨了10，option涨了10，有十张call就做空10股stock，如果是-1，比如put，有十张put，那就做多10股stock。至于gamma，假设100股C股票涨了1%，然后*100股，就涨了100对吧，而买的这个C股票的call因为gamma的原因没有百分百的对冲，涨了1.2%，对应就是涨了120对吧。那现在多了120-100=20，就卖空20股C股票，这样就100%的对冲了。 relative value volatility arbitrage实际就是套利，赚取sprea做空高估volatility的，做多类似的低估volatility。但是有的（比如策略一和策略二，的期权）实施这个策略会有lta和gamma的影响（大概说下就是期权会有方向性的lta和二阶导的gamma等因素影响），但是我不想受除了volatility以外的因素影响，就需要借助工具对冲掉，对吧，但是一般都不能完全对冲干净其它影响因素，这样套利就很受影响。这里策略三 实际VIX Inx futures (or options on VIX futures)，本质就是一个专门交易volatility的inx的future或者volatility的inx的future的期权（有点绕口，可以理解就是前面的future为底层资产的option）。因为只交易volatility，所以影响因素只有volatility，这时候，就只考虑做多低估的volatility的future做空类似的高估的volatility的future。而不用担心受到lta和gamma的影响了。策略四实际就是互换，用现在的波动换将来的波动率，这个好理解。 请问这种主观题考察概率大吗如果考到的话只写出四个路径的名称能得分吗？实在太多了而且考试的时候可能来不及写。。

NO.PZ2019122802000017问题如下Sushil Wallais the chief investment officer of a large pension fun Wallawants to increase the pension funs allocation to hee fun anrecently met with three hee funmanagers. These hee fun focus on the following strategies:Hee FunSpecialist—Follows relative value volatility arbitragescrithree paths for implementing the strategy of Hee FunA. Hee FunA’s volatility trang strategy cimplementefollowing multiple paths. One path is through simple exchange-traoptions. The maturity of suoptions typically exten to no more thtwo years. In terms of expiry, the longer-teoptions will have more absolute exposure to volatility levels thshorter-teoptions, but the shorter-teoptions will exhibit more lta sensitivity to prichanges.A secon similpath is to implement the volatility trang strategy using OTC options. In this case, the tenor anstrike prices of the options ccustomize The tenor of expiry tes cthen extenbeyonwhis available with exchange-traoptions.A thirpath is to use VIX futures or options on VIX futures a wto more explicitly express a pure volatility view without the neefor constant lta heing of equity put or call for isolating the volatility exposure.A fourth path for implementing a volatility trang strategy woulto purchase OTC volatility swor a varianswfrom a cretworthy counterparty. A volatility swis a forwarcontraon future realizeprivolatility. Similarly, a varianswis a forwarcontraon future realizeprivariance, where varianis the square of volatility. Both volatility anvarianswaps provi “pure” exposure to volatility alone, unlike stanrzeoptions in whithe volatility exposure pen on the priof the unrlying asset anmust isolateanextractevia lta heing.首先只要Specialist— relative value volatility arbitrage，都是short波动率低，long波动率高的，进行套利。这四种都是，只是这四种都有各自的特点，首先就是策略一和策略二都受到lta和gamma的影响（所以要想办法对冲掉），策略三和四不受影响。策略一是通过简单的交易所交易期权。这类期权的到期时间一般不超过两年。从到期日来看，期限较长的期权比期限较短的期权对波动率水平的绝对风险敞口更大，所以是long长期short短期，但期限较短的期权对价格变化表现出更多的lta敏感性，所以对冲掉lta。策略二类似的路径是利用场外期权实施波动率交易策略。在这种情况下，期权的期限和行权价格可以自定义。然后，到期日的期限可以扩展到交易所交易的期权之外。但是会有counterpart risk的风险。对冲掉lta和gamma方法，lta对冲很简答，lta是一阶导，说白了就是同涨同跌，如果lta是,1，那就是stock涨了10，option涨了10，有十张call就做空10股stock，如果是-1，比如put，有十张put，那就做多10股stock。至于gamma，假设100股C股票涨了1%，然后*100股，就涨了100对吧，而买的这个C股票的call因为gamma的原因没有百分百的对冲，涨了1.2%，对应就是涨了120对吧。那现在多了120-100=20，就卖空20股C股票，这样就100%的对冲了。 relative value volatility arbitrage实际就是套利，赚取sprea做空高估volatility的，做多类似的低估volatility。但是有的（比如策略一和策略二，的期权）实施这个策略会有lta和gamma的影响（大概说下就是期权会有方向性的lta和二阶导的gamma等因素影响），但是我不想受除了volatility以外的因素影响，就需要借助工具对冲掉，对吧，但是一般都不能完全对冲干净其它影响因素，这样套利就很受影响。这里策略三 实际VIX Inx futures (or options on VIX futures)，本质就是一个专门交易volatility的inx的future或者volatility的inx的future的期权（有点绕口，可以理解就是前面的future为底层资产的option）。因为只交易volatility，所以影响因素只有volatility，这时候，就只考虑做多低估的volatility的future做空类似的高估的volatility的future。而不用担心受到lta和gamma的影响了。策略四实际就是互换，用现在的波动换将来的波动率，这个好理解。 why3，4不受lta，gamma影响，谢谢。如题，请详解，谢谢

NO.PZ2019122802000017 问题如下 Sushil Wallais the chief investment officer of a large pension fun Wallawants to increase the pension funs allocation to hee fun anrecently met with three hee funmanagers. These hee fun focus on the following strategies:Hee FunSpecialist—Follows relative value volatility arbitragescrithree paths for implementing the strategy of Hee Fun Hee FunA’s volatility trang strategy cimplementefollowing multiple paths. One path is through simple exchange-traoptions. The maturity of suoptions typically exten to no more thtwo years. In terms of expiry, the longer-teoptions will have more absolute exposure to volatility levels thshorter-teoptions, but the shorter-teoptions will exhibit more lta sensitivity to prichanges.A secon similpath is to implement the volatility trang strategy using OTC options. In this case, the tenor anstrike prices of the options ccustomize The tenor of expiry tes cthen extenbeyonwhis available with exchange-traoptions.A thirpath is to use VIX futures or options on VIX futures a wto more explicitly express a pure volatility view without the neefor constant lta heing of equity put or call for isolating the volatility exposure.A fourth path for implementing a volatility trang strategy woulto purchase OTC volatility swor a varianswfrom a cretworthy counterparty. A volatility swis a forwarcontraon future realizeprivolatility. Similarly, a varianswis a forwarcontraon future realizeprivariance, where varianis the square of volatility. Both volatility anvarianswaps provi “pure” exposure to volatility alone, unlike stanrzeoptions in whithe volatility exposure pen on the priof the unrlying asset anmust isolateanextractevia lta heing.首先只要Specialist— relative value volatility arbitrage，都是short波动率低，long波动率高的，进行套利。这四种都是，只是这四种都有各自的特点，首先就是策略一和策略二都受到lta和gamma的影响（所以要想办法对冲掉），策略三和四不受影响。策略一是通过简单的交易所交易期权。这类期权的到期时间一般不超过两年。从到期日来看，期限较长的期权比期限较短的期权对波动率水平的绝对风险敞口更大，所以是long长期short短期，但期限较短的期权对价格变化表现出更多的lta敏感性，所以对冲掉lta。策略二类似的路径是利用场外期权实施波动率交易策略。在这种情况下，期权的期限和行权价格可以自定义。然后，到期日的期限可以扩展到交易所交易的期权之外。但是会有counterpart risk的风险。对冲掉lta和gamma方法，lta对冲很简答，lta是一阶导，说白了就是同涨同跌，如果lta是,1，那就是stock涨了10，option涨了10，有十张call就做空10股stock，如果是-1，比如put，有十张put，那就做多10股stock。至于gamma，假设100股C股票涨了1%，然后*100股，就涨了100对吧，而买的这个C股票的call因为gamma的原因没有百分百的对冲，涨了1.2%，对应就是涨了120对吧。那现在多了120-100=20，就卖空20股C股票，这样就100%的对冲了。 relative value volatility arbitrage实际就是套利，赚取sprea做空高估volatility的，做多类似的低估volatility。但是有的（比如策略一和策略二，的期权）实施这个策略会有lta和gamma的影响（大概说下就是期权会有方向性的lta和二阶导的gamma等因素影响），但是我不想受除了volatility以外的因素影响，就需要借助工具对冲掉，对吧，但是一般都不能完全对冲干净其它影响因素，这样套利就很受影响。这里策略三 实际VIX Inx futures (or options on VIX futures)，本质就是一个专门交易volatility的inx的future或者volatility的inx的future的期权（有点绕口，可以理解就是前面的future为底层资产的option）。因为只交易volatility，所以影响因素只有volatility，这时候，就只考虑做多低估的volatility的future做空类似的高估的volatility的future。而不用担心受到lta和gamma的影响了。策略四实际就是互换，用现在的波动换将来的波动率，这个好理解。 请问一下讲义上的下面三个examples不属于path吗:Time-zone arbitrageCross-asset volatility trangOutright long volatility trars

NO.PZ2019122802000017 问题如下 Sushil Wallais the chief investment officer of a large pension fun Wallawants to increase the pension funs allocation to hee fun anrecently met with three hee funmanagers. These hee fun focus on the following strategies:Hee FunSpecialist—Follows relative value volatility arbitragescrithree paths for implementing the strategy of Hee Fun Hee FunA’s volatility trang strategy cimplementefollowing multiple paths. One path is through simple exchange-traoptions. The maturity of suoptions typically exten to no more thtwo years. In terms of expiry, the longer-teoptions will have more absolute exposure to volatility levels thshorter-teoptions, but the shorter-teoptions will exhibit more lta sensitivity to prichanges.A secon similpath is to implement the volatility trang strategy using OTC options. In this case, the tenor anstrike prices of the options ccustomize The tenor of expiry tes cthen extenbeyonwhis available with exchange-traoptions.A thirpath is to use VIX futures or options on VIX futures a wto more explicitly express a pure volatility view without the neefor constant lta heing of equity put or call for isolating the volatility exposure.A fourth path for implementing a volatility trang strategy woulto purchase OTC volatility swor a varianswfrom a cretworthy counterparty. A volatility swis a forwarcontraon future realizeprivolatility. Similarly, a varianswis a forwarcontraon future realizeprivariance, where varianis the square of volatility. Both volatility anvarianswaps provi “pure” exposure to volatility alone, unlike stanrzeoptions in whithe volatility exposure pen on the priof the unrlying asset anmust isolateanextractevia lta heing.首先只要Specialist— relative value volatility arbitrage，都是short波动率低，long波动率高的，进行套利。这四种都是，只是这四种都有各自的特点，首先就是策略一和策略二都受到lta和gamma的影响（所以要想办法对冲掉），策略三和四不受影响。策略一是通过简单的交易所交易期权。这类期权的到期时间一般不超过两年。从到期日来看，期限较长的期权比期限较短的期权对波动率水平的绝对风险敞口更大，所以是long长期short短期，但期限较短的期权对价格变化表现出更多的lta敏感性，所以对冲掉lta。策略二类似的路径是利用场外期权实施波动率交易策略。在这种情况下，期权的期限和行权价格可以自定义。然后，到期日的期限可以扩展到交易所交易的期权之外。但是会有counterpart risk的风险。对冲掉lta和gamma方法，lta对冲很简答，lta是一阶导，说白了就是同涨同跌，如果lta是,1，那就是stock涨了10，option涨了10，有十张call就做空10股stock，如果是-1，比如put，有十张put，那就做多10股stock。至于gamma，假设100股C股票涨了1%，然后*100股，就涨了100对吧，而买的这个C股票的call因为gamma的原因没有百分百的对冲，涨了1.2%，对应就是涨了120对吧。那现在多了120-100=20，就卖空20股C股票，这样就100%的对冲了。 relative value volatility arbitrage实际就是套利，赚取sprea做空高估volatility的，做多类似的低估volatility。但是有的（比如策略一和策略二，的期权）实施这个策略会有lta和gamma的影响（大概说下就是期权会有方向性的lta和二阶导的gamma等因素影响），但是我不想受除了volatility以外的因素影响，就需要借助工具对冲掉，对吧，但是一般都不能完全对冲干净其它影响因素，这样套利就很受影响。这里策略三 实际VIX Inx futures (or options on VIX futures)，本质就是一个专门交易volatility的inx的future或者volatility的inx的future的期权（有点绕口，可以理解就是前面的future为底层资产的option）。因为只交易volatility，所以影响因素只有volatility，这时候，就只考虑做多低估的volatility的future做空类似的高估的volatility的future。而不用担心受到lta和gamma的影响了。策略四实际就是互换，用现在的波动换将来的波动率，这个好理解。 这道题目答案这么长 我如果只写1.exchangetraoption2.OTC option3.Swap能得分吗？ 如果不是这题的得分Bullet Points在哪

NO.PZ2019122802000017 问题如下 Sushil Wallais the chief investment officer of a large pension fun Wallawants to increase the pension funs allocation to hee fun anrecently met with three hee funmanagers. These hee fun focus on the following strategies:Hee FunSpecialist—Follows relative value volatility arbitragescrithree paths for implementing the strategy of Hee Fun Hee FunA’s volatility trang strategy cimplementefollowing multiple paths. One path is through simple exchange-traoptions. The maturity of suoptions typically exten to no more thtwo years. In terms of expiry, the longer-teoptions will have more absolute exposure to volatility levels thshorter-teoptions, but the shorter-teoptions will exhibit more lta sensitivity to prichanges.A secon similpath is to implement the volatility trang strategy using OTC options. In this case, the tenor anstrike prices of the options ccustomize The tenor of expiry tes cthen extenbeyonwhis available with exchange-traoptions.A thirpath is to use VIX futures or options on VIX futures a wto more explicitly express a pure volatility view without the neefor constant lta heing of equity put or call for isolating the volatility exposure.A fourth path for implementing a volatility trang strategy woulto purchase OTC volatility swor a varianswfrom a cretworthy counterparty. A volatility swis a forwarcontraon future realizeprivolatility. Similarly, a varianswis a forwarcontraon future realizeprivariance, where varianis the square of volatility. Both volatility anvarianswaps provi “pure” exposure to volatility alone, unlike stanrzeoptions in whithe volatility exposure pen on the priof the unrlying asset anmust isolateanextractevia lta heing.首先只要Specialist— relative value volatility arbitrage，都是short波动率低，long波动率高的，进行套利。这四种都是，只是这四种都有各自的特点，首先就是策略一和策略二都受到lta和gamma的影响（所以要想办法对冲掉），策略三和四不受影响。策略一是通过简单的交易所交易期权。这类期权的到期时间一般不超过两年。从到期日来看，期限较长的期权比期限较短的期权对波动率水平的绝对风险敞口更大，所以是long长期short短期，但期限较短的期权对价格变化表现出更多的lta敏感性，所以对冲掉lta。策略二类似的路径是利用场外期权实施波动率交易策略。在这种情况下，期权的期限和行权价格可以自定义。然后，到期日的期限可以扩展到交易所交易的期权之外。但是会有counterpart risk的风险。对冲掉lta和gamma方法，lta对冲很简答，lta是一阶导，说白了就是同涨同跌，如果lta是,1，那就是stock涨了10，option涨了10，有十张call就做空10股stock，如果是-1，比如put，有十张put，那就做多10股stock。至于gamma，假设100股C股票涨了1%，然后*100股，就涨了100对吧，而买的这个C股票的call因为gamma的原因没有百分百的对冲，涨了1.2%，对应就是涨了120对吧。那现在多了120-100=20，就卖空20股C股票，这样就100%的对冲了。 relative value volatility arbitrage实际就是套利，赚取sprea做空高估volatility的，做多类似的低估volatility。但是有的（比如策略一和策略二，的期权）实施这个策略会有lta和gamma的影响（大概说下就是期权会有方向性的lta和二阶导的gamma等因素影响），但是我不想受除了volatility以外的因素影响，就需要借助工具对冲掉，对吧，但是一般都不能完全对冲干净其它影响因素，这样套利就很受影响。这里策略三 实际VIX Inx futures (or options on VIX futures)，本质就是一个专门交易volatility的inx的future或者volatility的inx的future的期权（有点绕口，可以理解就是前面的future为底层资产的option）。因为只交易volatility，所以影响因素只有volatility，这时候，就只考虑做多低估的volatility的future做空类似的高估的volatility的future。而不用担心受到lta和gamma的影响了。策略四实际就是互换，用现在的波动换将来的波动率，这个好理解。 outright long options(exchange-traor OTC tra, buy option when volatility is unrvalue short option when volatioity is overvaluethis statergy cprovi versifier for long equity.using vix inx futures, long futures when volatility is expecteto increaseusing volatility swor varianswap, enter a payer swwhen volatility is expecteto increase