问题如下图：
选项：
A. 
B. 
C. 
解释：
第二个月和第一个月的speed更大 应该买两个月卖1个月呀
NO.PZ2017121101000010 问题如下 A volatility trar observes ththe VIX term structure is upwarsloping. In particular, the VIX is 13.50, the front-month futures contratras 14.10, anthe seconmonth futures contratras 15.40. Assuming the shape of the VIX term structure will remain constant over the next three-month perio the trar cis to implement a tra thwoulprofit from the VIX carry roll wn. She will most likely purchase the: A.VIX ansell the VIX secon month futures. B.VIX ansell the VIX front- month futures. C.VIX front- month futures ansell the VIX secon month futures. C is correct. VIX futures converge to the spot VIX expiration approaches, anthe two must equexpiration. When the VIX futures curve is in contango anassuming volatility remains stable, the VIX futures will get “pulle closer to the spot VIX, anthey will crease in prithey approaexpiration. Trars calculate the fferenbetween the front-month VIX futures prianthe VIX 0.60, anthe sprebetween the front-month anthe seconmonth futures is 1.30. Assuming ththe spreclines linearly until settlement, the trar woulrealize roll-wn gains the sprecreases from 1.30 to 0.60 the front-month futures approaches its expiration. expiration, VIX futures are equto the VIX, anthe sprewith the olseconmonth (annow the front- month) futures contrawill 0.60. Finally, sinone cannot rectly invest in the VIX, tras focusing on the VIX term structure must implementeusing either VIX futures or VIX options, so Answers A anB are not feasible.中文解析这里考察的是“The VIX carry roll wn”的知识点 首先我们需要注意的一点是，VIX是不能直接进行买卖的，所以A和B中说直接purchase VIX直接排除掉。（考试的时候也是，看到这种直接买卖VIX的表述，不用思考直接pass）C对应的是purchase VIX front- month futures ansell theVIX secon month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。所以选 这道题很奇怪，已知VIX是斜向上了，为何还要买一个月的future?为何要亏这笔钱？VIX future是怎么结算的？到期时，看签订时定好的执行价格和现货VIX的价差结算吗？
NO.PZ2017121101000010 问题如下 A volatility trar observes ththe VIX term structure is upwarsloping. In particular, the VIX is 13.50, the front-month futures contratras 14.10, anthe seconmonth futures contratras 15.40. Assuming the shape of the VIX term structure will remain constant over the next three-month perio the trar cis to implement a tra thwoulprofit from the VIX carry roll wn. She will most likely purchase the: A.VIX ansell the VIX secon month futures. B.VIX ansell the VIX front- month futures. C.VIX front- month futures ansell the VIX secon month futures. C is correct. VIX futures converge to the spot VIX expiration approaches, anthe two must equexpiration. When the VIX futures curve is in contango anassuming volatility remains stable, the VIX futures will get “pulle closer to the spot VIX, anthey will crease in prithey approaexpiration. Trars calculate the fferenbetween the front-month VIX futures prianthe VIX 0.60, anthe sprebetween the front-month anthe seconmonth futures is 1.30. Assuming ththe spreclines linearly until settlement, the trar woulrealize roll-wn gains the sprecreases from 1.30 to 0.60 the front-month futures approaches its expiration. expiration, VIX futures are equto the VIX, anthe sprewith the olseconmonth (annow the front- month) futures contrawill 0.60. Finally, sinone cannot rectly invest in the VIX, tras focusing on the VIX term structure must implementeusing either VIX futures or VIX options, so Answers A anB are not feasible.中文解析这里考察的是“The VIX carry roll wn”的知识点 首先我们需要注意的一点是，VIX是不能直接进行买卖的，所以A和B中说直接purchase VIX直接排除掉。（考试的时候也是，看到这种直接买卖VIX的表述，不用思考直接pass）C对应的是purchase VIX front- month futures ansell theVIX secon month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。所以选 老师你好，这里有点不明白“C对应的是purchase VIX front- month futures ansell the VIX secon month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。\"中说”一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6“，但是C没有提到13.5 VIX的事情呀，C不是只有”front VIX和seconVIX吗，应该只有“由15.4降到了14.1，赚了1.3”呀谢谢老师
NO.PZ2017121101000010 我记得是不是说过contango的情况下， 应该short futures但是为了防止volatility变大，我们就long VIX现货， 那这题为什么不选A呢？
NO.PZ2017121101000010 请问，front-month和seconmonth分别是几月呢?为什么3个月以后赚钱，不是一个月或者两个月？
NO.PZ2017121101000010 VIX ansell the VIX front- month futures. VIX front- month futures ansell the VIX secon month futures. C is correct. VIX futures converge to the spot VIX expiration approaches, anthe two must equexpiration. When the VIX futures curve is in contango anassuming volatility remains stable, the VIX futures will get “pulle closer to the spot VIX, anthey will crease in prithey approaexpiration. Trars calculate the fferenbetween the front-month VIX futures prianthe VIX 0.60, anthe sprebetween the front-month anthe seconmonth futures is 1.30. Assuming ththe spreclines linearly until settlement, the trar woulrealize roll-wn gains the sprecreases from 1.30 to 0.60 the front-month futures approaches its expiration. expiration, VIX futures are equto the VIX, anthe sprewith the olseconmonth (annow the front- month) futures contrawill 0.60. Finally, sinone cannot rectly invest in the VIX, tras focusing on the VIX term structure must implementeusing either VIX futures or VIX options, so Answers A anB are not feasible.买现在，卖两个月的futures价差最大啊，为什么不行？
