开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

vivian_zm · 2020年05月30日

问一道题：NO.PZ2020042003000034

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

The following statements are reasons why positive feedback trading exists, except for which?

选项：

A.

Because of trend trading, investors buy when asset price appears to be trending up and sell when it appears to be trending down.

B.

Stop-loss rules can lead to positive feedback trading.

C.

Predatory trading is one of the reasons that lead to positive feedback trading.

D.

Hedging a long option position (call or put) can lead to positive feedback trading.

解释：

考点：对Liquidity Black Holes的理解

答案：D选项描述错误，本题选D。

解析：

当Hedge short option position时，可能会产生Positive feedback trading。

Dynamic hedging. Hedging a short option position (call or put) involves buying after a price rise and selling after a price decline.

能否请老师再讲解一下short option的hedge如何导致positive trading的呀？谢谢！

添加评论
2 个答案
已采纳答案

小刘_品职助教 · 2020年05月30日

同学你好，

如果你现在有一个股票的short call option，那你就会买入股票做对冲。当价格下跌时，那你需要对冲的股票数量就会下降，所以就需要卖出股票，当股票上涨时，你就需要买入更多的股票来对冲，这个导致的结果，就是股票下跌时，你会卖；股票上涨时，你会买，因此产生了positive feedback trading。

小猫批脸 · 2023年01月24日

那short put的逻辑该是什么样的啊 short call 和 long stock 是不是因为short call delta is negative 但是 long stock is positive 所以要可以对冲

DD仔_品职助教 · 2023年01月29日

嗨，从没放弃的小努力你好：


1，short put是未来必须买入，做对冲就是卖出股票。股价下跌的时候，对冲的股票数会上升，需要卖出更多的股票，股价上升是需要买入股票，结果，股价下跌，卖出更多，股价上升买入更多。

2，short call是未来必须卖出，没股票就先买股票，所以是long stock来对冲

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 2

    回答

  • 0

    关注

  • 605

    浏览
相关问题

NO.PZ2020042003000034问题如下 The following statements are reasons whypositive feeatrang exists, except for which? Because of trentrang, investors buy whenasset priappears to trenng up ansell when it appears to trenngwn. Stop-loss rules cletopositive feeatrang. Pretory trang is one ofthe reasons thleto positive feeatrang. Heinga long option position (call or put) cleto positive feeatrang. 考点对Liquity BlaHoles的理解答案述错误，本题选解析当Hee short option position时，可能会产生Positive feeatrang。namic heing. Heing a short optionposition (call or put) involves buying after a pririse anselling after apricline. 求帮忙c的意思谢谢

2023-08-24 09:19 1 · 回答

NO.PZ2020042003000034问题如下 The following statements are reasons whypositive feeatrang exists, except for which? Because of trentrang, investors buy whenasset priappears to trenng up ansell when it appears to trenngwn. Stop-loss rules cletopositive feeatrang. Pretory trang is one ofthe reasons thleto positive feeatrang. Heinga long option position (call or put) cleto positive feeatrang. 考点对Liquity BlaHoles的理解答案述错误，本题选解析当Hee short option position时，可能会产生Positive feeatrang。namic heing. Heing a short optionposition (call or put) involves buying after a pririse anselling after apricline. B的意思不是控制交易吗？

2023-07-19 17:58 1 · 回答

NO.PZ2020042003000034 Heing a long option position (call or put) cleto positive feeatrang. 老师可以举例long option positon 不会导致positive feeack的例子吗

2021-03-11 16:47 1 · 回答