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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！

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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

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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