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Lu · 2020年11月10日

问一道题:NO.PZ2017121101000010

问题如下:

A volatility trader observes that the VIX term structure is upward sloping. In particular, the VIX is at 13.50, the front-month futures contract trades at 14.10, and the second-month futures contract trades at 15.40. Assuming the shape of the VIX term structure will remain constant over the next three-month period, the trader decides to implement a trade that would profit from the VIX carry roll down. She will most likely purchase the:

选项:

A.

VIX and sell the VIX second- month futures.

B.

VIX and sell the VIX front- month futures.

C.

VIX front- month futures and sell the VIX second- month futures.

解释:

C is correct.

VIX futures converge to the spot VIX as expiration approaches, and the two must be equal at expiration. When the VIX futures curve is in contango and assuming volatility remains stable, the VIX futures will get “pulled” closer to the spot VIX, and they will decrease in price as they approach expiration. Traders calculate the difference between the front-month VIX futures price and the VIX as 0.60, and the spread between the front-month and the second-month futures is 1.30. Assuming that the spread declines linearly until settlement, the trader would realize roll-down gains as the spread decreases from 1.30 to 0.60 as the front-month futures approaches its expiration. At expiration, VIX futures are equal to the VIX, and the spread with the old second-month (and now the front- month) futures contract will be 0.60. Finally, since one cannot directly invest in the VIX, trades focusing on the VIX term structure must be implemented using either VIX futures or VIX options, so Answers A and B are not feasible.

可以在解释下吗?这个和价差有啥关系呢,难道不是和contango有关系吗?这不是rolling down吗?

1 个答案
已采纳答案

xiaowan_品职助教 · 2020年11月11日

嗨,努力学习的PZer你好:


同学你好,

这道题说做一个什么样的操作,在three-month period过后可以赚钱。

题目中说term structure不变,那么3month-period过去后,long的front-month价格从14.1下降至13.5,亏0.6;而short的second-month价格从15.4下降至14.1,赚1.3,所以会有profit。

contango只能说明在一个时刻,远月的forward价格高于近月的forward价格,但由于整个组合是long 一个forward并且short一个forward,所以未来是否赚取要看这两个合约价格变化的相对程度。


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


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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?

2022-08-20 09:27 1 · 回答

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