问题如下:
An analyst thinks that actual price volatility of A crude oil has been higher than its expected volatility, and he expects this trend to continue. Which position should the analyst take?
选项:
A. a long volatility swap on A crude oil
B. a short volatility swap on A crude oil
C. a short position in an excess return swap that is based on a fixed level of the commodity Index.
解释:
A is correct.
因为预测A原油实际的price volatility是要高于预期的price volatility,当实际波动小于预期波动时,波动互换卖方获利,当实际波动大于预期波动时,波动互换买方获利,所以应该long volatility swap。