题目
Assume an investor enters into a volatility swap as the receive-realized and pay-fixed volatility. The investor’s position is most similar to which trading strategy:
选项
A.Covered call
B.Bull spread
C.Long straddle
D.Short strangle
答案
C
解析
Long straddle because it is also long volatility. But it remains merely a similarity: the volatility swap has purer exposure to volatility.多头straddle也是赌波动上升。但这仅仅是一种相似之处，波动率互换对波动性的风险敞口更大。