[讨论]请考过frm或者正在准备的高手帮我看看这两个题目

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各位frm考友，下面这个题目是frmhandbook中的一道，想了好久没有想通

请大家帮忙解答以下

EXAMPLE 13.19: FRM EXAM 2000—QUESTION 97

A trader buys an at-the-money call option with the intention of delta-hedging
it to maturity. Which one of the following is likely to be the most profitable
over the life of the option?
a. An increase in implied volatility
b. The underlying price steadily rising over the life of the option
c. The underlying price steadily decreasing over the life of the option
d. The underlying price drifting back and forth around the strike over the
life of the option

答案是d，handbook给出的解释

d) An important aspect of the question is the fact that the option is held to maturity.
Answer a) is incorrect because changes in the implied volatility would change the
value of the option, but this has no effect when holding to maturity. The profit
from the dynamic portfolio will depend on whether the actual volatility differs
from the initial implied volatility.（这句是什么意思？？） It does not depend on whether the option ends
up in-the-money, so answers b) and c) are incorrect. The portfolio will be profitable
if the actual volatility is small, which implies small moves around the strike price.

没搞清楚为什么这种drifting back and forth around the strike over the
life of the option能够使一个option最赚钱？

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关键词：FRM FRMhandbook Volatility underlying profitable 讨论 FRM 高手 题目

EXAMPLE 15.7: FRM EXAM 1999—QUESTION 82

BankLondon with substantial position in five-year AA-grade Eurobonds has
recently launched an initiative to calculate 10-day spread VAR. As a risk
manager for the Eurobond trading desk you have been asked to provide an
estimate for the AA-spread VAR. The extreme move used for the gilts yield is 40bp, and for the Eurobond yield is 50bp. These are based on the standard deviation of absolute (not proportional) changes in yields. The correlation betweenchanges in the two is 89%. What is the extreme move for the spread?
a. 19.35bp
b. 14.95bp
c. 10bp
d. 23.24bp

Example 15.7: FRM Exam 1999—Questions 82
d) VAR= √402 + 502 − 2 × 40 × 50 × 0.89 = 23.24.
The negative sign is because the portfolio is exposed to a difference in yields.

题目没读懂，substantial position in five-year AA-grade Eurobonds has
recently launched an initiative to calculate 10-day spread VAR.

substantial position是什么意思？为什么要求10-day spread VAR？？

我按照答案推测好像是一个instrument在2个riskfactor下，而且两个的变化方向好像正好相反，请高手帮忙解释以下

谢谢！

第一题

 if implied volatility higher than actual volatility,the cost of hedging is large

if  actual volatility higher than  implied volatility ,the cost is little ,then  u can get more profit

不知理解的对不对。

delta hedge是花钱买一个期权去对冲。而买这个期权所要花的钱和隐含波动率是对应的。

如果实际的波动率大于隐含波动率，那就说明你花钱买了一个比你花的钱要更值钱的东西，当然是most profitable的。

你划横线的第一句话我理解就是这个意思：如果实际波动大于初始价格所对应的隐含波动率，那么你花较少的钱买到了一个值钱的东西；反之亦然。

d答案的意思就是说股票实际的波动很大。

 

第二题不知道VAR是什么东东