W**********r
发帖数: 68 | 1 5. Suppose you have bought a July ITM call and sold an August ATM put.
What would be your delta in this position? Once you hedged out your delta
what are the following greeks:
-Gamma
-Vega
-Rho
-Theta
这个我觉得是long Gamma，short Vega， long Rho， paying Theta
6. Suppose you know the following information about a market:
- Future is at 66
- 70 strike straddle is trading at 27
- 50-60 put spread is at 2.5
- 50-60-70 put fly is at .2
- Assume volatility is constant across strikes
Using the prices given and relationships between options of various strikes,
what are the fair values for the 80 Call, 60 Straddle, and 40 Put? Assume
we had a volatility smile among the curve, how would this make your markets
different?
这个用put－call parity貌似不知道interest rate，是不是可以当作0？还有put－
call parity貌似只适合European options。另外，那个80和40的options不知道怎么算
。。。
7. Commodity funds (ETFs), hedge funds and "speculators" have received much
of the blame for the recent run-up in commodity prices, specifically crude
oil. Do you think speculators and long only funds can have a market impact
on the outright price?
- How might they affect the market's outright volatility?
- How might they affect the futures curve?
- Assume the E(spot price) = Futures price. What is the curve shape that is
most favorable for a retail investor (in an ETF), contango (upward sloping)
or backwardated (downward sloping?)
- What is the theoretical limit for a contango?
- Why might this theoretical limit be violated?
- What is the theoretical limit for backwardation?
- What market characteristics are most advantageous to the owner of a
storage facility?
这个题就是完全不会了，John Hull那本书上好像也没怎么讲 backwardation和
contango | d********t
发帖数: 9628 | 2 bwd和contango实际用的很多，但这个不算alpha，最多算exotic beta.
【在 W**********r 的大作中提到】
: 5. Suppose you have bought a July ITM call and sold an August ATM put.
: What would be your delta in this position? Once you hedged out your delta
: what are the following greeks:
: -Gamma
: -Vega
: -Rho
: -Theta
: 这个我觉得是long Gamma，short Vega， long Rho， paying Theta
: 6. Suppose you know the following information about a market:
: - Future is at 66
| r******e
发帖数: 118 | 3 我以为会面这些，结果开始面的是算法和统计，跪了。。。 | c******0
发帖数: 59 | | p******i
发帖数: 1358 | | d********t
发帖数: 9628 | 6 为啥要倒？
【在 p******i 的大作中提到】
: 这公司还没倒闭？！
| p******i
发帖数: 1358 | 7 一共200人，一裁裁100多人，已经裁了好几次了
【在 d********t 的大作中提到】
: 为啥要倒？
| d********t
发帖数: 9628 | 8 靠，那现在人数是负数。
【在 p******i 的大作中提到】
: 一共200人，一裁裁100多人，已经裁了好几次了
| L*******t
发帖数: 782 | 9 一边裁一边招,永远付junior工资，象worldquant似的。。
【在 d********t 的大作中提到】
: 靠，那现在人数是负数。
| d********t
发帖数: 9628 | 10 WQ其实是招senior的，有的工资还不错。
【在 L*******t 的大作中提到】
: 一边裁一边招,永远付junior工资，象worldquant似的。。
| | | p******i
发帖数: 1358 | 11 所以我好奇啊
【在 d********t 的大作中提到】
: 靠，那现在人数是负数。
| W**********r
发帖数: 68 | 12 你面的什么职位啊，我被问了几个这上面的题。。。
【在 r******e 的大作中提到】
: 我以为会面这些，结果开始面的是算法和统计，跪了。。。
| l********g
发帖数: 18 | 13 the delta should be positive，delta(ITM)>0.5, ATM put =0.5. As for gamma
should be negative, normally it is concentrate on strike, ATM gamma> ITM
gamma. As for vega, it is spread, so you got a vega negative. Rho ,you got
the liquid, so you got a short rho. As for theta, you have trade off, so
positive theta | e*******8
发帖数: 6 | 14 5. Suppose you have bought a July ITM call and sold an August ATM put.
What would be your delta in this position? Once you hedged out your delta
what are the following greeks:
-Gamma
-Vega
-Rho
-Theta
Answer: Positive Delta. It is obvious.
- For Gamma, I think it is hard to say, it depends on how deep the July call
is ITM. It is true that Gamma is centered around the strike, but for the
same strike, the Gamma for shorter maturity options is more skewed, which
may lead to a situation that the gamma of July ITM option is larger than the
August ATM one.
- For Vega, it is negative.
- For Rho, it is positive. If the risk-free interest increases, the PV of
strike for the call option is getting less, so the call option is more
valuable. Similar logic applies to the short position of the put option.
- For Theta, it also depends on how deep you are in the money, if only
slightly in the money, you are paying for the theta.
6. Suppose you know the following information about a market:
- Future is at 66
- 70 strike straddle is trading at 27
- 50-60 put spread is at 2.5
- 50-60-70 put fly is at .2
- Assume volatility is constant across strikes
Using the prices given and relationships between options of various strikes,
what are the fair values for the 80 Call, 60 Straddle, and 40 Put? Assume
we had a volatility smile among the curve, how would this make your markets
different?
Answer: For the first question, assuming constant risk free rate and
volatility, we have four unknowns,
- S: spot price for the underlying
- sigma: volatility
- r: risk free interest rate
- tau: time to maturity
And from the above four relations, we can form four equations with Black-
Scholes formula, solving for the unknowns and it is almost done. | g**S
发帖数: 116 | 15 这公司太讨厌了 要做好多题 真要测智力拉过去on-site考一套2小时的题足以 |
|
