NO.PZ201601050100001301
问题如下：
Describe how a volatility- based strategy for Konev would most likely contrast
with Murimi’s other institutional investors. Justify your response.
解释：
In currency markets, volatility is not constant, nor are its movements completely random. Instead, volatility is determined by a wide variety of underlying factors, both fundamental and technical, for which a trader can express
an opinion. Movements in volatility are cyclical and typically subject to long
periods of relative stability punctuated by sharp upward spikes in volatility as
markets come under stress. Speculative volatility traders among overlay managers often want to be net short volatility because most options expire out of the
money and the option writer then gets to keep the premium without delivery of
the underlying currency pair. Ideally these traders would want to flip their position and be long volatility ahead of the volatility spikes, but these episodes can
be notoriously difficult to time. Most hedgers, in contrast, typically run option
positions that are net long volatility because they are buying protection from
the unanticipated price volatility.
In this case, Konev would most likely be interested in speculative gains on US
dollar weakness, while the other institutional clients would be hedgers seeking
to minimize trading risks. The concept of foreign exchange as an asset class
for Konev will most likely permit Murimi to take foreign exchange exposure in
any currency pair where there is additional value to capture. A volatility-based
strategy for Konev would typically be net short, as opposed to net long, volatility to earn the related risk premium for absorbing volatility risk. In contrast,
the institutional investors, as hedgers in managing net long volatility positions,
would be exposed to the time decay of an option’s time value.
中文解析：
在外汇市场，波动性不是恒定的，也不是完全随机的。相反，波动性是由多种潜在因素决定的，包括基本面因素和技术因素，交易员可以对此发表意见。波动性的波动是周期性的，通常会受到长期相对稳定的影响，而当市场面临压力时，波动性会急剧上升。
对冲基金经理中的投机性波动率交易员通常希望净做空波动率，因为大多数期权到期时可以处在OTM状态，不被行权，期权卖方就可以在不交付标的的情况下获得期权费。理想情况下，这些交易员会希望在波动峰值之前改变头寸，做多波动性，但如何确定这个波峰的时间是非常困难的。
相比之下，大多数对冲者通常持有净多头波动率的期权头寸，因为他们是在对无法预测的价格波动购买保护。
在这种情况下，Konev最有可能对美元走软带来的投机性收益感兴趣，而其他机构客户则是寻求将交易风险降至最低的对冲者。对于Konev来说，外汇作为一种资产类别的概念很可能会允许Murimi在任何有额外价值的货币组合中持有外汇敞口。Konev基于波动率的策略通常是净做空，而不是净做多，以赚取吸收波动率风险的相关风险溢价。相比之下，作为管理净多头波动头寸的对冲者，机构投资者将暴露于期权时间价值的时间衰减。
这题的考点是什么，题目都没看懂
