Straddle：定义与何时买

Straddle

专题: Finance / 金融
难度: L4
来源: QuantQuestion

题目详情

什么是 straddle？什么时候应该买 straddle？

What is a straddle and when to buy it?

解析

Straddle = 同一行权价 $K$ 、同一到期的：

多 1 份看涨 + 多 1 份看跌。

到期收益为 $|S_T-K|$ 。

当你认为未来实现波动率会显著高于市场隐含波动率（期权价格中反映的波动）时，买 straddle 有利。

Original Explanation

A straddle = long 1 call + long 1 put, same strike $K$ & maturity. Payoff = $|S_T-K|.$ You buy a straddle if you expect realized volatility to exceed the implied volatility priced into those options.