岳同学2020-10-15 17:37:43

Hedge Fund A’s volatility trading strategy can be implemented by following multiple paths. One path is through simple exchange-traded options. The maturity of such options typically extends to no more than two years. In terms of expiry, the longer-dated options will have more absolute exposure to volatility levels than shorter-dated options, but the shorter-dated options will exhibit more delta sensitivity to price changes. 想請問" In terms of expiry, the longer-dated options will have more absolute exposure to volatility levels than shorter-dated options, but the shorter-dated options will exhibit more delta sensitivity to price changes" 中 the longer-dated options的time value 應該大於shorter-dated options, 所以 longer-dated options對於volatility 的變化不是叫小嗎?