The Risks and Rewards of Selling Volatility 卖波动率期权策略的盈利以及风险 Federal Reserve Bank of Atlanta ECONOMIC REVIEW First Quarter 2001 31 BUYING AND SELLING CERTAIN KINDS OF VOLATILITY-SENSITIVE OPTIONS PORTFOLIOS IS A POPULAR PRACTICE EVEN THOUGH THIS ACTIVITY IS ASSOCIATED WITH SUBSTANTIAL RISK. 买入和卖出某些对波动率高度敏感的期权组合在业界非常普遍,即使卖出波动率这类策略伴随着巨大的潜在市场风险。 WHEN SUCH PORTFOLIOS ARE FORMED, TWO FACTORS SIGNIFICANTLY INFLUENCE THE VALUE OF THE OPTIONS: THE PRICE OF THE UNDERLYING ASSET AND THE FUTURE VOLATILITY EXPECTED TO prevail until the options expire. It is possible to form a portfolio of call and put options so that the portfolio’s payoff is very sensitive to the volatility of the underlying asset but only minimally sensitive to changes in the level of the underlying asset. Traders and investors wh