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2024-01-30 20:44Generally speaking, implied volatility increases for put options at strike prices that are lower than the current stock price, whereas implied volatilities decrease for call options for strike prices that are higher than the current stock price; this is called the volatility skew. However, sometimes implied volatility decreases for put options at strike prices that are lower than the current stock price, whereas implied volatilities increase for call options at strike prices that are higher than the current stock price; this is called the volatility smile.
這個能再解釋一下么……為什么skew對了，smile不對……
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Simon助教
2024-01-31 15:19
該回答已被題主采納
同學(xué)，上午好。volatility smile和skew，行權(quán)價越低，越在圖像左邊，行權(quán)價越高，越在圖像右邊。
Generally speaking, implied volatility increases for put options at strike prices that are lower than the current stock price【行權(quán)價低于當前股價，所以是OTM put，在圖像左邊，volatility高，這段話描述正確】,
whereas implied volatilities decrease for call options for strike prices that are higher than the current stock price【行權(quán)價高于當前股價，所以是OTM call，在圖像右邊，volatility低，這段話描述正確】;
this is called the volatility skew.
However, sometimes implied volatility decreases for put options at strike prices that are lower than the current stock price, 【錯，OTM put volatility低，正確說法在smilie中，左邊圖像volatiliy也是高的】
whereas implied volatilities increase for call options at strike prices that are higher than the current stock price; this is called the volatility smile. 【這段話對的，OTM call的volatiliy高】
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