Questions tagged [volatility-skew]
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104 questions
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Which proxy to access the implied skew? [closed]
I am currently thinking about implied kurtosis.
One way to access this one could be the ratio ATM IV and VIX !
But what about the implied skew ? Without access to the price of risk reversal of course
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Hedging Skew Risk in a Forward-Starting Option
Suppose someone sells a $m$-year forward-starting option that kicks in $n$ month from now. If they are concerned about skew risk, could a risk reversal be an effective hedge?
How would this approach ...
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W-shaped and other odd volaitlity skews? What fundamental reason drives these shapes and how does know they should be in this regime? [closed]
I was looking at voladynamics website and they mention that their curvefitter can fit "W" shaped curves around events.
https://voladynamics.com/products/vola-curves#w-shaped-curves
I am ...
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How Does Bartlett’s Delta Affect the Interpretation of Beta in the SABR Model?
In the SABR model, my understanding is that beta essentially determines the backbone of ATM volatility and is usually pre-specified to reflect prior beliefs about the ATM vol skew.
However, after ...
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Gamma calculation noise (for personal app)
I am trying to value options on NIFTY 50 index which are expiring on 16th Jan 15:30 IST (valuation datetime will be 10th Jan 18:17:41 IST). this is a personal application/code on laptop, not ...
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To preserve the forward skew in a stochastic volatility model, are we required to restrict the calibration to part of the Implied Vol surface?
I've understood in my learning journey that LV models have flattening of forward skew especially at longer expiries, and SV models are able to preserve this forward skew. I've the following questions ...
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Long vs Short Volatility Skew
This question is purely on the structure or maybe even jargon of being long or short volatility skew. Realistically, we do know that when we are long skew, we are long an OTM put and short an OTM call,...
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Skew spot relationship
How does skew : (25D Put Iv - 25D Call Iv)/50D Iv change with spot? Is there a well defined relationship? And why?
E.g does falling spot increase or decrease skew? How is that change is skew different ...
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Question about Example in Dynamic Hedging (Strong smile causing Put-Call Parity to not hold for American options)
On page 28 of "Dynamic Hedging" by Nassim Taleb, he uses the following example to demonstrate the fact that a rising volatility curve could separate puts/calls for American options because ...
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Arbitrage between implied and realised spot-vol beta
Let's say there is a discrepancy is the market with respect to implied spot-vol beta (implied skew) and the actual beta of ATM vols with spot. Let's say Put vol > Call Vol but the atm vols are ...
- 128
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Taking skewness into account when determining daily expected ranges
I use a method to determine daily expected ranges by combining both daily IV and daily realized vol. with different weights to get the expected range, and it worked pretty accurately.
However I want ...
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Impact of Skew on Bermudan Swaptions
I'm trying to understand the impact of different skew assumptions on the pricing of Bermudan swaptions, e.g. 10NC1 struck at K%.
It is often stated that the price of the Bermudan depends primarily on ...
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Summarizing the Volatility Skew as a Single Number
Related questions to this topic/subject:
Expressing Volatility Smile as One Number
Volatility skew and how to capture it?
In both posts, the authors/respondents recommend using the second derivative ...
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Options related factors forecasting cross section of returns
I came across this research paper that shows that skewness derived from options surfaces can help explain the cross section of returns. https://pubsonline.informs.org/doi/10.1287/mnsc.2015.2379
Are ...
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Infer implied volatility skew/smile from implied distribution
My question is closely related to the answer of @LocalVolatility and his blogpost.
I am trying to reproduce his first figure and I am struggling with the implied volatility.
With the help of
$$
f(S) = ...
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