NO.PZ2018113001000073
问题如下:
Darnell, a portfolio manager, makes two
statements about the implied volatility.
Statement 1: The volatility smile shows
that OTM puts have higher implied volatility than ATM puts
Statement 2: The volatility skew shows that
the ITM put has higher implied volatility compared to the ATM put.
Which of the following statements is true?
选项:
A.Statement 1
Statement 2
Both
解释:
A is correct
由下图可知:volatility smile显示OTM或者ITM的看跌期权对应的隐含波动率,都高于ATM状态下的看跌期权的隐含波动率,因此表述1正确。
volatility skew显示,OTM的看跌期权对应的隐含波动率高于ATM状态下的看跌期权隐含的波动率;而ITM的看跌期权的隐含波动率低于ATM的看跌期权的隐含波动率。
老师,有点想不明白ITM option存在的价值,可以解释下不?