NO.PZ2022123002000035
问题如下：
Ahlim also expresses
interest in trading options on India’s NIFTY 50 (National Stock Exchange Fifty)
Index. Ngoc gathers selected one-month option prices and implied volatility
data, which are presented in Exhibit 2. India’s NIFTY 50 Index is currently
trading at a level of 11,610:
Exhibit 2 Selected one-month option prices and implied
volatility data: NIFTY 50 Index (all prices in Indian repees)
Based
on Exhibit 2, the NIFTY 50 Index implied volatility data most likely indicate a:
选项：
A.
risk reversal
B.
volatility skew
C.
volatility smile
解释：
Correct Answer: B
When the implied
volatility decreases for OTM (out-of-the-money) calls relative to ATM
(at-the-money) calls and increases for OTM puts relative to ATM puts, a
volatility skew exists. Put volatility is higher, rising from 16.44 ATM to
17.72 OTM, likely because of the higher demand for puts to hedge positions in
the index against downside risk. Call volatility decreases from 12.26 for ATM
calls to 11.98 for OTM calls since calls do not offer this valuable portfolio
insurance.
A is incorrect because
a risk reversal is a delta-hedged trading strategy seeking to profit from a
change in the relative volatility of calls and puts.
C is incorrect because
a volatility smile exists when both call and put volatilities, not just put
volatilities, are higher OTM than ATM.
这个skew和smile每次都是 call和put一起看吗？
