需要解释

问题如下：

A risk manager is in the process of valuing several European-type option positions on a non-dividend-paying stock XYZ that is currently priced at EUR 30. The implied volatility skew, estimated using the Black-Scholes-Merton model and the current prices of actively traded European-style options on stock XYZ at various strike prices, is shown below:

Assuming that the implied volatility at EUR 30 is used to conduct the valuation, which of the following long positions will be overvalued?

选项：

A.An in-the-money call B.An in-the-money put C.An out-of-the-money call D.An out-of-the-money put

解释：

An out-of-the-money call has a strike price above 30. Therefore, using the chart above, its implied volatility is less than the at-the-money volatility, so using the at-the-money implied volatility would result in pricing an out-of-the-money call option higher than its fair price.