没太理解statement 2为什么是对的

问题如下：

Determine whether each of Cunningham’s statements is most likely correct. Justify each response.

选项：

解释：

Correct Answer:

Statement 1 is correct.

At-the-money options provide the best choice to delta hedge any existing position. For example, SEA stock is currently trading at $110.50. If one buys a $110 put, which is the closest to the money option from Exhibit 1, the downside risk below $110 is protected. However, the delta hedge is difficult to maintain as gamma tends to be largest for at-the-money options.

Statement 2 is correct.

Volatility skew is a more common shape of the implied volatility curve, where the implied volatility for out-of-the-money puts increases relative to that of out-of-the-money calls. This shape persists across asset classes and over time because investors generally have less interest in out-of-the-money calls, whereas out-of-the money put options have broader demand as portfolio insurance against a market sell-off.