A graphical curve that charts the implied volatility of a group of options, using either the same expiration date and various strike prices (more common), or across various dates with the same strike price. The curve shows that implied volatility is higher in either In The Money (ITM) options or Out Of The Money (OTM) options. Hence the demand will be higher in whichever end has more implied volatility. This curve is commonly seen in the longer-term options market.
Related information about volatility skew:
- Volatility smile - Wikipedia, the free encyclopedia
For markets where the graph is downward sloping, such as for equity options, the term "volatility skew" is often used. For other markets, such as FX options or ...
- Volatility Skew Definition | Investopedia
Volatility skew, which is affected by sentiment and the supply/demand relationship, provides information on whether fund managers prefer to write calls or puts.
- Volatility Skew - Optionistics
Expensive options are a strong indicator of pending changes in a stock's price. The measure of expensiveness is the stock's volatility. At Optionistics, all the ...
- Volatility Skew - Risk Glossary
Volatility skew is the phenomena of options' implied volatilities varying with strike price. As an example, consider several call options on a given underlier.
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Mar 15, 2012 ... In “Quantifiable Implied Volatility Skew,” the featured article in the February issue of Expiring Monthly: The Option Traders Journal, Brandon ...
- Equity-Related Volatility Skew - CBOE Risk Management Conference
Equity-Related Volatility Skew. Option Models and the Real World. Modelling the Skew. Skew Risk and Changing Market Conditions. Skew Sensitive Trading ...
- Volatility Skew by OptionTradingpedia.com
Probably The Most Comprehensive Explanation Of Volatility Skew In The World!
- Volatility Skew FAQs - Financial Chaos Theory
Oct 1, 2009 ... The volatility skew can be represented graphically in 2 dimensions (strike ... The volatility skew illustrates that implied volatility is higher as put ...