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Quantitative Finance · Glossário

O que é Volatility skew and term structure?

Também chamado de: volatility skew · term structure of volatility

Definition 25.6 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 25 — Volatility as a Traded Quantity: First Contact

The volatility skew (or smile) is the dependence of implied volatility on strike for one expiry; the term structure of volatility is its dependence on expiry for a given moneyness. Together they form the volatility surface.

The smile recovered from the screen prices of the chapter’s synthetic chain, out-of-the-money option at each strike, with the forward read from parity. The 90–110 skew is 6.2 volatility points. Data: the tutorial.
Figure 25.2. The smile recovered from the screen prices of the chapter’s synthetic chain, out-of-the-money option at each strike, with the forward read from parity. The 90–110 skew is 6.2 volatility points. Data: the tutorial.
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