Скачать или смотреть Volatility Skew Simplified

Get 20+ Free Option Trading Tools
Signup here: https://web.quantsapp.com/?s=y
Download App: https://app.quantsapp.com/sr

Option traders don’t observe constant implied volatility (option indicated volatility, market expectations of volatility) across different strikes and also, different option types (call/put) on the same underlying (Nifty, Bank Nifty or F&O stocks) with the same expiry have known to have different implied volatility.
'
Each and every option has a different implied volatility and when plotted looks like a smile, hence called volatility smile; it being asymmetric, is often labelled as volatility skew or volatility smirk.

What is Vol-Skew?
Volatility Skew is Implied Volatility (Option indicated Volatility) of all strikes plotted on a chart.

The slope of the skew and its dynamics are discussed in this video which suggests the directional bias which the market has embedded. Also, discussion about the lowest point in the volatility smile has an important mystery to unfold.

What are Key Characteristics?
• Looks like a smile with a Slight Steeper Slope on the left side
• Equity traders are more protective of a fall in the markets, in general
• Tendency of puts being bought as a hedge exists in case of Indian stock markets
• Shape of the skew holds directional expectation
How does it Help?
Studying the shape and also some other characteristics tend to give a crystal gazing ability to option traders.

Historically Proven
Right Shift in Lowest Point of the Vol-Skew indicates expectation of Bullish Move

Left Shift in Lowest Point of the Vol-Skew indicates expectation of Bearish Move

In this video:
00:00 Introduction
00:40 Volatility skew: a view from Quantsapp tool
00:55 Nifty Volatility skew: An example
02:43 Shape of volatility skew: Discussion with directional expectations
03:30 Practical examples monetising on the volatility skew shape
06:08 Shift of lowest point in volatility skew: Implication
06:30 Curve flattening: What is the implication?
08:20 Closing remarks and Summary

Get 20+ Free Option Trading Tools
Signup here: https://web.quantsapp.com/?s=y
Download App: https://app.quantsapp.com/sr