Stock options skew

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Contents:
  1. Options Volatility Skew: Why Off-Balance Isn’t All Bad
  2. Study of Real Market Forces Influencing Volatility Skew Curves
  3. Introduction
  4. options - What is the implied volatility skew? - Quantitative Finance Stack Exchange

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Options Volatility Skew: Why Off-Balance Isn’t All Bad

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Study of Real Market Forces Influencing Volatility Skew Curves

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Why Is Vol Skewed?

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Introduction

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Evidence from Option Markets. A long call vertical bull spread is created by buying a call and selling a call with a higher strike price.

options - What is the implied volatility skew? - Quantitative Finance Stack Exchange

A short call vertical bear spread is created by selling a call and buying a call with a higher strike price. A long put vertical bear spread is created by buying a put and selling a put with a lower strike price. A short put vertical bull spread is created by selling a put and buying a put with a lower strike price.

Please note that multiple-leg option strategies such as these can entail substantial transaction costs, including multiple commissions, which may impact any potential return.

Volatility Generically, volatility is the size of the changes in the price of the underlying security. In practice, volatility is presented as either historical or implied. Volatility Skew Volatility skew, or just "skew", arises when the implied volatilities of options in one month on one stock are not equal across the different strike prices.

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