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Published in TZ Latest News 3 April, 2017 by The TZ Newswire Staff

Question about (Strike Price) Implied Volatility Skew

Hello everybody, first time poster here.

I have a conceptual question for option traders specialized in Volatility Skew.

If we take a look at any index product (or their ETFs) a noticeable skew is observed on the downside. For example, looking at OTM puts as of today (for the May 19th expiration, 46 days away) for SPY

SPY=235.33

Strike Price —– Implied Volatility (based on OTM Puts)

210 —– 19.09%
215 —– 17.16%
220 —– 15.21%
225 —– 13.27%
230 —– 11.31%
235 —–…

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