The skew tag has no wiki summary.
1
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0answers
80 views
Interpolate option volatility in delta space in R
I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
7
votes
1answer
713 views
Skewness and Kurtosis under aggregation
Returns possess non-zero skewness and excess kurtosis. If these assets are temporally aggregated both will disappear due to the law of large numbers. To be exact, if we assume IID returns skewness ...
3
votes
1answer
207 views
Why does Skew measure remain more-or-less constant for Listed Expiries?
I have looked at the Variance Swap Papers published by GS-VarSwap and JPM-VarSWap where they talk about approximation to VarSwap strike using ATMF vol and Skew (slope of the volatility skew for 90-110 ...
9
votes
5answers
2k views
What is the implied volatility skew?
I often hear people talking about the skew of the volatility surface, model, etc... but it appears to me that a clear standard definition is not unanimously in place among practitioners.
So here is ...
8
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1answer
271 views
Option Portfolio Risk - Volatility/Skew - practical implementation
I'm trying to improve my methods for calculating real-time US Equity option portfolio risk.
My main problem is volatility "stability" across all strikes in an option series.
The current ...
7
votes
1answer
652 views
How should I estimate the implied volatility skew term when calculating the skew-adjusted delta?
I'm trying to come up with the implied volatility skew adjusted delta for SPY options. I'm working with the following formula:
Skew Adjusted Delta = Black Scholes Delta + Vega * Vol Skew Slope.
I ...
9
votes
1answer
663 views
Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
I was trying to build a options trading/optimization system. But it often gets more inaccurate as it scans through the far from ATM options because, you know, options skews.
That is because I did ...
