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2
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One definition for implied volatility skew is: (25 delta put implied volatility - 25 delta call implied volatility) / 50 delta. … It looks like for each date they are using the implied vols for a particular strike (fixed strike, perhaps the strike of the 25 delta options in the skew calc) and comparing the vol change against some …
answered Sep 28 '20 by AlRacoon
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The use of forwards is just another method to look at the underlying. The Black-Scholes options model utilizes Spot and handles the carry as an interest rate in the model. On the other hand the Blac …
answered Jun 27 '19 by AlRacoon