USC Trading Paper

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1、TradingthevolatilityskewoftheoptionsontheS&Pindex"JuanAguirreBuenoDirectors:JuanToroCebadaAngelManuelRamosdeOlmoBenjaminIvorraTrabajodeFindeMasterAcademicyear:2011-2012Contents1Introductionandobjectivesofthework42Basicconcepts42.1Optionsgeneralterminology.......

2、.......................42.2Payo..........................................52.3Optionvalue......................................62.4Optionspricing.....................................62.5Decompositionofaportfolioprotsandlosses(P&L)initsgreekscomponents.73Vertical

3、spreads94Greeksanalysisofverticalspreads104.1Bullishcallspread....................................114.1.1Delta......................................114.1.2Gamma.....................................114.1.3Vega.......................................114.1.4"Singular

4、"point................................114.1.5Graphs.....................................124.2Bullishputspread....................................134.3Bearishcallspread....................................144.3.1Delta......................................144.3.2Gam

5、ma.....................................144.3.3Vega.......................................144.3.4"Singular"point................................144.3.5Graphs.....................................154.4Bearishputspread....................................164.5In uence

6、ofvolatilityonthespreads.........................164.5.1Lowimpliedvolatilityscenario........................164.5.2Highimpliedvolatilityscenario........................175Thevolatilitysmile185.1Featuresofthevolatilitysmileofequityindexoptions...............1925.1

7、.1"Volatilityaresteepestforsmallexpirationsasafunctionofstrike,shal-lowerforlongerexpirations".........................195.1.2"ThereisanegativecorrelationbetweenchangesinimpliedATMvolatilityandchangesintheunderlyingitself".....................205.1.3"Lowstrikevol

8、atilitiesareusuallyhigherthanhigh-strikevolatilities"..215.1.4"Afterlargesuddenmarketdeclines,theimpliedvolatilityofoutofthemoneycallsmaybegreaterthanforATMcal