What determines volatility smile in China?Implied volatilityVolatility smileOptions50 ETFThe implied volatility for 50 ETF options in China shows a significant smile pattern across different moneyness. Call and
and this is well-reflected in a volatility smile. Three main factors make up an option's value:strike pricerelative to theunderlying asset; the time until expiration, or expiry; and the expected volatility in the underlying asset during the life of the option. Most option valuations rely on ...
Also, the volatility smile’s existence shows that ITM and OTM options tend to be more in demand than ATM options. Demand drives prices, which affects implied volatility. This could be partially due to the reason mentioned above. Extreme events can occur, causing significant price shifts in opt...
Behind the flashing lights and exciting gameplay lies a complex mechanism that determines the outcomes of each spin. In this article, we’ll delve into the mechanics of slot machines, demystifying the technology that powers these iconic gaming devices. The Basics of Slot Machines At their core, ...
This research note shows that the implied Black-Scholes volatility calculated using the bisection algorithm can have significant biases, which are more severe for in-themoney (ITM) options than for out-of-the-money (OTM) options. The biases are shown to have important implications as they could...