A volatility skew window is a unique window type, governed by its own
application menu. To display a volatility skew window, display the Window Selection
menu and select Default under the Vlty Skews heading, or enter the .VSKEW command.
A volatility skew is a graph that plots the implied volatility (Y axis)
against the strike price (X axis) for a set of options on an underlying instrument.
The implied volatility is the volatility of the underlying required for the
theoretical value of the option to equal the market price of the option. Roughly
speaking, a volatility skew is
You can display a volatility skew on an underlying instrument by typing an
instrument symbol into the window using the command line. Volatility skew windows
accept instrument symbols and wildcards.
A volatility skew consists of two types of lines, input lines and the skew
curve. The input lines are the implied volatilities (Y axis) of an instrument
You can use a volatility skew to analyze the volatility on a specific option
market, or you can apply it as input volatility for the pricing models in the
rest of the options package (i.e., options charts and quote windows).
Topics:
Volatility Skew
Menus
| Other Topics
|
Skew Parameters Menu
| Editing a Skew Curve
|
Database Skews Menu
| Editing a Skew in a Chart
|
Option Parameters Menu
| Applying a Skew
|
Rescaling Menu
|
|