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Pearson The Financial Times Guide to Options_4

Tình trạng này thường xảy ra với skews chỉ số chứng khoán khi họ tập hợp với mức cũ. Thị trường lựa chọn được bối rối bởi retracement ngược. Điều này cũng xảy ra ở những hàng hóa có tiêu cực skews đặt như retrace hàng hóa từ một cuộc mít tinh | 214 Part 3 Thinking about options Frequently however on a rally the skew can remain in place and the implieds of all strikes are unchanged. Effectively the implied volatility decreases because the focal point of the skew moves to the new at-the-money strike. The solid line of Figure 20.9 illustrates this XYZ rallies from 100 to 105 and the new ATM implied now at the 105 strike is less than that of the former 100 strike. This situation often occurs with skews in stock indexes as they rally to former levels. The options market is unfazed by the upside retracement. This also occurs in commodities that have negative put skews as the commodities retrace from a rally there the graph is the mirror image of Figure 20.9. Another possibility is that on a break the skew can remain in place. Effectively the implied volatility increases because the focal point of the skew moves to the new at-the-money strike. The dotted line of Figure 20.9 illustrates this XYZ breaks from 105 to 100 and the new ATM implied now at the 100 strike is greater than that of the former 105 strike. This latter situation often occurs with skews in stock indexes as they break. The options market is fearful that this is the big one. When it really is the big one then the entire skew will shift vertically upward and the put wing will become more positive. 20 Volatility skews 215 A note on market sentiment In all cases where a straight long or short option is chosen for a directional strategy skew risk can be minimised by trading the long or short call or put spread. Volatility skews are indicators of market sentiment. Positive skews indicate fear while negative skews indicate complacence. Sentiment as we know can often be wrong but it cannot be ignored. Volatility skews are indicators of market .