Market Measures - January 20, 2023 - Skew High Vol vs Low

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English - January 20, 2023 15:12 - 17 minutes - 15.8 MB Video - ★★★★★ - 173 ratings
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Since 1987, volatility skew has been the market's way of anticipating large downside moves. Delta neutral premium sellers must therefore place put strikes further OTM than call strikes. Today, Anton and Tony explore how much further they should expect, and examine how this varies with implied volatility.