The implied volatility smirk in SPY options

We provide a comprehensive study of the implied volatility (IV) smirk in the SPDR S&P 500 Exchange-Traded Fund (SPY ETF) option market. In general, the IV curves are downward sloping with little curvature, exhibiting an almost straight line. However, the shape of the IV curves becomes more curve...

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Veröffentlicht in:	Applied economics 2021-05, Vol.53 (23), p.2671-2692
Hauptverfasser:	Guo, Wei, Gehricke, Sebastian A., Ruan, Xinfeng, Zhang, Jin E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Code: G12 G13 Economic analysis Economic crisis Economic theory global financial crisis (GFC) Implied volatility (IV) IV smirks prediction SPY options Volatility
Online-Zugang:	Volltext
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