implied volatility surface造句

• The implied volatility surface simultaneously shows both volatility smile and term structure of volatility.
• An implied volatility surface is then a three-dimensional surface plot of volatility smile and term structure.
• The impact of leverage ratio can also be observed from the implied volatility surfaces of leveraged ETF options.
• The graph shows an implied volatility surface for all the put options on a particular underlying stock price.
• Solving for volatility over a given set of durations and strike prices, one can construct an implied volatility surface.
• How the surface changes as the spot changes is called the " evolution of the implied volatility surface ".
• An implied volatility surface is " static " : it describes the implied volatilities at a given moment in time.
• The general non-parametric approach by Dupire is however problematic, as one needs to arbitrarily pre-interpolate the input implied volatility surface before applying the method.
• However, these models cannot explain long-observed features of the implied volatility surface such as volatility smile and skew, which indicate that implied volatility does tend to vary with respect to strike price and expiry.
• An "'implied volatility surface "'is a 3-D plot that plots volatility smile and term structure of volatility in a consolidated three-dimensional surface for all options on a given underlying asset.
• Option traders use an implied volatility plot to quickly determine the shape of the implied volatility surface, and to identify any areas where the slope of the plot ( and therefore relative implied volatilities ) seems out of line.
• The result is a two-dimensional curved surface plotted in three-dimensions whereby the current market implied volatility ( Z-axis ) for all options on the underlying is plotted against the price or delta yields the "'relative implied volatility surface " '.
• Conversely, given market data at a given point in time, the spot is fixed at the current market price, while different options have different strikes, and hence different moneyness; this is useful in constructing an implied volatility surface, or more simply plotting a volatility smile.