[讨论]期权波动率斜率问题ask for help！！！

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为什么波动率斜率越陡，垂直看涨价差组合就越便宜？The volatility slope in both
the beans and meal are very high, which makes the vertical call spreads the cheapest and
easiest way to play for a weather problem.

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关键词：R help Help For elp Ask 讨论 期权 Ask Help 斜率

波動性越高,表示option的變動越大,

那表示你所買的option上漲變動幅度]越高

你卻使用多頭垂直價差...這是表示你在兩個履約價中,你才能獲取return

當你option波動越大,表示你option鎖住價差利潤當然相對而言比較差

當然會比較便宜....

你去看看中國的option的實際例子

不過至少 我這邊是有看過!!!

if you have the higher volatility slope, the volatility of the two options with different strikes will have a large difference compare to the low slope. So the call option with high strike is comparatively more expensive then the low strike option. We know a call bull spread involves short a higher strike call and long a lower strike call. (Cl-Ch), if Ch is more expensive comparative to Cl, the bull stread's price is lower. So it is cheaper.

I give an example, consider IBM calls with strike 100 125 150, if the volatility slope is higher for 125-150, than 100-125, to establish the 125-150 spread is cheaper than 100-125 spread. Because the volatility may compensate some of your establishing cost, since the price difference of C125-C150 is smaller than C125-C100. It is cheaper.

Hope help~