为什么美国市场上的波动率微笑现象如此明显？

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如图，从彭博上下载的标普500（第一行图）和恒生指数（第二行图）股指期权的数据，美国的微笑现象更加明显，这是为什么呢？

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关键词：美国市场 波动率 标普500 股指期权 恒生指数 美国

This depends on different market conditions and people's expectation of the volatility in the future. Can you compare more days? A single day's result is not that robust.
On the other hand, less smile means more lognormal one explaination is people expect US stock market will have more extreme movements than Hang Kang on that time horizon.

Chemist_MZ 发表于 2014-11-29 10:29
This depends on different market conditions and people's expectation of the volatility in the future ...

比较了很多天的，依旧是标普500股指期权的波动率微笑更加明显。听老师说，似乎一直以来美国数据的波动率微笑现象都很明显，不知其中的道理是什么。一开始我认为是美股没有涨跌停限制导致的，可是港股同样没有涨跌停限制啊。为什么投资者长期认为美国股市的极端波动可能性更大呢？

锦sè♀ 发表于 2014-12-2 13:28
比较了很多天的，依旧是标普500股指期权的波动率微笑更加明显。听老师说，似乎一直以来美国数据的波动率微 ...

maybe this is because the US stock is at the historical high level now. Anyway, there is no definite explanation on the smile. In financial engineering, smile is a given condition, you just need to calibrate the model according to the smile and do the rest stuff. In a word, just take smile as given.

Chemist_MZ 发表于 2014-12-2 21:06
maybe this is because the US stock is at the historical high level now. Anyway, there is no defini ...

thanks a lot！

Chemist_MZ 发表于 2014-12-2 21:06
maybe this is because the US stock is at the historical high level now. Anyway, there is no defini ...

thanks a lot！

因为美国专业机构比较多，虚值期权的保险需求较大，尤其是虚值看跌期权

Chemist_MZ 发表于 2014-12-2 21:06
maybe this is because the US stock is at the historical high level now. Anyway, there is no defini ...

@Chemist_MZ 您好，我一直对波动率的微笑方面，理解的不够准确，我非常简单的认为就是期权的执行价格与期权波动率的关系。您能推荐一下关于这方面的详细材料么，HULL那书除外，那我觉得论述的不够清楚。谢谢您啦。

对冲需要，估计是