Statistiche › Opzioni, short e posizionamento › Index against stock skew
The index skew is four times steeper than the average single stock skew
| Misura | Indice | Average single stock |
|---|---|---|
| Skew slope, all out of the money options | -4.42 | -1.02 |
| Skew slope, out of the money puts only | -5.00 | -2.04 |
| At the money implied volatility | about 14% | about 26% |
| Implied volatility on a 10 per cent out of the money put | about 22% | about 29% |
| Risk neutral skewness | -1.09 | -0.53 to -0.17 across named stocks |
| Weeks with a negative slope | 100% | 71% at the lowest |
Regression of log implied volatility on log moneyness, short dated options, January 1991 to December 1995 across 1,258 business days on 358,851 out of the money quotes. The paper states the index against stock slope gap is almost seven standard deviations. These figures come from the longer unedited working version; the published version may differ.
Regressing log implied volatility on log moneyness gives a slope of minus 4.42 for the index and minus 1.02 averaged across its thirty largest constituents. The index trades at lower implied volatility and a far steeper smile.
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