Volatility Skew in Equity Options Markets

Volatility Skew in Equity Options Markets

Imran Lakha

20 years: Equity derivatives trading

In this video, Imran explains an important concept in equity volatility trading known as SKEW. He further talks about the main reasons of it's existence in equity markets and how combining skew and term structure allows us to construct the 3D volatility surface. Finally, he introduces the concept of dynamic Greeks, which are often the consequence of a large skew position.

In this video, Imran explains an important concept in equity volatility trading known as SKEW. He further talks about the main reasons of it's existence in equity markets and how combining skew and term structure allows us to construct the 3D volatility surface. Finally, he introduces the concept of dynamic Greeks, which are often the consequence of a large skew position.

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Volatility Skew in Equity Options Markets

19 mins 4 secs

Overview

Skew essentially tells us how the market is pricing tail risk and which direction it expects the shocks to come, and even how likely they may be.

Key learning objectives:

  • Why does Skew exist in equity markets?

  • How does combining skew and term structure allow us to construct the 3D volatility surface?

  • What are the causes of movements in the volatility surface?

  • What are Dynamic Greeks?

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Summary
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Expert
Imran Lakha

Imran Lakha

Imran has been an equity derivatives trader for over 20 years and has run European equity index options trading desks for Merrill Lynch and Citibank. He also spent time as a macro portfolio manager at Bluecrest Capital. Currently, Imran runs his own training company specialising in teaching people how to trade options. This is: Options Insight - Traders That Teach, www.options-insight.com

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