NO.PZ202208100100000104
问题如下：
In her statement to Patel, Cho is most likely correct regarding the:
选项：
A.volatility skew.
volatility smile.
risk-reversal strategy.
解释：
A is correct. Cho correctly describes the volatility skew. Implied volatility for out-of-the-money (OTM) put options is higher than for at-the-money (ATM) put options and increases as the strike price moves further away from the current stock price. Implied volatilities for OTM call options are lower than for ATM call options and decrease as strike prices rise above the current stock price.
B is incorrect. Cho is incorrect about the volatility smile. The volatility smile occurs when OTM call and put option volatilities are higher than ATM option volatilities and are also higher than normal volatilities for OTM put and call options.
C is incorrect. Cho is incorrect about the long risk-reversal strategy; in fact, she describes a short risk-reversal strategy. If the put-implied volatility is too high relative to call-implied volatility, you would devise a long risk-reversal strategy by shorting the out-of-the-money put option and go long the out-of-the-money call option.
implied volatility increases for put options at strike prices that are lower than the current stock price, whereas implied volatilities decrease for call options for strike prices that are higher than the current stock price; this is called the volatility skew.
这句话我认为是错的。因为在我的理解中，OTM put > ITM put, 也就是说价格越低，put option越ITM，隐含波动率则越低(而非题干中的decrease)。
反之，ITM call > OTM call，也就是价格越高，call的ITM越高，隐含波动率则越高（而非题干中的decrease)。
答案中的解释我是认同的（如下），但正是因为如此，我会觉得题干说反了。
Implied volatility for out-of-the-money (OTM) put options is higher than for at-the-money (ATM) put options and increases as the strike price moves further away from the current stock price. Implied volatilities for OTM call options are lower than for ATM call options and decrease as strike prices rise above the current stock price.
