NO.PZ2018113001000073
问题如下：
Darnell, a portfolio manager, makes two
statements about the implied volatility.
Statement 1: The volatility smile shows
that OTM puts have higher implied volatility than ATM puts
Statement 2: The volatility skew shows that
the ITM put has higher implied volatility compared to the ATM put.
Which of the following statements is true？
选项：
A.
Statement 1
B.
Statement 2
C.
Both
解释：
A is correct
由下图可知：volatility smile显示OTM或者ITM的看跌期权对应的隐含波动率，都高于ATM状态下的看跌期权的隐含波动率，因此表述1正确。
volatility skew显示，OTM的看跌期权对应的隐含波动率高于ATM状态下的看跌期权隐含的波动率；而ITM的看跌期权的隐含波动率低于ATM的看跌期权的隐含波动率。
1、statement2为什么错了？
2、volatility skew 说的不是OTM put 高于 OTM call 的意思吗？为什么跟ITM有关
