关于implied volatility

问题如下：

Which of the following statements is least correct about implied volatility method?

选项：

A.

Implied volatility is lower than realized volitility on average.

B.

Model-dependent is one of the most important shortcomings of implied volatility method.

C.

Implied volatility can react immediately to market conditions.

D.

The advantage of implied volatility method is that it is a forward-looking and preditive measure.

解释：

A is correct.

考点：Implied volatility Method

解析： 这道题是选出说法错误的选项。 implied volatility method是通过采用定价模型，根据市场价格计算volatility 来预测future volatility的一种方法。因为采用市场价格，所以它可以快速反应市场状况，C选项正确，但是最主要的缺点就是模型依赖，如果模型错误，算出的结果也是错误的。B选项正确。因为市场价格往往可以反映对未来的预期，所以这个方法是一个forward looking的方法，D选项均正确。

实证经验表明，implied volatility往往是高于实际的volatility，所以A选项不正确。