NO.PZ2020033001000085
问题如下：
Which of the following statement is most accurate regarding equity option volatility?
选项：
A. Implied price volatility is higher for away-from-the-money equity options, no matter call or put.
B. "Crashophobia" indicates that when stock prices decline, actual equity volatility increases.
C. Traders believe the probability of large up movements in price is similar to large down movements when compared to the lognormal distribution.
D. Increasing leverage at lower equity prices results in increasing volatility.
解释：
D is correct.
考点：Volatility smile
解析：
A is incorrect.
There is higher implied price volatility for low strike price equity options.
B is incorrect.
"Crashophobia" is based on the idea that large price declines are more likely than assumed in Black-Scholes- Merton prices, not that volatility increases when prices decline.
C is incorrect.
Compared to the lognormal distribution, traders believe the probability of large up movements in price is lower than large down movements.
感觉a选项是对的呀 它是说 只要不是atm 的call或者put的隐含波动率都会更高 是不是这个意思 away...
