Learn About Volatility SkewByMark Wolfinger
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Volatility skew refers to fact that options on the same underlying
asset, with different strike prices, but which expire at the same time,
have a differentimplied volatility.
期权的波动率偏斜现象是指一组行权价不同的期权，标的资产相同，到期日相同，但各期权的隐含波动率各不相同。
When
options first traded on an exchange, volatility skew was very different.
Most of the time options that were out of the money traded at inflated
prices. In other words, the implied volatility for both puts and calls
increased as the strike price moved away from the current stock price --
leading to a "volatility smile."
当期权在交易所刚刚挂牌交易的时候，波动率偏斜的情况是另一番景象。大多数情况下价外期权的报价处于高估状态。换句话说，股票期权的行权价距离当前股价越远，股票看涨期权和看跌期权的隐含波动率就会越高，这就形成了“波动率微笑”现象。
That is a situation in which out-of-the-money (OTM) options (puts and calls) tended
to trade at prices that seemed to be "rich" (too expensive). When the
implied volatility was plotted against the strike price (see image), the
curve was U-shaped and resembled a smile. However, after the stock
market crash that occurred in October 1987, something unusual happened
to option prices.
在这种情况下，价外期权的成交价往往看起来“有点偏高”。当隐含波动率随着行权价的变化而相应变化的时候（见下图左侧），波动率曲线呈现U字形，就像一张笑脸。但在1987年10月美股崩盘后，期权市场发生了一些不同寻常的变化。
There is no need to conduct extensive research
to understand the reason for this phenomenon. OTM options were usually
inexpensive (in terms of dollars per contract), and were more attractive
as something forspeculators to buy
than as something for risk-takers to sell (the reward for selling was
small because the options often expired worthless). Because there were
fewer sellers than buyers for both OTM puts and calls, they traded at
higher than "normal" prices -- as is true in all aspects of trading
(i.e.,supply and demand).
没啥必要深究这种现象背后的原因。由于以单位期权合约的美元金额来衡量价外期权的期权费通常并不高，因此投机者买入期权的动力远胜期权卖家承担风险卖出期权的热情，卖出期权的回报通常很小，因为期权经常在到期时变得一文不值。因为不管是价外看跌期权还是价外看涨期权，买家都比卖家多，因此期权的市场价超过了正常值，受供求关系影响的各类交易均是如此。
Ever sinceBlack Monday (Oct
19, 1987), OTM put options have been much more attractive to buyers
because of the possibility of a gigantic payoff. In addition, these puts
became attractive as portfolio insurance against the next market
debacle. The increased demand for puts appears to be permanent and still
results in higher prices (i.e., higher implied volatility).
自1987年10月19日的黑色星期一以来，价外看跌期权对于买家的吸引力大增，因为持有价外看跌期权有可能会带来惊人回报。此外，这些看跌期权因能对冲美股未来崩盘的风险而魅力日增。对价外看跌期权的需求增加应该是永久性的而且仍会导致期权价格上涨，即隐含波动率上升。
As a result, the "volatility smile" has been
replaced with the "volatility skew" (see image). This remains true, even
as the market climbs to all-time highs.
结果就是“波动率微笑”被“波动率偏斜”取代了（见上图右侧）。即使美股爬升到前所未有的高点，情况仍是如此。
In more modern times,
after OTM calls became far less attractive to own, but OTM put options
found universal respect as portfolio insurance, the old volatility smile
is seldom seen in the world of stock and index options. In its place is
a graph that illustrates increasing demand (as measured by an increase
in implied volatility (IV) for OTM puts along with a decreased demand
for OTM calls.
在更近一些的时期，当价外看涨期权变得不值得买入之后，价外看跌期权却因能够对冲投资组合的下跌风险而获得广泛认同，旧有的波动率微笑现象在美股期权和美股指数期权市场里很少见到了，取而代之的是对价外看跌期权的需求上升（衡量标准是价外看跌期权的隐含波动率是否出现上升）以及价外看涨期权的需求减少。
That plot of strike vs. IV illustrates avolatility skew.
The term "volatility skew" refers to the fact that implied
volatility is noticeably higher for OTM options with strike prices below
the underlying asset's price. And IV is noticeably lower for OTM
options that are struck above the underlying asset price.
波动率偏斜现象可以用期权的行权价与隐含波动率之间的关系来表述。“波动率偏斜”这个术语涉及到这样一个事实，对于行权价低于标的资产价格的价外期权来讲隐含波动率明显偏高，对于行权价高于标的资产价格的价外期权来讲隐含波动率明显偏低。NOTE: IV is the same for a paired put and call. When the strike price
and expiration are identical, then the call and put options share a
common IV. This may not be obvious when looking at option prices.
注意一点：如果行权价和到期日相同，那么看涨期权和看跌期权的隐含波动率是一样的，在看期权费报价的时候这一点可能并不明显。
relationship between the stock price and IV is a result of evidence
that shows us that markets fall much more quickly than they rise.
股价与隐含波动率之间的反比关系证明了一个事实，那就是股市下跌的速度比上涨快很多。
There currently exist a number of investors (and
money managers) who never again want to encounter a bear market when
unprotected, i.e., without owning some put options. That results in a
continued demand for puts.
现在有很多投资者和基金经理绝对不想在手里没有任何保护措施即未持有一些看跌期权的情况下再一次遭遇熊市，这就导致对看跌期权有持续不断的需求。
The following relationship exists: IV
rises when markets decline; IV falls when markets rally. This is because
the idea of a falling market tends to (often, but not always) encourage
(frighten?) people to buy puts -- or at least stop selling them.
Whether it is increased demand (more buyers) or increased scarcity
(fewer sellers), the result is the same: Higher prices for put options.
以下的关联关系是成立的：美股下跌则美股的隐含波动率上升；美股上涨则美股的隐含波动率下行。因为股市下跌往往会（经常会，但并不总是）刺激（或迫使）人们买入看跌期权，或至少不再卖出看跌期权。无论是买家越来越多造成需求上升，还是卖家变得更少而供不应求，结果是一样的：美股看跌期权的期权费上升。
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