Volatility Smile and Skew | FRM Part 2 | Market Risk

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In this video, we explore this concept of volatility smile and skew. This topic comes up in the Market Risk book (Book 1) of the FRM Part 2 curriculum. For more preparation resources related to FRM Part 2 exam, please follow the link below:
www.finRGB.com/courses/frm-pa...

Опубликовано:

25 дек 2023

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Комментарии : 5

@charlesrambo7845 6 месяцев назад

Great video! The (small) issue I noticed was that the normal and not the log-normal distribution was plotted. S being log-normally distributed implied log-returns are normally distributed, and what was said applied better to log-returns. At any rate, thanks you so much for posting. I love all your FRM videos!

@finRGB 6 месяцев назад

Thank you for the appreciation, Charles. The plot is indeed meant to be for the log normal distribution, I guess the free-hand drawing didn't do much justice to the intended distribution :)

@gireeshkodali1231 3 месяца назад

Very helpful video. Thank you. On the Volatility smile graph (for bullish markets), I guess the video does not explain on why the In-the-money calls have an Implied Vol (IV) that is so much higher than the At-the-money calls. Would you be able to explain briefly, please?

@puneetgupta9116 Месяц назад

If market have the sentiment that stock will go down in futre, investors will sell ITM calls to earn much elevated premium and hence demand of such ITM calls increases.