Wilmott Forums - Skew - Exotic Equity Derivatives

Insightful

Forum Navigation:

login

FORUMS > Technical Forum

Topic Title: Skew - Exotic Equity Derivatives
Created On Thu Jul 22, 10 03:03 PM

Topic View:

View thread in raw text format

munroto
Junior Member

Posts: 1
Joined: Jul 2010

Thu Jul 22, 10 03:03 PM

User is offline

I understand the basic concept of skew, why it exists. Not so sure on the terminology or the application.

(1) If I am long skew, do I want the skew curve (strike vs. vol) to steepen or flatten.

(2) If I sell a risk reversal (sell put at 85%, buy call at 100%) ? am I long or short skew? Why?

If anyone could help, would be most grateful.

doublebarrier2000
Senior Member

Posts: 213
Joined: Jul 2002

Thu Jul 22, 10 04:25 PM

User is offline

If you're long skew, you want the skew to flatten.
If you sell a put @ 85% and the curve flattens then you are short less vol @ 85% / with the 100% call, you could be either flat or better off depending where your tilt is

daveangel
Senior Member

Posts: 5152
Joined: Oct 2003

Mon Jul 26, 10 11:19 AM

User is offline

what is a long skew position ?

-------------------------
Knowledge comes, but wisdom lingers.

View thread in raw text format

FORUMS > Technical Forum

Forum Navigation:

© All material, including contents and design, copyright Wilmott Electronic Media Limited - FuseTalk 4.01 © 1999-2010 FuseTalk Inc.