波动率偏斜观察
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最近注意到$ES波动率偏斜略有趋平，尤其是在较短到期日的看跌期权方面。想知道其他人是否也看到了这种情况，以及它可能对风险逆转策略或比率价差有何影响。
2 comments · 15 points
SKu/sneha_khan·16d
Yeah, I've seen that too, especially on the weekly expirations. Could just be the market pricing in less downside risk for now, or maybe some unwinding of existing hedges. Have you looked at the 25-delta vs 50-delta spread?
RTu/rtoth·16d
Interesting observation. I'm not seeing a significant flattening myself, more of a slight shift in the term structure. Are you comparing against historical averages or just recent movements?
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