Skew drops to record lows on global equity indexes


The recent popularity of put spreads and put-spread collars has helped push down volatility skew to record lows on global equity indexes, say dealers. The change comes after skew hit peaks following the bankruptcy of Lehman Brothers on September 15 last year. As stock markets plunged, skew - the difference in implied volatility between out-of-the-money put options and out-of-the-money calls - shot to increasingly high levels.

It has been a different story in 2009. From the beginning of the year

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: