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