Ken Veksler
In a world of record low FX volatility, how should you be trading and where can you find yield and quality? Ken Veksler, who's got nearly twenty years of trading experience, gives his forthright opinions.
Squawk / 16 June 2016 at 2:08 GMT
United Kingdom
Also am i correct in assuming that same strike call and puts have the same volatility? e.g. a EURUSD 1.1000 strike put and call has the same IV? thanks
16 June
guezou guezou
by definition ! Because of the call put parity, if they had different volatilities there would be an arbitrage.
28 September
FettyWap FettyWap
This is not the case because of skew - there is often more demand for downside options due to spot-vol correlation. Take USDJPY for example, spot moves lower on a risk off move i.e. when IV's rise, therefore puts should trade with a higher implied vol than calls. This is what the 25D risk reversal is about; it is the IV of the 25D call - 25D put, the 25D RR for USDJPY is negative meaning puts have a higher implied vol than calls


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