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What is the most important reason for skew in the rates vol curve?
What is the most important reason for skew in the vol curve: Vol of Recvrs > Payers for all tails/tenors
What is the most important reason for skew in the rates vol curve?
risk of recession-induced rapid cutting cycle?
What is the most important reason for skew in the rates vol curve?
Reason for skew rather than smile:dvega dvol. Positive for sufficiently in the money options; negative otherwise. Yield vol is higher at higher interest rates.
What is the most important reason for skew in the rates vol curve?
Could you elaborate on this more please? Why is dvega dvol negative for OTM? Also how does that explain skew?
Last edited by Advaita on April 12th, 2007, 10:00 pm, edited 1 time in total.