Is there any sigh of steeper Vol smile (skew) after 911 attack?

idlingcloud · June 21st, 2003, 3:55 pm

Hi,I wonder if there is any significant change of smile shape after the 911 attack?any empirical result available? Any trader who smells it on their trading desk?thanks

FDAXHunter · June 23rd, 2003, 6:11 am

I suppose you are talking about equities....After 11 September 2001, S&P 500 vol went to about 60% and DAX Vol went to 55%... the skew got flattened, relatively. When things started normalizing and Vols came back down (which took a good 6 months), the skew wasn't really all that different to before... I'd say.Regards,FDAXHunter