Is there any sigh of steeper Vol smile (skew) after 911 attack?
Posted: June 21st, 2003, 3:55 pm
by idlingcloud
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
Is there any sigh of steeper Vol smile (skew) after 911 attack?
Posted: June 23rd, 2003, 6:11 am
by FDAXHunter
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