In finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different characteristics for different markets and results from the probability of extreme moves
Iam just very curious about the volatility distribution among the various strike price of Nifty Options. And From the chart it is observed that ITM(in the money options have low volatility when compared to OTM(out of the money options).
This is one of the older posted posted in marketcalls earlier during Aug 2009. And I’d like to bring forward once again as Jitin our regular reader had some doubts with implied volatility and its implications. Hope this video could solve the mystery behind the option pricing and the implied volatility The Video is […]