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Equity Derivatives Sales Market Commentary European Equities Multi-Strategy A Jargon-Busting Guide to Volatility Surfaces April 23, 2008. and Changes in Implied Volatility Equity Derivative Strategy Introduction Global Head Leon Gross ! This document will go through the jargon on skew, term structure, changes in implied +1 212 723 7877 volatility, and volatility regimes, that we often use in our Derivative Morning Comments. It assumes a basic understanding of simple option terms ( implied volatility, North America Andrew Wolchek realised volatility etc.). David Park ! The first section discusses how volatility surfaces are constructed. We begin by Julia Sun +1 212 723 7877. introducing skew and term structure before constructing the actual volatility surface. ! The second section looks at implied volatility changes.
Equity Derivatives Sales Market Commentary European Equities Multi-Strategy A Jargon-Busting Guide to Volatility Surfaces and Changes in Implied Volatility
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