r/options
SPY 并未定价太多波动，但保护成本依然高昂
SPY期权暗示本周波动较小，但下行偏度显示投资者正支付溢价购买保护。
- 投资者正在为下行保护支付更多费用，表明谨慎情绪增加。
- 下行波动率交易价格显著高于上行波动率。
乍一看，下周的SPY走势看起来相当平淡。
- SPY：约746.74美元
- 预期波动：±11.50美元
以近期标准来看，这确实是个相当平静的一周。
下行波动率比上行波动率高出约3.9个波动点，导致下行区间明显宽于上行区间。
1标准差范围：
- 上行：756.68美元（+1.33%）
- 下行：733.31美元（-1.80%）
2标准差范围：
- 上行：766.76美元（+2.68%）
- 下行：720.13美元（-3.56%）
所以尽管市场并未预期大幅波动，但交易员们仍在为下行保护支付更多费用，远高于对上行敞口的投入。
在我看来，投资者在经历最近的波动后变得略微谨慎，愿意多花些钱买保险。这属于正常状态，但过去几个月里，由于投资者愈发自满，看涨期权往往被定价过高。
很想知道大家现在如何解读SPY的偏度。最近几周有没有人注意到这种转变？
Puts on SPY are practically always overpriced because people buy them for portfolio insurance. Sellers win every month until they dont.
That’s normal
It is and that’s as well what I mentioned at the end of my post. However, over the last few months, calls were often more expensive than puts.
At a given strike, SPY call extrinsic will usually be higher than the put extrinsic. But going some number of points away from spot or forward, the OTM put will usually be higher than the OTM call. This has been the case for the past few months and prior and will continue to be the case
The main exception to the "usually" above is when the dividend is getting closer
yeah this tracks with what i've seen too. you're not alone in this.
Where is the Skew graph image from? Like what website? Im guessing its a standard deviation graph based on options pricing?
The downside premium here is the path, not the level. SPY has a strong negative spot vol correlation, so when it sells off realized vol expands, which means the wider downside range is the market pricing conditional volatility rather than mispriced insurance. Comparing put and call extrinsic at the same strike mostly picks up put call parity (forward, rates, dividends). The cleaner read on skew is equidistant OTM by delta. And the reason selling that skew pays most weeks and then hurts is that the variance risk premium is structurally fatter on the downside, so the payoff is negatively skewed by construction. You collect steadily and pay it back in the tail weeks. Before calling 3.9 vol points expensive I would check it against its own trailing range, the absolute skew level is a weak timing signal on its own.
https://preview.redd.it/9r95zpjmq29h1.png?width=1600&format=png&auto=webp&s=cefc1f2ddbbd571b685f975a8338c7ab0f885a5e
Look at SPY and the DJI pair. Thin might the start of a new trend