What Does the Shape of the Volatility Smile Reveal About

question 20

Multiple Choice

What does the shape of the volatility smile reveal about put options on equity?

• A) Options close-to-the-money have the lowest implied volatility
• B) Options deep-in-the-money have a relatively high implied volatility
• C) Options deep-out-of-the-money have a relatively high implied volatility
• D) All of the above