Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011

• Autores: Juan José García Machado , Jaroslaw Rybczynski
• Localización: Investigaciones europeas de dirección y economía de la empresa, ISSN 1135-2523, Vol. 21, Nº 1, 2015, págs. 17-25
• Idioma: inglés
• DOI: 10.1016/j.iedee.2013.09.005
• Títulos paralelos:
  • Clasificación de las Sonrisas de Volatilidad según tres puntos de monetización: evidencia empírica para la Bolsa de Varsovia durante el volátil verano de 2011
• Enlaces
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• Resumen
  • español

    Este artículo analiza el comportamiento de la sonrisa de la volatilidad en la Bolsa de Varsovia (WSE) durante el volátil verano de 2011, derivada de las opciones más líquidas sobre el índice polaco WIG20, cuyas series expiraron en septiembre de 2011. En ese período, el índice había caído aproximadamente un 20% en tan sólo dos semanas. Mediante interpolación lineal construimos 355 curvas de sonrisas para poder estudiar una posible clasificación o tipología de las mismas. Proponemos 17 tipos de sonrisas, las cuales representan todos los casos posibles de tres monetizaciones de patrones gráficos. Esta clasificación se basa en la relación valores superiores/iguales/inferiores de la volatilidad implícita para cada uno de los tres puntos. Además, se distingue la convexidad de cada una. Destacamos que las sonrisas completas, las sonrisas asimétricas y las inclinadas hacia arriba son de forma convexa, mientras que las invertidas y las inclinadas hacia abajo son funciones cóncavas.

  • English

    This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish index has dropped about 20% in two weeks time. By linear interpolation, implied volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study and make some kind of smile-types classification. We propose seventeen types-smiles which represent all possible cases of three points (three moneynesses) graphical patterns. This classification is made basing upon relationship higher/equal/lower values of implied volatility for each of three points. Furthermore, we distinguish the convexity of pattern. We can note that smiles, smirks and ups are convex in shape, while reversed ones and downs are concave functions.

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