Benn Eifert - Volatility Investing (S2E2)
Flirting with Models
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The Skew of Upside Call Options Versus Downside Put Options
In February, upside call options were trading at a higher implied volatility than downside put options. The key thing to remember back then was that in the japanese equity had just been incredibly depressed for a long time. And there was a tremendous macro narrative building around big structural reforms and aggressive, unconventional monetary policy. So it was really a sucker's to look at skew and say, "Oh, well, it's extremely unusual for upside calls to trade"
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