shirley2022-04-24 15:52:14

If a trader believes that put implied volatility is relatively too high, compared to that for calls, a long risk reversal could be created by buying the OTM call(underpriced) and selling the OTM put(overpriced)for the same expiration.  请问可以在buyOTMcall或者buyITMput和sellOTMput或者sellITMcall之间任意buysell组合吗？而且，为什么在PPT的smilevolatility图示中，只标了两个OTM的option? 是出于成本价格的原因吗？好像sellITMcall比sellOTMput的premium会更高？