芝加哥商品交易所研报：外汇期权波动率偏斜现象的形成机理和影响
提示：译文中如无特别说明，在提到看跌期权和看涨期权的时候，指的是价外程度一致的看涨期权和看跌期权。
什么是价外程度一致?
比如美元/日元的一年期远期汇率为110.00，那么行权价为110.00的美元/日元看跌或看涨期权，即看涨或看跌一年后日元/美元汇率的期权就被称为平价期权。价外看涨期权的行权价就是美元/日元的行权汇率要超过110.00，比如113.00，这个价外程度等于300个基本点=113-110;价外看跌期权的行权价就是美元/日元的行权汇率要低于110.00。因此与价外看涨期权进行对比的价外看跌期权的行权价与110.00这个平价的偏离程度也应该是300个基本点，即价外看跌期权的行权汇率应该为110.00-3.00=107.00，也就是说只有价外程度一致的看涨期权和看跌期权才能进行对比。
Nearly all options markets exhibit some kind of natural skewness. For example， out-of-the-money (OTM) put options on equity index futures are typically more expensive than OTM call options： investors typically fear a sudden fall in stock prices more than a sudden rise and， hence， are willing to pay more for downside than upside protection. In agricultural markets， skew tends to work the opposite way. On corn， soy and wheat options， for example， OTM call options are usually more expensive than OTM puts. Food buyers fear a sudden spike in the price of these crops in the event of a bad harvest more than farmers fear a sudden price decline in the event of an exceptionally good harvest.
几乎所有的期权市场都在某种程度上展示出其自然形成的波动率偏斜现象。例如，股票指数期货合约的价外看跌期权的期权费一般总是远远高于价外看涨期权的期权费，因为投资者更担心股价的下跌而不是上涨，因此愿意付出高的代价以规避股价下跌风险，而不是防范股价涨得更高。但是，农产品期权的波动率偏斜方向往往正好相反，比如，棉花、大豆和小麦期权的价外看涨期权的期权费一般总是远远高于价外看跌期权的期权费，因为农产品的买家对农产品价格因为收成不佳而暴涨的担心程度远超农家担心因为收成过好因而导致农产品价格出现下跌的程度。
Currency options markets are quirkier than either equity or agricultural options markets. Generally， traders fear a sudden drop in most currencies versus the U.S. dollar (USD) more than a sudden rise. Among the major currencies， the euro， pound and Australian and Canadian dollars tend to skew negatively versus USD， meaning that OTM put options tend to be more expensive than OTM calls. The Japanese yen and Swiss franc tend to have the opposite skew. Yen and franc OTM call options are often more expensive than OTM puts. For all six currencies， the degree of skewness varies over time， driven to a large extent by two factors： interest rate differentials and political risks.
外汇期权市场的情况要比股票期权或农产品期权市场更复杂一些。一般来讲，交易员更担心大多数货币对美元的汇率突然出现下跌而不是上涨。在各主要货币中，欧元(1.1348, 0.0027, 0.24%)、英镑(1.3287, -0.0007, -0.05%)、澳大利亚元以及加拿大元对美元的期权往往呈现负波动率偏斜的现象，也就是在价外程度相同的情况下，价外看涨期权的期权费通常远低于价外看跌期权的期权费。而日元和瑞士法郎对美元的期权则为正波动率偏斜，即在价外程度相同的情况下，日元和瑞士法郎对美元的价外看涨期权的期权费通常远高于看跌价外期权的期权费。这六个货币对美元的期权波动率偏斜程度因时而动，很大程度上受两个决定因素的影响：该货币与美元的利差以及政治风险。
This paper also addresses another question： is option skewness (also referred to as “risk reversal”) a useful indicator of whether a currency will strengthen or weaken versus USD? For example， if OTM put options become extremely expensive with respect to OTM call options， is that a sign that a given currency is likely to crash versus USD or that the currency might be oversold and is about to rebound? Our analysis doesn’t provide a definitive answer to these questions but might nevertheless offer some useful insights.
本文还会涉及到另一个问题：期权的波动率偏斜，又被称为期权的“风险逆转”，是否是有效预测某货币对美元的汇率升值或贬值的指标?例如，如果某货币对美元的价外看跌期权的期权费报价明显超过价外看涨期权，这是否意味着该货币对美元的汇率有可能出现大跌?抑或，汇率已经处于超卖状态，即将出现上涨?文中的分析并没有给出明确的答案，但应有可能为找到这些问题的答案提供一些有用的线索。
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