Market sentiment around euro/ US dollar FX options has shifted dramatically with geopolitical events. For example, after US ...

Historically, options skew was introduced to the market after the stock market crash in 1987, when options sellers began demanding higher premiums to protect against such “black swan” type events.

For example, the return series of -30 percent, 5 percent, 10 percent and 15 percent has a mean of 0 percent. There is only one return less than zero and three that are higher. The single negative ...