The table below gives key summary numbers summarising three of the main volsurfaces.
The skew number uses our convention (see here), Vol is given ATMF i.e. strike = forward at that maturity.
See below for an quick reminder of what a volsurface is, and glossary for other definitions if needed.
Vol ATMF 3mo | Vol ATMF 2y | Skew | Spot | AsOf | |
SPX | 12.8% | 18.2% | -32.5% | 2106.5 | 23-Apr-15 |
Eurostoxx | 20.2% | 20.9% | -22.0% | 3715 | 24-Apr-15 |
FTSE100 | 14.4% | 17.3% | -26.6% | 7087 | 24-Apr-15 |
See comments in the blogs.
More here on the Dynamics
coming soon
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Disclaimers: all of the above is indicative and approximate, not to be used for investment purposes, should not be taken as solicitation to trade, etc