Page 34 - CCFA Journal - Sixth Issue

Market 市场分析 加中金融

加拿大与美国期权市场波动率偏斜的差异

Differences in Skew Between Canadian and US Options Markets

About Author Steve Sosnick is a senior officer of an affiliate of Interactive Brokers Canada Inc. (IBC),
an approved participant of the Bourse de Montréal Inc. (MX) and a clearing member of the Canadian
Derivatives Clearing Corporation (CDCC). Nothing in this article should be considered an investment or
trading recommendation by IBC or any of its affiliates. Trading in options, is highly speculative in nature and
involves a high degree of risk. Before trading options listed on the MX and issued by the CDCC, one should read
and fully understand the current CDCC disclosure document entitled “The Characteristics and Risks of Listed
Canadian Options”. Trading of certain standardized Canadian Listed Options may not be permitted for U.S.
Residents. To receive a copy of the CDCC disclosure document referenced above call 877-745-4222 or copy and
paste this link into your browser: https://www.cdcc.ca/f_en/Options_Disclosure.pdf

【作者】Steve Sosnick 系盈透证券加拿大有限公司（IBC）联属公司的高管，是蒙特利尔交易
所（MX）的获准参与者和加拿大衍生品清算公司（CDCC）的清算会员。本文的任何内容均不
应被视为是 IBC 或其任何联属公司的投资或交易建议。期权交易具有高度投机性，存在很高风险。开始交易 MX 挂牌或
CDCC 发行的期权之前，交易者应仔细阅读并完全理解 CDCC 的披露文件：“加拿大挂牌期权的特征与风险”。某些标准的加
拿大挂牌期权可能不对美国居民开放。要获取上述 CDCC 披露文件的副本，请致电 877-745-4222 或在浏览器中打开以下链
接：https://www.cdcc.ca/f_en/Options_Disclosure.pdf

During my two decades as a market maker on both US and 在美国和加拿大的期权交易所担任做市商的二十余年间，
Canadian options exchanges, I was well aware of several 我注意到美加市场之间存在的几个重要差异。其中有些
crucial differences between the markets in the two neighbors. 差异十分明显，比如加拿大期权只在蒙特利尔交易所
Some of the distinctions were obvious, like the fact that （MX）交易，而在美国可供交易的交易所队伍却在不断
Canadian options trade only on the MX while the roster of 扩大。有些差异则更为微妙。其中之一便是加拿大期权
available venues in the US grew unwieldy. Others were more 的上行(Upside) 偏斜曲线往往较为平缓（偏斜“Skew”
subtle. One was that Canadian options tended to have flatter 是期权术语，表示的是底层证券相同的期权同一到期日
upside skews. (In options parlance, “skew” refers to the 不同行使价的隐含波动率变化情况）。下方为美加各自
tendency for options upon the same underlying security to
have different implied volatilities across a range of strikes with 的旗舰指数 ETF 的 Skew 曲线图，注意其中的差别：
the same expiry.) Consider the differences between these two
graphs of skews in each country’s flagship index ETF:

Figure 1. SPY January 21, 2022 Options Skew on December 10, 2021 Source: Interactive Brokers

CCFA JOURNAL OF FINANCE February 2022
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