asymmetric volatility


A situation where the volatility of a security is higher when the broader market is performing badly than when the market is performing well. Experts tend to disagree about what causes asymmetric volatility, however factors such as leverage and panic about the market are often cites. The fact that asymmetric volatility even exists is important to hedging strategies as well as to option pricing models.
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asymmetric taxes asymmetric volatility phenomenon (AVP)