Volatility smile
- Japanese
- ボラティリティ・スマイル
- Last reviewed
- September 25, 2026
This is a draft, shown for review before publication.
A volatility smile is the shape formed by lining up the implied volatilities of options with the same expiry by strike price or by delta. If the assumptions of the pricing formula held, it would be flat, but in actual markets the value differs by strike price.
Related terms
Explained in detail
Pages that use this term
- Range Accruals
- FX Barrier Options
- Power Reverse Dual Currency (PRDC)
- Variance Swaps and Volatility Swaps
- Cliquets
- Inflation Caps and Floors
- The Black-Scholes Model
- Implied Volatility
- Volatility Smiles and Surfaces
- The Black and Bachelier Models
- The Hull-White Model
- The SABR Model
- The Heston Model
- Model Calibration
- Managing Gamma and Vega
- Hedging Exotic Products
- Sensitivities: DV01, Vega and Key Rate Sensitivities