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Investors look for Fed clues on tapering as Jackson Hole goes virtual because of delta variant

August 23, 2021

“The volatility skew remains relatively mild, said Garrett DeSimone, head of quantitative research at OptionMetrics (see chart below). The skew measures the difference between implied volatility for puts, which give the holder the right but not the obligation to sell the underlying asset at a set price by a set time, and calls, which confer the same right to buy the asset.”

OptionMetrics’ Garrett DeSimone, Ph.D. was featured in MarketWatch’s recent article, “Investors look for Fed clues on tapering as Jackson Hole goes virtual because of delta variant.”