15.4 Volatility smile A volatility smile shows the variation of the implied volatility with the strike price The volatility smile should be the same Whether calculated from call options or put options Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 15.4 Volatility Smile • A volatility smile shows the variation of the implied volatility with the strike price • The volatility smile should be the same whether calculated from call options or put options